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Book part
Publication date: 13 February 2001

Peter Pedroni

This chapter uses fully modified OLS principles to develop new methods for estimating and testing hypotheses for cointegrating vectors in dynamic panels in a manner that…

Abstract

This chapter uses fully modified OLS principles to develop new methods for estimating and testing hypotheses for cointegrating vectors in dynamic panels in a manner that is consistent with the degree of cross sectional heterogeneity that has been permitted in recent panel unit root and panel cointegration studies. The asymptotic properties of various estimators are compared based on pooling along the ‘within’ and ‘between’ dimensions of the panel. By using Monte Carlo simulations to study the small sample properties, the group mean estimator is shown to behave well even in relatively small samples under a variety of scenarios.

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Nonstationary Panels, Panel Cointegration, and Dynamic Panels
Type: Book
ISBN: 978-1-84950-065-4

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Article
Publication date: 29 April 2014

P.S. Nirmala, P.S. Sanju and M. Ramachandran

– The purpose of this paper was to examine the long-run causal relations between share price and dividend in the Indian market.

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Abstract

Purpose

The purpose of this paper was to examine the long-run causal relations between share price and dividend in the Indian market.

Design/methodology/approach

Panel vector error correction model is estimated to examine the long-run causal relations between share price and dividend. Prior to this, panel unit root tests and panel cointegration tests are carried out to test the unit root properties of the data and test for the existence of long-run cointegrating relationship between the variables, respectively.

Findings

The results of empirical investigation reveal that there exists bi-directional long-run causality between share price and dividends.

Research limitations/implications

For the chosen sample, data on share price are available only for limited years. This limits the time dimension of the sample. Hence, in the future, the analysis can be extended to cover longer time series.

Practical implications

The interplay between share prices and dividends needs to be given due consideration by firms while framing their policies. A change in dividend policy would have an effect on the market value of the firm; hence, firms need to frame dividend policy in such a way that it would enhance their market value. Similarly, investors need to take into consideration the influence of share prices and dividends on each other. While making investment decisions, they need to consider the dividend history of shares, as better dividends would lead to better share prices.

Originality/value

To the best of the authors' knowledge, this study is the first attempt in the Indian market to examine the long-run causal relations between share price and dividend. The results of this study would be helpful to the investors in taking wise investment decisions. It would also enable firms in formulating appropriate dividend policies.

Details

Journal of Asia Business Studies, vol. 8 no. 2
Type: Research Article
ISSN: 1558-7894

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Book part
Publication date: 13 February 2001

Abstract

Details

Nonstationary Panels, Panel Cointegration, and Dynamic Panels
Type: Book
ISBN: 978-1-84950-065-4

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Book part
Publication date: 19 December 2012

Randall C. Campbell and Asli Ogunc

Advances in Econometrics is a series of research annuals first published in 1982 by JAI Press. In this paper, we present a brief history of the series over its first 30…

Abstract

Advances in Econometrics is a series of research annuals first published in 1982 by JAI Press. In this paper, we present a brief history of the series over its first 30 years. We describe key events in the history of the volume, and give information about the key contributors: editors, editorial board members, Advances in Econometrics Fellows, and authors who have contributed to the great success of the series.

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30th Anniversary Edition
Type: Book
ISBN: 978-1-78190-309-4

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Article
Publication date: 6 August 2021

Chamil W. Senarathne and Prabhath Jayasinghe

While sustainable development policies are mostly set based on United Nations (UN) geoscheme classification, no study attempts to examine the impact of influential…

Abstract

Purpose

While sustainable development policies are mostly set based on United Nations (UN) geoscheme classification, no study attempts to examine the impact of influential economic variables such as energy consumption (EC) and merchandise exports (ME) on carbon dioxide (CO2) emission in the UN geoscheme regions. The purpose of this paper is to examine the possible impact of EC and ME on CO2 emission in UN geoscheme classification regions such as Africa, America, Arab, Asia and Europe.

Design/methodology/approach

This paper uses autoregressive distributed lag (ARDL), Pedroni panel cointegration and panel Granger causality methodologies covering an annual panel data sampling period from 1971 to 2014.

Findings

The results show that there is bidirectional causality between all three variables in the European and American panel except for the non-causality from CO2 to EC in the American panel. These findings suggest possible consequences of weaker energy efficiency (even under environmental policy tightening) and strong demand for energy-intensive economic activities in those regions. Developed countries with higher environmental policy tightening (America and Europe) show significant estimates from the chosen tests supporting the Porter hypothesis. EC and ME have a long-run impact on CO2 emission in American and European panels. The African region has the least environmental impact of pollution from ME.

Practical implications

The ME and EC have a direct significant impact on CO2 emission in America and Europe. As these causalities, co-integrations and their impacts share a long-run equilibrium relationship, policymakers must design long-term industry policies such as cleaner production techniques focusing on environmentally sustainable practices. Also, it is suggested that the policymakers must ensure that they implement more robust policies and standards for environmental-friendly export production.

Originality/value

This is the first paper that examines the impact of EC and ME on CO2 emission in UN geoscheme regions. The findings of this paper provide theoretical implications supporting Porter hypothesis and practical implications for policymaking.

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Article
Publication date: 10 July 2020

Ergin Akalpler

This study aims to research the effects of unemployment wages current account and consumer price index (CPI) on the real gross domestic product (RGDP), which, in the…

Abstract

Purpose

This study aims to research the effects of unemployment wages current account and consumer price index (CPI) on the real gross domestic product (RGDP), which, in the optimum currency area (OCA) theory, supposes that countries with higher factor mobility can significantly profit from the currency area. However, in this study, it is shown that the considered optimum currency crisis (OCC) model is affected by mobility factors, as the defined theory has not been perfectly realised in the Eurozone.

Design/methodology/approach

In this study, Breusch–Pagan–Godfrey and Lagrange multiplier (LM) tests are used for supporting the survey for better estimation of the panel cointegration tests, where Pedroni's (1995, 1997) technique is used. The unit root tests are employed, of which the Phillip–Perron and augmented Dickey–Fuller tests (unit root test, Dickey, D. and W. Fuller, 1979) are considered.

Findings

It can be concluded that demand shocks will tend to be more asymmetric instead of being symmetric, even though they are in the customs union (CU). However, Polish workers in a given scenario may move to Germany, but because of the rigidity of the labour market and qualification differences between workers, the interregional integration of member countries is reduced, and this reduces the absorption of asymmetric shocks. In Germany, where strong employment protection and rigidity are observed in comparison to Poland, although there has been historical migration and economical collaboration, unfortunately, the integration of the two countries’ economies has not been realised.

Research limitations/implications

Quantitative research on fiscal union and the estimation of its effects is not possible because there is no practical experience of fiscal union throughout the European Union (EU). However, quantitative research is used for estimating the effects of OCA in the Eurozone. Quantitative investigation is particularly focused on the monetary union and single currency and its impact on growth rate. In this study, the ordinary least squares (OLS) method and panel cointegration test are employed for estimating the effects of the considered variables.

Practical implications

The Eurozone and the application of a single currency throughout the EU was a considerably difficult task. In addition, the adoption of a single currency was not easy for those member countries that fulfilled the “convergence criteria” (or “Maastricht criteria”) and who joined the Eurozone, because only adoption is not enough; maintenance of those criteria is also required. This study analysed the application of the Eurozone in the light of the OCA of Mundel's theory.

Social implications

The OCA is important for member countries’ economic relations. However, the application of a single currency is not easy and needs to be controlled and regulated to ensure best practises throughout the Eurozone. Monetary integration is not a simple process, and Eurozone countries’ financial difficulties affect each other’s markets’ indifferent aspects. Particularly in any market recession, demand shocks tend to have different effects. Furthermore, in comparison to the monetary union, the CU has a considerable impact on trade enlargement.

Originality/value

In this study, the effects of the independent variables “wages, unemployment, CPI and capital flow” on the dependent variable “RGDP” is considered, which, in the OCA theory, supposes that countries with higher factor mobility can significantly profit from the currency area. In application, it was turned into crisis because of inadequate monetary and fiscal application. In this paper OCA is questioned in the light of the Eurozone for bringing better understanding to these difficulties. The considered model and estimations are used for evaluating to create sustainable monetary integration for economic growth.

Details

Journal of Economic and Administrative Sciences, vol. 37 no. 1
Type: Research Article
ISSN: 1026-4116

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Article
Publication date: 5 September 2017

Yongxia Ding and Shuwen Niu

This paper aims to analyze the internal relationships and tendency of residential energy consumption, income and carbon emissions.

Abstract

Purpose

This paper aims to analyze the internal relationships and tendency of residential energy consumption, income and carbon emissions.

Design/methodology/approach

Taking 30 provinces of China as the analysis unit and dividing them into two types of urban and rural consumer groups, the panel data model was built. In addition, panel unit root test, panel cointegration test and panel Granger causality test were also used.

Findings

The results showed that there are long-run equilibrium relationships between the three variables, which show the regular tendency in the spatial process. The elasticity coefficients of residential energy consumption and CO2 emissions vary across the three regions and decline continuously from the western to central and eastern regions. In addition, geographic location is also an important factor on the energy consumption and CO2 emissions in residential sector.

Originality/value

This paper provides some points for policies on cutting energy use and pollution in residential sector.

Details

International Journal of Energy Sector Management, vol. 11 no. 4
Type: Research Article
ISSN: 1750-6220

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Book part
Publication date: 21 November 2014

Cheng Hsiao

This paper provides a selective survey of the panel macroeconometric techniques that focus on controlling the impact of “unobserved heterogeneity” across individuals and…

Abstract

This paper provides a selective survey of the panel macroeconometric techniques that focus on controlling the impact of “unobserved heterogeneity” across individuals and over time to obtain valid inference for “structures” that are common across individuals and over time. We consider issues of (i) estimating vector autoregressive models; (ii) testing of unit root or cointegration; (iii) statistical inference for dynamic simultaneous equations models; (iv) policy evaluation; and (v) aggregation and prediction.

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Essays in Honor of Peter C. B. Phillips
Type: Book
ISBN: 978-1-78441-183-1

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Book part
Publication date: 10 September 2018

David C. Giles

Abstract

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Twenty-First Century Celebrity: Fame In Digital Culture
Type: Book
ISBN: 978-1-78754-212-9

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Book part
Publication date: 10 September 2018

David C. Giles

Abstract

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Twenty-First Century Celebrity: Fame In Digital Culture
Type: Book
ISBN: 978-1-78754-212-9

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