This paper utilizes cointegration theory,error correcting model and Granger causality testing theory to make an empirical research on the relation between urbanization and GDP in China,and also implements a comparativ...This paper utilizes cointegration theory,error correcting model and Granger causality testing theory to make an empirical research on the relation between urbanization and GDP in China,and also implements a comparative analysis to the relation between three industries and degree of urbanization,the related coeffecient is 0.97,0.95,0.97,0.97.And the result shows a long-term balance between these two factors,and the promoting effect to tertiary industry by urbanization is more obvious.Urbanization and economic growth are the long-term balanced relations.In the long-term balance,every 1% increment of urbanization can make 4.82% increment of GDP;In short-term balance,if the balance depart from the long-term balance at the i-th term,the model will take automatic reversal adjustment with-0.06 adjusting strength at the(i+1)th term,to make it move to the long-term balance.The economic growth onto urbanization is one-way causality relationship,the primary and secondary industry onto urbanization is also one-way causality relationship.However,the tertiary industry onto urbanization is both-way causality relationship.展开更多
This paper demonstrates a significant,long-running relationship between stock prices and domestic interest rates in Turkey’s financial markets for the period of 2001 M1-2017 M4.Cointegration analysis is investigated ...This paper demonstrates a significant,long-running relationship between stock prices and domestic interest rates in Turkey’s financial markets for the period of 2001 M1-2017 M4.Cointegration analysis is investigated using the autoregressivedistributed lag bounds(ARDL Bounds)test and vector autoregressive cointegration.Additionally,cointegrating equations such as the fully modified ordinary least square,dynamic ordinary least squares,and canonical cointegrating regression are applied to check the long-run elasticities in the concerned relationship.The ARDL Bounds and Johansen Cointegration test results show that,dynamically,both prices are significantly related to each other.The cointegrating equation outcomes demonstrate elasticities whereby both coefficients have negative signs.Additionally,the same results are corroborated by the impulse response where all variables respond negatively to each other.展开更多
Due to their non-stationarity, ERP signals are difficult to study. The concept of cointegration might overcome this problem and allow for the study of the co-variability between whole ERP signals. In this context coin...Due to their non-stationarity, ERP signals are difficult to study. The concept of cointegration might overcome this problem and allow for the study of the co-variability between whole ERP signals. In this context cointegration factor is defined as the ability of an ERP signal to co-vary with other ERP signals. The aim of the present study was to investigate whether the cointegration factor is dependent on different EMF conditions and gender, as well as the locations of the electrodes on the scalp. The findings revealed that women have a significantly higher cointegration factor than men, while all subjects have increased cointegration factors in the presence of EMF. The cointegration factor is location dependent, creating a distinct cluster of high coin- tegration capacity at the central and lateral electrodes of the scalp, in contrast to clusters of low cointegration capacity at the anterior and posterior electrodes There seem to be distinct similarities of the present findings with those from standard methodologies of the ERPs. In conclusion cointegration is a promising tool towards the study of functional interactions between different brain locations.展开更多
This paper introduces a Bayesian Markov regime-switching model that allows the cointegration relationship between two time series to be switched on and off over time. Unlike classical approaches for testing and modeli...This paper introduces a Bayesian Markov regime-switching model that allows the cointegration relationship between two time series to be switched on and off over time. Unlike classical approaches for testing and modeling cointegration, the Bayesian Markov switching method allows for estimation of the regime-specific model parameters via Markov Chain Monte Carlo and generates more reliable estimation. Inference of regime switching also provides important information for further analysis and decision making.展开更多
The concept of cointegration is widely used in applied non-stationary time series analysis to describe the co-movement of data measured over time. In this paper, we proposed a Bayesian model for cointegration test and...The concept of cointegration is widely used in applied non-stationary time series analysis to describe the co-movement of data measured over time. In this paper, we proposed a Bayesian model for cointegration test and analysis, based on the dynamic latent factor framework. Efficient computational algorithms are also developed based on Markov Chain Monte Carlo (MCMC). Performance and efficiency of the the model and approaches are assessed by simulated and real data analysis.展开更多
This paper examines the long-and short-run dynamics of asymmetric adjustment between the nominal exchange rate and commodity prices,namely oil,palm oil,rubber,and natural gas prices,in Malaysia using monthly data from...This paper examines the long-and short-run dynamics of asymmetric adjustment between the nominal exchange rate and commodity prices,namely oil,palm oil,rubber,and natural gas prices,in Malaysia using monthly data from January 1994 to December 2017.The relationship between exchange rate and each commodity price is examined in terms of Engle-Granger and threshold cointegrations.The estimated results provide evidence of long-run threshold cointegration and show that the adjustments towards the long-run equilibrium position are asymmetric in the short run.Furthermore,this study finds evidence of a unidirectional causal relationship running from the nominal exchange rate to oil price in the long and short run using a spectral frequency domain causality application.There is also empirical evidence of bidirectional causality between the nominal exchange rate and palm oil price,rubber price,and natural gas price in the long and short run.Overall,the findings have significant implications for the current debate on the future of primary commodities in Malaysia.展开更多
Aiming at the pricing of primary agricultural products for the large-scale suppliers and the wholesalers in agri-supply chain management, an approach for the large-scale supplier pricing is presented based on the thre...Aiming at the pricing of primary agricultural products for the large-scale suppliers and the wholesalers in agri-supply chain management, an approach for the large-scale supplier pricing is presented based on the threshold cointegration method of wholesale prices online including the GBand-TAR modified Band-TAR model. Our empirical work shows that it is more appropriate for a large-scale supplier pricing with his wholesalers based on the threshold cointegration method than the conventional linear cointegration method in spatially separate markets in an agri-supply chain of soybean in China in short time. Firstly, the three pairs of prices in spatially separate markets are of long-run equilibrium and threshold cointegration. The forecast test shows that the threshold cointegration approach is superior to the conventional linear cointegration approach in short time. Secondly, there are two thresholds of GBand-TAR in which the threshold parameters represent relative transaction costs. Larger thresholds or wider neutral band corresponds to the greater distance between markets. Thirdly, the estimation of M-TAR shows that the large-scale supplier is more sensitive to increase of wholesaler prices than decrease of wholesaler prices. The supplier can price on the forecast of market price by the threshold ECM including the GBand-TAR if the equilibrium error of threshold lag is not in the interval of thresholds in which there is not profitable trading opportunities for the supplier.展开更多
The gross output value of township enterprises(XGDP)is used as a variable of township enterprises development.And CXEY is a variable of urban-rural dual economic structure.According to the 1986-2006 Statistical Yearbo...The gross output value of township enterprises(XGDP)is used as a variable of township enterprises development.And CXEY is a variable of urban-rural dual economic structure.According to the 1986-2006 Statistical Yearbook of Chinese Township Enterprises and the 2006 China Statistical Yearbook,effects of the development of township enterprises on the urban-rural dual economic structure are studied by the cointegration analysis.Result shows that without considering other influencing factors,township enterprise development in the years 1979-2005 is the key factor to improve the dual economic structure in urban and rural areas in China.展开更多
This study analyzed the impact of land-based contaminants and tertiary industrial structure on economic development in the selected Bohai Bay area,China.Based on panel data spanning 2011-2020,a vector autoregressive(V...This study analyzed the impact of land-based contaminants and tertiary industrial structure on economic development in the selected Bohai Bay area,China.Based on panel data spanning 2011-2020,a vector autoregressive(VAR)model is used to analyze and forecast the short-run and long-run relationships between three industrial structures,pollutant discharge,and economic development.The results showed that the environmental index had a long-term cointegration relationship with the industrial structure economic index.Per capital chemical oxygen demand(PCOD)and per capita ammonia nitrogen(PNH_(3)N)had a positive impact on delta per capita GDP(dPGDP),while per capita solid waste(PSW),the secondary industry rate(SIR)and delta tertiary industry(dTIR)had a negative impact on dPGDP.The VAR model under this coupling system had stability and credibility.The impulse response results showed that the short-term effect of the coupling system on dPGDP was basically consistent with the Granger causality test results.In addition,variance decomposition was used in this study to predict the long-term impact of the coupling system in the next ten periods(i.e.,ten years).It was found that dTIR had a great impact on dPGDP,with a contribution rate as high as 74.35%in the tenth period,followed by the contribution rate of PCOD up to 3.94%,while the long-term contribution rates of PSW,SIR and PNH3N were all less than 1%.The results show that the government should support the development of the tertiary industry to maintain the vitality of economic development and prevent environmental deterioration.展开更多
为研究山东省商贸流通业与城乡一体化间的耦合协调关系,从市场环境和业态规模2个维度构建商贸流通业的评价指标体系,从经济发展、社会发展和空间环境3个维度构建城乡一体化的评价指标体系,以山东省2012—2021年的指标数据为样本,分析山...为研究山东省商贸流通业与城乡一体化间的耦合协调关系,从市场环境和业态规模2个维度构建商贸流通业的评价指标体系,从经济发展、社会发展和空间环境3个维度构建城乡一体化的评价指标体系,以山东省2012—2021年的指标数据为样本,分析山东省商贸流通业与城乡一体化的关系。将熵权法与逼近理想解排序(technique for order preference by similarity to ideal solution,TOPSIS)法相结合计算指标权重,确定二者的发展指数,采用协整检验模型验证二者间的协整关系,以综合评价指数建立耦合协调度模型定量研究二者间的耦合协调关系,通过灰色关联度模型分析二者指标的关联度,确定影响二者耦合协调关系的关键因素。结果表明:城乡一体化水平每上升1个单位,商贸流通业的发展指数增大0.867个单位;2012—2021年山东省商贸流通业与城乡一体化间存在较强的耦合关系,耦合协调度从严重失调调整到优质协调;山东省商贸流通业和城乡一体化整体的灰色关联度较高。通过政策倾斜、资金扶持等措施加大资源要素投入,完善乡村基础设施,改善商贸流通业发展环境,搭建城乡商贸一体化发展体系,促进商贸流通业和城乡一体化的良性互动。展开更多
文摘This paper utilizes cointegration theory,error correcting model and Granger causality testing theory to make an empirical research on the relation between urbanization and GDP in China,and also implements a comparative analysis to the relation between three industries and degree of urbanization,the related coeffecient is 0.97,0.95,0.97,0.97.And the result shows a long-term balance between these two factors,and the promoting effect to tertiary industry by urbanization is more obvious.Urbanization and economic growth are the long-term balanced relations.In the long-term balance,every 1% increment of urbanization can make 4.82% increment of GDP;In short-term balance,if the balance depart from the long-term balance at the i-th term,the model will take automatic reversal adjustment with-0.06 adjusting strength at the(i+1)th term,to make it move to the long-term balance.The economic growth onto urbanization is one-way causality relationship,the primary and secondary industry onto urbanization is also one-way causality relationship.However,the tertiary industry onto urbanization is both-way causality relationship.
文摘This paper demonstrates a significant,long-running relationship between stock prices and domestic interest rates in Turkey’s financial markets for the period of 2001 M1-2017 M4.Cointegration analysis is investigated using the autoregressivedistributed lag bounds(ARDL Bounds)test and vector autoregressive cointegration.Additionally,cointegrating equations such as the fully modified ordinary least square,dynamic ordinary least squares,and canonical cointegrating regression are applied to check the long-run elasticities in the concerned relationship.The ARDL Bounds and Johansen Cointegration test results show that,dynamically,both prices are significantly related to each other.The cointegrating equation outcomes demonstrate elasticities whereby both coefficients have negative signs.Additionally,the same results are corroborated by the impulse response where all variables respond negatively to each other.
文摘Due to their non-stationarity, ERP signals are difficult to study. The concept of cointegration might overcome this problem and allow for the study of the co-variability between whole ERP signals. In this context cointegration factor is defined as the ability of an ERP signal to co-vary with other ERP signals. The aim of the present study was to investigate whether the cointegration factor is dependent on different EMF conditions and gender, as well as the locations of the electrodes on the scalp. The findings revealed that women have a significantly higher cointegration factor than men, while all subjects have increased cointegration factors in the presence of EMF. The cointegration factor is location dependent, creating a distinct cluster of high coin- tegration capacity at the central and lateral electrodes of the scalp, in contrast to clusters of low cointegration capacity at the anterior and posterior electrodes There seem to be distinct similarities of the present findings with those from standard methodologies of the ERPs. In conclusion cointegration is a promising tool towards the study of functional interactions between different brain locations.
文摘This paper introduces a Bayesian Markov regime-switching model that allows the cointegration relationship between two time series to be switched on and off over time. Unlike classical approaches for testing and modeling cointegration, the Bayesian Markov switching method allows for estimation of the regime-specific model parameters via Markov Chain Monte Carlo and generates more reliable estimation. Inference of regime switching also provides important information for further analysis and decision making.
文摘The concept of cointegration is widely used in applied non-stationary time series analysis to describe the co-movement of data measured over time. In this paper, we proposed a Bayesian model for cointegration test and analysis, based on the dynamic latent factor framework. Efficient computational algorithms are also developed based on Markov Chain Monte Carlo (MCMC). Performance and efficiency of the the model and approaches are assessed by simulated and real data analysis.
文摘This paper examines the long-and short-run dynamics of asymmetric adjustment between the nominal exchange rate and commodity prices,namely oil,palm oil,rubber,and natural gas prices,in Malaysia using monthly data from January 1994 to December 2017.The relationship between exchange rate and each commodity price is examined in terms of Engle-Granger and threshold cointegrations.The estimated results provide evidence of long-run threshold cointegration and show that the adjustments towards the long-run equilibrium position are asymmetric in the short run.Furthermore,this study finds evidence of a unidirectional causal relationship running from the nominal exchange rate to oil price in the long and short run using a spectral frequency domain causality application.There is also empirical evidence of bidirectional causality between the nominal exchange rate and palm oil price,rubber price,and natural gas price in the long and short run.Overall,the findings have significant implications for the current debate on the future of primary commodities in Malaysia.
基金the Social Science Fund Program of Heilongjiang Province in China(Grant No.03B028)
文摘Aiming at the pricing of primary agricultural products for the large-scale suppliers and the wholesalers in agri-supply chain management, an approach for the large-scale supplier pricing is presented based on the threshold cointegration method of wholesale prices online including the GBand-TAR modified Band-TAR model. Our empirical work shows that it is more appropriate for a large-scale supplier pricing with his wholesalers based on the threshold cointegration method than the conventional linear cointegration method in spatially separate markets in an agri-supply chain of soybean in China in short time. Firstly, the three pairs of prices in spatially separate markets are of long-run equilibrium and threshold cointegration. The forecast test shows that the threshold cointegration approach is superior to the conventional linear cointegration approach in short time. Secondly, there are two thresholds of GBand-TAR in which the threshold parameters represent relative transaction costs. Larger thresholds or wider neutral band corresponds to the greater distance between markets. Thirdly, the estimation of M-TAR shows that the large-scale supplier is more sensitive to increase of wholesaler prices than decrease of wholesaler prices. The supplier can price on the forecast of market price by the threshold ECM including the GBand-TAR if the equilibrium error of threshold lag is not in the interval of thresholds in which there is not profitable trading opportunities for the supplier.
文摘The gross output value of township enterprises(XGDP)is used as a variable of township enterprises development.And CXEY is a variable of urban-rural dual economic structure.According to the 1986-2006 Statistical Yearbook of Chinese Township Enterprises and the 2006 China Statistical Yearbook,effects of the development of township enterprises on the urban-rural dual economic structure are studied by the cointegration analysis.Result shows that without considering other influencing factors,township enterprise development in the years 1979-2005 is the key factor to improve the dual economic structure in urban and rural areas in China.
基金supported by the research funds for Coupling Research on Industrial Upgrade and Environmental Management in the Bohai Rim-Technique,methodology,and Environmental Economic Policies(No.42076221).
文摘This study analyzed the impact of land-based contaminants and tertiary industrial structure on economic development in the selected Bohai Bay area,China.Based on panel data spanning 2011-2020,a vector autoregressive(VAR)model is used to analyze and forecast the short-run and long-run relationships between three industrial structures,pollutant discharge,and economic development.The results showed that the environmental index had a long-term cointegration relationship with the industrial structure economic index.Per capital chemical oxygen demand(PCOD)and per capita ammonia nitrogen(PNH_(3)N)had a positive impact on delta per capita GDP(dPGDP),while per capita solid waste(PSW),the secondary industry rate(SIR)and delta tertiary industry(dTIR)had a negative impact on dPGDP.The VAR model under this coupling system had stability and credibility.The impulse response results showed that the short-term effect of the coupling system on dPGDP was basically consistent with the Granger causality test results.In addition,variance decomposition was used in this study to predict the long-term impact of the coupling system in the next ten periods(i.e.,ten years).It was found that dTIR had a great impact on dPGDP,with a contribution rate as high as 74.35%in the tenth period,followed by the contribution rate of PCOD up to 3.94%,while the long-term contribution rates of PSW,SIR and PNH3N were all less than 1%.The results show that the government should support the development of the tertiary industry to maintain the vitality of economic development and prevent environmental deterioration.
文摘为研究山东省商贸流通业与城乡一体化间的耦合协调关系,从市场环境和业态规模2个维度构建商贸流通业的评价指标体系,从经济发展、社会发展和空间环境3个维度构建城乡一体化的评价指标体系,以山东省2012—2021年的指标数据为样本,分析山东省商贸流通业与城乡一体化的关系。将熵权法与逼近理想解排序(technique for order preference by similarity to ideal solution,TOPSIS)法相结合计算指标权重,确定二者的发展指数,采用协整检验模型验证二者间的协整关系,以综合评价指数建立耦合协调度模型定量研究二者间的耦合协调关系,通过灰色关联度模型分析二者指标的关联度,确定影响二者耦合协调关系的关键因素。结果表明:城乡一体化水平每上升1个单位,商贸流通业的发展指数增大0.867个单位;2012—2021年山东省商贸流通业与城乡一体化间存在较强的耦合关系,耦合协调度从严重失调调整到优质协调;山东省商贸流通业和城乡一体化整体的灰色关联度较高。通过政策倾斜、资金扶持等措施加大资源要素投入,完善乡村基础设施,改善商贸流通业发展环境,搭建城乡商贸一体化发展体系,促进商贸流通业和城乡一体化的良性互动。