Since the notion of cointegration was established by Engel and Granger (1987), many
statistical methods have been suggested to estimate and test cointegrated models …

We suggest a convenient version of the omnibus test for normality, using skewness and
kurtosis based on Shenton and Bowman [Journal of the American Statistical Association …

This paper extends my previous analysis of the causal relationship of GDP and energy use
in the USA in the post-war period. A majority of the relevant variables are integrated …

The long-run relationship between financial development and economic growth is examined
in a multivariate vector autoregression (VAR) framework using 10 sample countries …

This paper evaluates the robustness of the Okun relationship based on postwar data for 16
OECD countries. While Okun's law is statistically valid for most countries, the quantitative as …

In this paper, we examine the relationships between the New Zealand Stock Index and a set
of seven macroeconomic variables from January 1990 to January 2003 using cointegration …

This study investigates the dynamic structure of nine major stock markets using an error
correction model and directed acyclic graphs (DAG). The DAG representation provides a …

'Classical'econometric theory assumes that observed data come from a stationary process,
where means and variances are constant over time. Graphs of economic time series, and …

Some methods for the evaluation of parameter constancy in cointegrated
vectorautoregressive (VAR) models are discussed. Two different ways of re‐estimating the …

This study examines long-run relationships and short-run dynamic causal linkages among
the US, Japanese, and ten Asian emerging stock markets, with the particular attention to the …