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Long-run relationship of prime lending rate toward reference rate of monetary authority in Indonesia
Published in Siska Noviaristanti, Contemporary Research on Management and Business, 2023
The Johansen test is used to determine whether or not the variables in being tested have a long term relationship. This test was developed by Johansen (1992), and the model mimics the one used by Liu et al. (2011) as follow: Δyt=Πyt−1+∑j=1kГiΔyt−j+μ+εt
The dynamic relationship between energy consumption and economic growth in China
Published in Energy Sources, Part B: Economics, Planning, and Policy, 2018
R. M. Kapila Tharanga Rathnayaka, D. M. K. N. Seneviratna, Wei Long
Incorporating all these co-integrated properties with the Johansen test, the VECM is introduced to test the Granger causation of the series in at least one direction. In this study, Johansen co-integration with VECM will be adopted to examine the dynamic links between the per capita GDP and the EC in China. As an initial and essential requirement, VECM necessitates the time series to be co-integrated with the same order. If the series is nonstationary, need to make difference d times until it will become under the stationary. The VECM for real gross domestic product (GDP) per capita, total EC, and total population (POP) can be implicated by equations as follows:
Sustainable infrastructure for Nigeria’s sustainable economic development: whither transportation or electric power supply?
Published in Journal of Mega Infrastructure & Sustainable Development, 2022
Based on the unit root test result, co-integration analysis employing the Johansen test approach of the combined linear unrestricted Vector Error Correction Model (VECM) and Vector Autoregressive (VAR) at appropriate lag length of (1) was used, based on Schwarz criterion (SIC). The Johansen test approach is a type of ordinary least square model, useful and applicable to small sample sizes with stationarity time series at first order of integration I (1) to determine the long-run relationship between the economic variables.