Essays about: "Pedroni Panel Cointegration"
Found 2 essays containing the words Pedroni Panel Cointegration.
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1. On the Heterogeneous and Time-Varying Relationship Between Stock Returns and Exchange Rates: Using a Panel Smooth Transition Regression Model
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : This paper investigates the heterogeneous and time-varying relationship between stock returns and exchange rates for a panel of 19 countries using a panel smooth transition regression model and evaluates the role of the current account balance. Panel unit root tests indicate that stock market price indices and real effective exchange rates are non-stationary. READ MORE
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2. Testing the Balassa-Samuelson Hypothesis: Evidence from 10 OECD Countries
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This study tests the Balassa-Samuelson (BS) hypothesis for 10 OECD countries between 1975 and 2007 using the recent data sets and econometric methods. The study employs the Johansen cointegration approach in country-specific analysis. READ MORE