Cointegration and Unit Roots.

This paper provides an updated survey of a burgeoning literature on testing, estimation and model specification in the presence of integrated variables. Integrated variables are a specific class of non-stationary variables which seem to characterise faithfully the properties of many macroeconomic time series. The analysis of cointegration develops out of the existence of unit roots and offers a generic route to test the validity of the equilibrium predictions of economic theories. Special emphasis is put on the empirical researcher's point of view.Unit root; Cointegration; Trends; Error correction mechanisms;

Agricultural sector and economic growth in Tunisia: Evidence from co-integration and error correction mechanism

For the past two decades, Tunisia has been undertaken important structural reforms, which call in most cases for market and trade liberalization (agricultural structural adjustment program, GATT reforms, free trade area with the European Union). The private-led type of growth strategy with less government intervention has culminated these last years into a more rapid economic growth and openness. Within this context, this paper examines the agricultural sector role into the economic growth and its interactions with the other sectors using time-series co-integration techniques. We use annual data from 1961 to 2005 to estimate a VAR model that includes GDP indices of five sectors in Tunisian economy. Empirical results from this study indicate that in the long-run all economic sectors tend to move together (co-integrate). But, in the short-run, the agricultural sector seems to have a limited role as a driving force for the growth of the other sectors of the economy. In addition, growth of the agricultural output may not be conducive directly to non-agricultural economic sector in the short-run.cointegration, economic growth, agricultural sector, Tunisia

Agricultural Sector and Economic Growth in Tunisia: Evidence from Co-integration and Error Correction Mechanism

For the past two decades, Tunisia has been undertaken important structural reforms, which call in most cases for market and trade liberalization (agricultural structural adjustment program, GATT reforms, free trade area with the European Union). The private-led type of growth strategy with less government intervention has culminated these last years into a more rapid economic growth and openness. Within this context, this paper examines the agricultural sector role into the economic growth and its interactions with the other sectors using time-series co-integration techniques. We use annual data from 1961 to 2005 to estimate a VAR model that includes GDP indices of five sectors in Tunisian economy. Empirical results from this study indicate that in the long-run all economic sectors tend to move together (co-integrate). But, in the short-run, the agricultural sector seems to have a limited role as a driving force for the growth of the other sectors of the economy. In addition, growth of the agricultural output may not be conducive directly to non-agricultural economic sector in the short-run.co-integration, economic growth, agricultural sector, Tunisia, International Development, C22, O13, Q18,

Estimação e diagnóstico em modelos multivariados para dados censurados

Orientadores: Víctor Hugo Lachos Dávila, Luis Mauricio Castro CeperoTese (doutorado) - Universidade Estadual de Campinas, Instituto de Matemática Estatística e Computação CientíficaResumo: Em alguns ensaios clínicos da síndrome da imunodeficiência adquirida (AIDS), as medições dos ácidos ribonucleicos do vírus da imunodeficiência humana (HIV-1) são coletadas periodicamente ao longo do tempo e muitas vezes estão sujeitas a limites de detecção inferiores ou superiores, dependendo dos ensaios de quantificação que foram utilizados. Assim, estas respostas podem ser censuradas à esquerda ou à direita. Na prática, dados longitudinais provenientes de estudos de acompanhamento do HIV, podem ser modelados utilizando modelos lineares e não-lineares de efeitos mistos censurados e também modelos de regressão censurados com estruturas de correlação específicas sobre os erros. Uma complicação adicional surge quando duas ou mais variáveis respostas são coletadas de forma irregular e repetidamente em cada sujeito durante um certo período de tempo. Os modelos lineares multivariados de efeitos mistos com respostas censuradas são ferramentas bastante utilizadas para análise conjunta de mais de uma série de respostas de dados longitudinais. Nesta tese desenvolvemos métodos inferenciais para lidar com dados censurados com estrutura longitudinal sob uma perspectiva clássica. Como resultado, conclusões importantes foram obtidas a partir da análise dos modelos propostosAbstract: In some acquired immunodeficiency syndrome (AIDS) clinical trials, the human immunodeficiency virus-1 ribonucleic acid measurements are collected irregularly over time and are often subject to some upper and lower detection limits, depending on the quantification assays. Hence, these responses are either left- or right-censored. In practice, longitudinal data coming from those follow-up studies can be modelled using censored linear and nonlinear mixed-effects models and also censored regression models with a specific correlation structures on the error terms. A complication arises when more than one series of responses are repeatedly collected on each subject at irregularly occasions over a period of time. The multivariate censored linear mixed model is a frequently used tool for a joint analysis of more than one series of longitudinal data. In this thesis we develop a series of essays in which different models and techniques to deal with censored data are applied. As result, we had several works to carry out censored dataDoutoradoEstatisticaDoutora em Estatística2011/22063-9, 2015/05385-3FAPES

EFFICIENCY OF FOREST COMMODITY FUTURES MARKETS

Market efficiency and unbiasedness tests are performed for the first time for three forest commodity futures markets: softwood lumber, oriented strand board (OSB), and northern bleached softwood kraft pulp (NBSK). The Johansen cointegration procedure is applied to test long-term market efficiency, while the standard error correction models (ECM) and ECM with GQARCH-in-mean process are also used to examine short-term market efficiency and unbiasedness. Results show that these markets are inefficient and biased in both the long-term and short-term. Results also indicate that no short-term time-varying risk premiums are found in these commodity futures markets.Marketing,

A Monetary Approach to Exchange Rate Dynamics in Low-Income Countries: Evidence from Kenya

The flexible price monetary model assumes that both the purchasing power parity (PPP) and uncovered interest parity (UIP) hold continuously. In addition, the model posits that money market equilibrium exists, which helps to determine the exchange rate. This paper explores exchange rate determination in low-income economies by applying a monetary model to Kenya to examine the exchange rate dynamics in a post-float exchange rate regime. We apply a multivariate cointegration and error correction model (ECM) to investigate whether the long-run exchange rate equilibrium and the rate of adjustment to the long-run equilibrium hold, respectively. Finally, we evaluate the relative performance of ECM versus a random walk framework in the out-of-sample forecasting. We find that the random walk performs better than the restricted model.Exchange rate; volatility; regime changes; Kenyan Shilling

Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity

Starting from the work by Campbell and Shiller (1987), empirical analysis of interest rates has been conducted in the framework of cointegration. However, parts of this approach have been questioned recently, as the adjustment mechanism may not follow a simple linear rule; another line of criticism points out that stationarity of the spreads is difficult to maintain empirically. In this paper, we analyse data on US bond yields by means of an augmented VAR specification which approximates a generic nonlinear adjustment model. We argue that nonlinearity captures macro information via the shape of the yield curve and thus provides an alternative explanation for some findings recently appeared in the literature. Moreover, we show how conditional heteroskedasticity can be taken into account via GARCH specifications for the conditional variance, either univariate and multivariate.interest rates, cointegration, nonlinear adjustment, conditional heteroskedasticity