co integration analysis of quarterly european tourism demand in tunisia abstract the purpose of this study is to identify the factors that affect the destination choice process in addition to prices and income factors the supply factor is introduced as an explanatory variable in the econometric model co integration analysis and error correction models ecms are used to estimate the long run tourism demand elasticities and to forecast the quarterly european tourism demand for a 1 year ahead horizon the main finding of this study is that the behaviour of european tourists varies from one country to another the co integrating relationships show that the large elasticity magnitude may be the reflection of the relatively expensive services often sought after by tourists from these countries the estimated values of the supply elasticity corroborate the supply induced demand hypothesis finally compared to the basic structural model and using the root mean squared error the ecm provides more precise forecasts

a multivariate cointegrated modelling approach in testing temporal causality between energy consumption real income and prices with an application to two asian ldcs unlike previous studies on the casual relationship between energy consumption and economic growth this paper illustrates how the finding of cointegration i e long term equilibrium relationship between these variables may be used in testing granger causality based on the most recent johansen s multiple cointegration tests preceded by various unit root or nonstationarity tests we test for cointegration between total energy consumption real income and price level of two asian ldcs thailand and sri lanka nonrejection of cointegration between variables rules out granger noncausality and implies at least one way of granger causality either unidirectional or bidirectional secondly by using a dynamic vector error correction model we then analyse the direction of granger causation and hence the within sample grangerexogeneity or endogeneity of each of the variables thirdly the relative strength of the causality is gauged through the dynamic variance decomposition technique by decomposing the total

growth and the external constraint lessons from the spanish case the present article attempts to determine the role played by the balance of payments constraint on economic growth in spain 1960 94 using cointegration techniques this empirical exercise also serves to reveal some shortcomings in the usual procedures for estimating thirlwall s law in particular the spanish case reveals how important it is to introduce a variable that expresses the competitiveness gains generated by improvements in quality of the goods and services into the export function it also demonstrates the inadequate simplification entailed in an a priori exclusion of relative prices in external equilibrium equation not taking these two aspects into consideration may give rise to an erroneous confirmation of thirlwall s law especially if as in the spanish case both effects offset each other finally if the aim is to analyse long term relationships between variables it would seem advisable to use procedures such as cointegration with variables in levels

energy consumption real income and temporal causality results from a multi country study based on cointegration and error correction modelling techniques abstract unlike previous studies on the causal relationship between energy consumption and economic growth this paper illustrates how the finding of cointegration i e long term equilibrium relationship between these variables may be used in testing granger causality based on the most recent johansen s multivariate cointegration tests preceded by various unit root or non stationarity tests we test for cointegration between total energy consumption and real income of six asian economies india pakistan malaysia singapore indonesia and the philippines non rejection of cointegration between variables rules out granger non causality and imples at least one way of granger causality either unidirectional or bidirectionial secondly by using a dynamic vector error correction model we then analyse the direction of granger causation and hence the within sample granger exogeneity or endogeneity of each of the variables thirdly the relative strength of the causality is gauged through the dynamic variance decomposition technique by decomposing the total impact of an unanticipated shock to each of the variables beyond the sample period into proportions attributable to shocks in the other variables including its own in the bivariate system results based on these tools of methodology indicate that while all pair wise relationships shared common univariate integrational properties only relationships for three countries india pakistan and indonesia were cointegrated for these countries temporal causality results were mixed with unidirectional causality from energy to income for india exactly the reverse for indonesia and mutual causality for pakistan the vdcs were not inconsistent with these results and provided us with an additional insight as to the relatively more dominant direction of causation in pakistan simple bivariate vector autoregressive models for the three non cointegrated systems did not indicate any direction of causality significantly in either direction

the macro effects of unemployment benefit extensions a measurement error approach by how much does an extension of unemployment benefits affect macroeconomic outcomes such as unemployment answering this question is challenging because u s law extends benefits for states experiencing high unemployment we use data revisions to decompose the variation in the duration of benefits into the part coming from actual differences in economic conditions and the part coming from measurement error in the real time data used to determine benefit extensions using only the variation coming from measurement error we find that benefit extensions have a limited influence on state level macroeconomic outcomes we apply our estimates to the increase in the duration of benefits during the great recession and find that they increased the unemployment rate by at most 0 3 percentage point

stock watson dynamic ols dols and error correction modelling approaches to estimating long and short run elasticities in a demand function new evidence and methodological implications from an application to the demand for coal in mainland china in this paper robust elasticity estimates of coal demand for china are derived using annual data 1953 92 in so doing we illustrate the use of a powerful yet practically convenient and recently developed modelling procedure devised by stock and watson known as dynamic ols dols who provide evidence based on monte carlo simulations of this estimator being superior in small samples compared to a number of alternative estimators as well as being able not only to accommodate higher orders of integration but also to account for possible simultaneity within regressors of a potential demand system furthermore cointegration and error correction methods are employed to derive short run price and income elasticities estimated results are quite robust not only in terms of statistical prowess but also in terms of economic intuition and indicate that over the long run both price and income elasticities are close to unity while short run price and income elasticities are less in absolute value than their long run counterparts there seems to be some divergence in short run parameters from a subsample analysis overall results seem to imply that for china coal consumption should remain relatively constant as future modernization strategies for economic development are pursued in addition the study has clear methodological implications for estimating the long and short run elasticities in a demand function in general and in a wide variety of fields in future applied research

modeling monetary trends in italy using historical data the demand for broad money 1861 1990 in this paper we estimate a stable demand for money relationship for italy using a long series of historical data we extend previously available data sets to obtain a sample for the years 1861 to 1990 and use cointegration analysis and two stage estimation procedures to obtain a dynamic model for m2 demand by employing a small number of explanatory variables and a nonlinear error correction model we find a stable demand for money relationship our model incorporates significant inflation and interest rate effects in contrast to previous studies of this type

consumption saving and rational expectations some further evidence for the u k this paper examines implications of the rational expectations permanent income framework for quasi savings using u k data the residual from a cointegrating regression between income and consumption provides the quasi savings series that is used in conjunction with differenced income in a bivariate vector autoregression with associated restrictions and exclusion tests a further implication is that savings should granger cause labor income changes incomes and consumption are found to be cointegrated in levels as a robust result and the bivariate system performs well however savings granger cause labor income changes with a perverse positive sign and exclusion restrictions fail copyright 1989 by royal economic society

book review cointegration analysis in econometric modelling r i d harris harvester wheatsheaf london 1995 isbn 0 13 35582 4 pp ix 176 15 95

seasonal integration and cointegration modelling labour demand in finnish manufacturing the unifying framework proposed by hylleberg et al 1990 for testing and modelling seasonally integrated and cointegrated variable is introduced these methods are applied to a seasonal manufacturing labour demand model for the years 1970 1 1986 4 seasonal integration and cointegration are established for the variables at the different seasonal frequencies the estimated error correction model indicates that the high frequency components of the models adjust more strongly towards equilibrium states than the lower frequency components

monetary economic myth and econometric reality few of the main macro economic forecasting systems can produce sensible forecasts without the tender loving care of their proprietors many econometric equations in com mon use show significant deterioration in the accuracy with which they characterise data as time passes and many economists are sceptical about empirical evidence feeling it lacks credibility monetary relationships have the dubious distinction of being among the leaders in this field as witnessed by the very large mispredictions of m1 models in the usa over what is now known as the missing money period 1973 76 as well as during the recent great velocity decline 1979 82 in the uk models of m1 and m3 demand experienced large structural breaks following the competition and credit control regu lation changes and the move to floating exchange rates perhaps it is no surprise that goodhart s law should have been formulated with respect to money demand equations

unit root and cointegration tests timeseries versus panel estimates for international health expenditure models classical regression estimates of the determinants of the oecd health expenditures are useful for policy formulation and evaluation however if the underlying timeseries data are not collectively stationary in levels the estimated parameters are faulty and can misguide health policy until very recently the crucial stationarity tests were ignored in a large number of studies on international comparisons stationarity adf phillips perron ips heterogeneous panel and cointegration engle granger bivariate johansen s multivariate tests are conducted here using 1960 1997 health expenditures data 1998 cd rom of 19 oecd countries it is found that extending the time series data length affects the order of integration and number of cointegrating vectors however it is arguable whether the order of integration decreases or increases as more observations are added for testing the failure of the johansen and engle granger cointegration tests for most of the oecd countries cautions policy makers against

the demand for tourism in north east england with special reference to northumbria an empirical analysis abstract this paper examines the trends of tourism in north east england in particular we focus on the area of northumbria to show the potential of tourism for economic development in the region within this analysis we concentrate on the demand for tourism in the region and in particular we are concerned with tourism by uk residents in northumbria domestic tourism the long run relationship between domestic tourism demand and a number of economic factors effecting this demand is considered using the johansen and juselius 1990 1992 multivariate cointegration analysis an error correction model is then proposed for short run forecasting of domestic demand for tourism in northumbria

deterministic and stochastic trends in the time series models a guide for the applied economist applied economists working with time series data face a dilemma in selecting between models with deterministic and stochastic trends while models with deterministic trends are widely used models with stochastic trends are not so well known in an influential paper harvey 1997 strongly advocates a structural time series approach with stochastic trends in place of the widely used autoregressive models based on unit root tests and cointegration techniques therefore it is important to understand their relative merits this article suggests that both methodologies are useful and they may perform differently in different models this article provides a few guidelines to the applied economists to understand these alternative methods

an investigation of the long run properties of aggregate non durable consumers expenditure in the united this paper estimates the effects of the modeling of nondurable consumption in the light of the five years of new data since the publication of the paper by j e h davidson et al 1978 and the development of the new cointegration technique of r f engle and c w j granger 1987 existing models are found to be inadequate on two grounds they fail parameter stability tests and they do not contain a suitable equilibrium specification the paper uses the cointegration approach to search for an encompassing model that is both stable and cointegrates the main finding is that the analysis must be extended to allow for differential income effects caused by changing higher rate income tax bands copyright 1989 by royal economic society

a survey of some recent econometric methods this survey is written mainly for the applied economist though we hope that the specialist econometrician will find something of interest too our aim has been to try to bring the applied worker as up to date as possible and in the process to improve the quality of applied work by providing access to the latest ideas in econometrics we have tried to describe and explain in a relatively non technical way the main developments that have taken place in the last ten years partly for reasons of space the survey is by no means exhaustive but it does cover a wide range of topics in both time series and cross section analysis among the subjects covered are the followoing the nature of data including integrated and fractionally integrated data four estimation methods maximum likelihood method of moments m estimators and non parametric estimation inference with stationary and integrated regressors a comparison of various model evaluation principles the formulation of models including dynamic specification cointegration and conditional expectations in mean and variance copyright 1989 by royal economic society

the long run stability of the demand for money italy 1861 1996 this paper examines the stability of the demand for money in italy using a newly extended data set for the period 1861 1996 we examine how the evolution of the financial system in italy and policy shifts have affected the behavior of the long run demand for money and present tests of structural stability we find the demand for broad money to be remarkably stable despite periods of considerable economic turbulence in addition we present evidence on the monetary transmission mechanism our results shed light on attempts to model long run relationships in other countries such as the uk and the us

the seasonal unit root structure in new zealand macroeconomic variables adf unit root tests are generally applied to macroeconomic data prior to testing theoritical models to ensure that all relevant variables are integrated of the same order not only is it important to test that these variables are integrated of the same order but also that a cointegrating relationship exists failure to do so raise the specture of false inference associated with the spurious regression problem the seasonal nature of quarterly data adds a further proplem which has generally been overcome by seasonally adjusting the data using procedure such as the census x 11 rather than suppressing it have attempted to determine whether the seasonal component in each variable exhibits stochastic non stationary this paper analysisunit roots in a seasonal setting and compares the recently developed tests for seasonal unit roots as well as the standard augmented dickey fuller zerop frequency unit root tests of the variables tested relatively few paper to be integrated at the seasonal frequenciues and as

evidence on the determinants of canadian provincial government health expenditures 1965 1991 abstract real per capita provincial government expenditures on health care over the period 1965 1991 are examined using pooled time series cross section regression analysis key determinants of real per capita provincial government expenditures on health care over the period 1965 1991 are real provincial per capita income the proportion of the provincial population over age 65 and real provincial per capita federal transfer revenues established program financing had a negative and significant impact on real per capita provincial government health expenditures in newfoundland and quebec an income elasticity of 0 77 implies that health care is not a luxury good

an analysis of the disaggregated manufacturing exports of the asian nies to eec usa and japan this paper examines the export performance of the four asian newly industrialized economics nies by modelling their bilateral export flows to three main oecd blocks the usa japan and the european community our estimated export demand models reveal interesting asymmetries between these three areas of destination which do not emerge from previous aggregate empirical studies of nie export performance

are u s cities underpoliced theory and evidence we document the extent of measurement errors in the basic data set on police used in the literature on the effect of police on crime analyzing medium to large u s cities over 1960 to 2010 we obt

cointegration and dynamic time series models abstract this paper provides a survey of some of the recent developments in the field of econometric modelling with cointegrated time series in particular we describe the testing and estimation procedures which have become increasingly popular in the recent applied literature in addition to the two stage procedure proposed by engle and granger we consider extensions to the modelling of dynamic models with cointegrated variables such as the estimation of models with multiple cointegration vectors simultaneous systems models with seasonally integrated and cointegrated variables furthermore we illustrate the practical application of the techniques describes in the paper by means of a tutorial data set

cointegration and stock prices the random walk on wall street revisited abstract one of the more famous and empirically regular instances of unit roots occurs in stock price series where they are consistent with rational expectations and efficient markets under certain assumptions in this paper we investigate the dynamic behavior of five stock prices over the volatile period from january 1972 through december 1979 finding that the series are cointegrated with one dominant common trend a component with an estimated root of 0 95 in addition we find a lesser trend and two complex roots in the cycle model these findings are validated by out of sample forecasts beginning in january 1980 in addition to mean squared error criteria the forecasts are evaluated nonparametrically in two separate applications of a test due to henriksson and merton

a seasonal model of consumption in this paper the authors present strong empirical evidence that the long run income elasticity of u k nondurable consumers expenditure and its short run rate of adjustment both vary across seasons such variability in the behavior of consumers is consistent with the hypotheses that consumers have seasonal preferences and that they exhibit seasonally varying degrees of habit persistence the tests are based on a modified form of the error correction methodology that allows for seasonally varying slope coefficients simulations for the dynamic responses of the authors model illustrate the important policy implications of these results coauthors are r c bladen hovell a p l chui denise r osborn and j p smith copyright 1989 by royal economic society