Investigating Symmetrical and Asymmetrical Cointegration of the Factors Affecting the Passenger Rail Demand in Tehran Province

Mohammad Reza Kohansal and Sasan Torabi

International Journal of Academic Research in Business and Social Sciences, 2015, vol. 5, issue 5, 70-80

Abstract: The current paper investigates the factors affecting rail transportation demand using econometric time series in Tehran province. To this end, first the Augmented Dickey-Fuller (ADF) test and then the Johansen cointegration test were applied respectively to study the stationarity of variables of the model. After assuring the stationarity of the variables, Johanson test is applied to assess the balanced and long-term their relationship. The results are indicative of a balanced and long-term relationship. Then Vector Auto Regression Model (VAR) was applied to investigate the dynamism using the two criteria of Impulse Response Function (IRF) and Variance Decomposition (VD). In addition, Error Correcation Model (ECM) was used to investigate the relation between short and long term fluctuations in passenger rail demand. Also the asymmetric cointegration relationship (nonlinear relationship) was investigated between the variables of the model using Enders and Siklos method (Enders and Siklos, 2001). To this end, Threshold Autoregressive (TAR) Model was applied. The result of this estimate pattern is found that there exists asymmetric cointegration relationship between variables.

Keywords: Passenger Rail Demand; Tehran Province; Symmetrical and Asymmetrical Cointegration; TAR (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:hur:ijarbs:v:5:y:2015:i:5:p:70-80

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