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Reformulating Critical Values for the Bounds F- statistics Approach to Cointegration: An Application to the Tourism Demand Model for Fiji
Open accessAbstract
This paper examines the short-and long-run relationships between visitor arrivals to Fiji, real disposable incomes, and own-hotel price and substitute hotel price for the period 1970-2000, using the bounds testing approach to cointegration and error correction models. The paper's main contribution is that it generates bounds F-statistic critical values specific to the study's sample size (31 observations) and finds that critical values are 35.5% higher than those reported in Pesaran et al. (2001) for 1000 observations and 17.1% higher than those reported in Pesaran and Pesaran (1997) for 500 observations for a model with 4 regressors and an intercept. In the light of this, we tabulate critical values for sample sizes ranging from 30 observations to 80 observations, which will be usefull for future researchers using the bounds testing approach to cointegration.
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Cites
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Bounds testing approaches to the analysis of level relationships
Pesaran, M. H., Shin, Y., & Smith, R. J. (2001) · Journal of Applied Econometrics · doi:10.1002/jae.616 · Cited by 20,385
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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
Johansen, S. (1991) · Econometrica · doi:10.2307/2938278 · Cited by 11,116
An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis
Pesaran, M. H., & Shin, Y. (2012) · Econometrics and Economic Theory in the 20th Century · doi:10.1017/ccol521633230.011 · Cited by 3,937
Asymptotic Properties of Residual Based Tests for Cointegration
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The Role of Economic Theory in Modelling The Long Run
Pesaran, M. H. (1997) · The Economic Journal · doi:10.1111/1468-0297.00151 · Cited by 722
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Metadata
- Authors
- Narayan, P. K.
- Venue
- Figshare
- Publisher
- Figshare (United Kingdom)
- Published
- 2017-01-01
- OpenAlex
- W1899369799
- Cited by
- 431
- References
- 25
- FWCI
- 72.70
- Type
- journal article
- Language
- en
- Open access
- green
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