Cross country comparison and performance of model selection techniques for bounds test of cointegration: Evidence from brıcs countries

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Tarih

2019

Yazarlar

Khan, Asad ul Islam

Dergi Başlığı

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Cilt Başlığı

Yayıncı

Pazıl Reklam Danışmanlık Matbaa ve Organizasyon Ltd. Şti.

Erişim Hakkı

info:eu-repo/semantics/closedAccess

Araştırma projeleri

Organizasyon Birimleri

Organizasyon Birimi
İnsan ve Toplum Bilimleri Fakültesi, İktisat Bölümü
İktisat Bölümü, başta Türkiye ve çevre ülkeler olmak üzere küresel ekonomileri anlayan, var olan sorunları analiz ederken, iktisadi kuramları ve kavramları yetkin ve özgün bir şekilde kullanma becerisine sahip bireyler yetiştirmeyi amaçlamaktadır.

Dergi sayısı

Özet

Only unstructured single path model selection techniques i.e. Information Criteria are used by Bounds test for plausible model selection. This paper evaluates the performance of these five routinely used information criteria (AIC, AICC, BIC, BICC and HQC) along with three structured single path model selection approaches (Forward Selection, Backward Elimination and Stepwise) to be used in Bounds test for plausible model selection by examining the long-run relationship between three pairs of macroeconomic variables i.e. (Energy Consumption (EC) and GDP), (Oil Price (OP) and GDP) and (Broad Money (BM) and GDP) for BRICS countries. In addition, the existence of long run relationship for the three pairs is also assessed and compared across five BRICS economies. It is found that BIC and Backward Elimination procedures are better. Moreover, significant evidence of level relationship between (EC and GDP) and (OP and GDP) is found for all five economies except Brazil..

Açıklama

Anahtar Kelimeler

Bounds Cointegration Test, Information Criterion, Model Selection Techniques, Plausible Model

Kaynak

The 6th International Congress on Energy, Economy and Security (ENSCON), 8-10 November 2019

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Scopus Q Değeri

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Sayı

Künye

Khan, A. I. (2019). Cross country comparison and performance of model selection techniques for bounds test of cointegration: Evidence from brıcs countries. The 6th International Congress on Energy, Economy and Security (ENSCON), Istanbul, 8-10 November 2019.