Nothing Special   »   [go: up one dir, main page]
create a website
Tests for cointegration a Monte Carlo comparison. (1996). Haug, Alfred.
In: Journal of Econometrics.
RePEc:eee:econom:v:71:y:1996:i:1-2:p:89-115.

Full description at Econpapers || Download paper

Cited: 142

Citations received by this document

Cites: 43

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. The demand for money at the zero interest rate bound. (2023). Yabu, Tomoyoshi ; Watanabe, Tsutomu.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:38:y:2023:i:6:p:968-976.

    Full description at Econpapers || Download paper

  2. Penalized leads-and-lags cointegrating regression: a simulation study and two empirical applications. (2023). Neto, David.
    In: Empirical Economics.
    RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-023-02362-5.

    Full description at Econpapers || Download paper

  3. Testing for integration and cointegration when time series are observed with noise. (2023). Pelagatti, Matteo ; Parisio, Lucia ; Maranzano, Paolo ; Gianfreda, Angelica.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001645.

    Full description at Econpapers || Download paper

  4. Mortgage credit and house prices: The housing market equilibrium revisited. (2023). Boelhouwer, Peter ; de Haan, Jan ; van der Drift, Rosa.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:120:y:2023:i:c:s026499932200373x.

    Full description at Econpapers || Download paper

  5. Inference on common trends in functional time series. (2023). Seo, Won-Ki ; Nielsen, Morten Orregaard ; Seong, Dakyung.
    In: Papers.
    RePEc:arx:papers:2312.00590.

    Full description at Econpapers || Download paper

  6. The Demand for Money at the Zero Interest Rate Bound. (2022). Yabu, Tomoyoshi ; Watanabe, Tsutomu.
    In: Working Papers on Central Bank Communication.
    RePEc:upd:utmpwp:044.

    Full description at Econpapers || Download paper

  7. The probabilities of type I and II error of null of cointegration tests: A Monte Carlo comparison. (2022). Aysan, Ahmet ; Guney, Ibrahim ; Ul, Asad ; Isac, Nicoleta.
    In: PLOS ONE.
    RePEc:plo:pone00:0259994.

    Full description at Econpapers || Download paper

  8. Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models. (2022). Taylor, Robert ; De Angelis, Luca ; Cavaliere, Giuseppe ; Boswijk, Peter H.
    In: Papers.
    RePEc:arx:papers:2202.02532.

    Full description at Econpapers || Download paper

  9. Japan’s Voluntary Lockdown: Further Evidence Based on Age-Specific Mobile Location Data. (2021). Yabu, Tomoyoshi ; Watanabe, Tsutomu.
    In: Working Papers on Central Bank Communication.
    RePEc:upd:utmpwp:034.

    Full description at Econpapers || Download paper

  10. A model selection approach to jointly testing for structural breaks and cointegration with application to the Eurocurrency interest rates market. (2021). Wang, Zijun ; Qian, Yan.
    In: Empirical Economics.
    RePEc:spr:empeco:v:61:y:2021:i:2:d:10.1007_s00181-020-01916-1.

    Full description at Econpapers || Download paper

  11. Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises. (2021). Kunze, Frederik ; Basse, Tobias ; Wegener, Christoph ; Stege, Nikolas.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-020-03762-x.

    Full description at Econpapers || Download paper

  12. The Neo-Fisherian hypothesis: empirical implications and evidence?. (2020). Crowder, William.
    In: Empirical Economics.
    RePEc:spr:empeco:v:58:y:2020:i:6:d:10.1007_s00181-018-1591-8.

    Full description at Econpapers || Download paper

  13. The Demand for Money at the Zero Interest Rate Bound. (2018). Yabu, Tomoyoshi ; Watanabe, Tsutomu.
    In: Working Papers on Central Bank Communication.
    RePEc:upd:utmpwp:002.

    Full description at Econpapers || Download paper

  14. The dynamics and determinants of Kuwaits long-run economic growth. (2018). Mohaddes, Kamiar ; Al-Musallam, Marwa ; Alawadhi, Ahmad ; Burney, Nadeem A.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:71:y:2018:i:c:p:289-304.

    Full description at Econpapers || Download paper

  15. The Demand for Money at the Zero Interest Rate Bound. (2018). Yabu, Tomoyoshi ; Watanabe, Tsutomu.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf444.

    Full description at Econpapers || Download paper

  16. Impacts of the TPP Agreement on Beef Demand in Japan: An Analysis by Class. (2018). Maeda, Koshi ; Takahashi, Kohya.
    In: Japanese Journal of Agricultural Economics (formerly Japanese Journal of Rural Economics).
    RePEc:ags:jpjjre:314867.

    Full description at Econpapers || Download paper

  17. On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts. (2017). Herrmann, Klaus ; Krauss, Christopher.
    In: JRFM.
    RePEc:gam:jjrfmx:v:10:y:2017:i:1:p:7-:d:89525.

    Full description at Econpapers || Download paper

  18. Unemployment and Inflation: Implication on Poverty Level in Nigeria. (2016). Siyan, Peter ; Adolphus, James Ademola ; Adegoriola, Adewale E.
    In: MPRA Paper.
    RePEc:pra:mprapa:79765.

    Full description at Econpapers || Download paper

  19. Natural resources and the spread of HIV/AIDS: Curse or blessing?. (2016). Sterck, Olivier.
    In: Social Science & Medicine.
    RePEc:eee:socmed:v:150:y:2016:i:c:p:271-278.

    Full description at Econpapers || Download paper

  20. The effect of mortgage interest deduction and mortgage characteristics on house prices. (2016). Buyst, Erik ; Damen, Sven ; Vastmans, Frank .
    In: Journal of Housing Economics.
    RePEc:eee:jhouse:v:34:y:2016:i:c:p:15-29.

    Full description at Econpapers || Download paper

  21. The Fisher effect in the presence of time-varying coefficients. (2016). Pantelidis, Theologos ; Panopoulou, Ekaterini.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:100:y:2016:i:c:p:495-511.

    Full description at Econpapers || Download paper

  22. On the power and size properties of cointegration tests in the light of high-frequency stylized facts. (2015). Krauss, Christopher ; Teis, Stefan ; Herrmann, Klaus .
    In: FAU Discussion Papers in Economics.
    RePEc:zbw:iwqwdp:112015.

    Full description at Econpapers || Download paper

  23. Regression-based analysis of cointegration systems. (2015). Gómez Biscarri, Javier ; Gomez-Biscarri, Javier ; Hualde, Javier.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:186:y:2015:i:1:p:32-50.

    Full description at Econpapers || Download paper

  24. Turkiye’de Cari Islemler Aciginin Surdurulebilirligi. (2014). Acikgoz, Senay ; AKCAGLAYAN, Anil.
    In: Ege Academic Review.
    RePEc:ege:journl:v:14:y:2014:i:1:p:83-97.

    Full description at Econpapers || Download paper

  25. Regression-based analysis of cointegration systems. (2014). Gómez Biscarri, Javier ; Gomez-Biscarri, Javier ; Hualde, Javier.
    In: Working Papers.
    RePEc:bge:wpaper:780.

    Full description at Econpapers || Download paper

  26. .

    Full description at Econpapers || Download paper

  27. A wavelet approach to multiple cointegration testing. (2013). Fernandez-Macho, Javier.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:668.

    Full description at Econpapers || Download paper

  28. A Test for the Null of Multiple Cointegrating Vectors. (2013). Fernandez-Macho, Javier.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:657.

    Full description at Econpapers || Download paper

  29. Oil exports and the Iranian economy. (2013). Pesaran, M ; Mohaddes, Kamiar ; Esfahani, Hadi.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:53:y:2013:i:3:p:221-237.

    Full description at Econpapers || Download paper

  30. Single-equation tests for Cointegration with GLS Detrended Data. (2013). Rodríguez, Gabriel ; Perron, Pierre ; Rodriguez, Gabriel.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2013-016.

    Full description at Econpapers || Download paper

  31. Growth Empirics: Evidence from Sierra Leone. (2013). Kallon, Kelfala M..
    In: African Development Review.
    RePEc:bla:afrdev:v:25:y:2013:i:2:p:215-230.

    Full description at Econpapers || Download paper

  32. On the cointegration of international stock indices. (2012). Fu, Richard ; Pagani, Marco.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:36:y:2012:i:2:p:463-480.

    Full description at Econpapers || Download paper

  33. Savings and Investments in the OECD: a panel cointegration study with a new bootstrap test. (2012). Fachin, Stefano ; Di Iorio, Francesca.
    In: DSS Empirical Economics and Econometrics Working Papers Series.
    RePEc:sas:wpaper:20122.

    Full description at Econpapers || Download paper

  34. An Empirical Growth Model for Major Oil Exporters. (2012). Pesaran, M ; Mohaddes, Kamiar ; Esfahani, Hadi.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp6468.

    Full description at Econpapers || Download paper

  35. Oil Prices, External Income, and Growth: Lessons from Jordan. (2012). Raissi, Mehdi ; Mohaddes, Kamiar.
    In: Working Papers.
    RePEc:erg:wpaper:688.

    Full description at Econpapers || Download paper

  36. An Empirical Growth Model for Major Oil Exporters. (2012). Pesaran, M ; Mohaddes, Kamiar ; Esfahani, Hadi Salehi.
    In: Working Papers.
    RePEc:erg:wpaper:680.

    Full description at Econpapers || Download paper

  37. Modeling coexisting business scenarios with time-series panel data: A dynamics-based segmentation approach. (2012). Sismeiro, Catarina ; Bucklin, Randolph E ; Mizik, Natalie .
    In: International Journal of Research in Marketing.
    RePEc:eee:ijrema:v:29:y:2012:i:2:p:134-147.

    Full description at Econpapers || Download paper

  38. The long-term relationships among Chinas energy consumption sources and adjustments to its renewable energy policy. (2012). Zou, Gao Lu .
    In: Energy Policy.
    RePEc:eee:enepol:v:47:y:2012:i:c:p:456-467.

    Full description at Econpapers || Download paper

  39. An Empirical Growth Model for Major Oil Exporters. (2012). Pesaran, M ; Mohaddes, Kamiar ; Esfahani, Hadi.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3780.

    Full description at Econpapers || Download paper

  40. An Empirical Growth Model for Major Oil Exporters. (2012). Pesaran, M ; Mohaddes, Kamiar ; Esfahani, Hadi.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1215.

    Full description at Econpapers || Download paper

  41. Testing for Cointegration in the Presence of Moving Average Errors. (2012). Lence, Sergio ; Mallory, Mindy.
    In: Journal of Time Series Econometrics.
    RePEc:bpj:jtsmet:v:4:y:2012:i:2:n:2.

    Full description at Econpapers || Download paper

  42. Sovereign CDS and Bond Pricing Dynamics in the Euro-area. (2011). Portes, Richard ; Palladini, Giorgia .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17586.

    Full description at Econpapers || Download paper

  43. Oil Prices, External Income, and Growth; Lessons From Jordan. (2011). Mohaddes, Kamiar ; Raissi, Mehdi.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2011/291.

    Full description at Econpapers || Download paper

  44. An exploration of dynamic relationship between tourist arrivals, inflation, unemployment and crime rates in Malaysia. (2011). TANG, Chor Foon.
    In: International Journal of Social Economics.
    RePEc:eme:ijsepp:v:38:y:2011:i:1:p:50-69.

    Full description at Econpapers || Download paper

  45. Sovereign CDS and Bond Pricing Dynamics in the Euro-area. (2011). Portes, Richard ; Palladini, Giorgia .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8651.

    Full description at Econpapers || Download paper

  46. Oil Prices, External Income, and Growth: Lessons from Jordan. (2011). Raissi, Mehdi ; Mohaddes, Kamiar.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1164.

    Full description at Econpapers || Download paper

  47. Structural Breaks and the Fisher Effect. (2011). Haug, Alfred ; Beyer, Andreas ; Dewald, William.
    In: The B.E. Journal of Macroeconomics.
    RePEc:bpj:bejmac:v:11:y:2011:i:1:n:9.

    Full description at Econpapers || Download paper

  48. A Panel Cointegration study of the long-run relationship between Savings and Investments in the OECD economies, 1970-2007. (2010). Fachin, Stefano ; Di Iorio, Francesca.
    In: MPRA Paper.
    RePEc:pra:mprapa:25873.

    Full description at Econpapers || Download paper

  49. Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study. (2010). .
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00564897.

    Full description at Econpapers || Download paper

  50. Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study. (2010). Mogliani, Matteo.
    In: PSE Working Papers.
    RePEc:hal:psewpa:halshs-00564897.

    Full description at Econpapers || Download paper

  51. Oil Exports and the Iranian Economy. (2010). Pesaran, M ; Mohaddes, Kamiar ; Esfahani, Hadi.
    In: Working Papers.
    RePEc:erg:wpaper:534.

    Full description at Econpapers || Download paper

  52. Import demand behavior in Africa: Some new evidence. (2010). Arize, Augustine C. ; Nippani, Srinivas .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:50:y:2010:i:3:p:254-263.

    Full description at Econpapers || Download paper

  53. Price Discovery for Segmented US‐Listed Chinese Stocks: Location or Market Quality?. (2010). Li, Guangzhong ; Chen, K C ; Wu, Lifan.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:37:y:2010:i:1-2:p:242-269.

    Full description at Econpapers || Download paper

  54. Price Discovery for Segmented US-Listed Chinese Stocks: Location or Market Quality?. (2010). LI, GUANGZHONG ; Wu, Lifan ; Chen, K. C..
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:37:y:2010-01:i:1-2:p:242-269.

    Full description at Econpapers || Download paper

  55. Combining Non-Cointegration Tests. (2009). Bayer, Christian ; Hanck, Christoph .
    In: Research Memorandum.
    RePEc:unm:umamet:2009012.

    Full description at Econpapers || Download paper

  56. Oil Exports and the Iranian Economy. (2009). Pesaran, M ; Mohaddes, Kamiar ; Esfahani, Hadi.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp4537.

    Full description at Econpapers || Download paper

  57. Three essays concerning agriculture and energy. (2009). Baker, Mindy Lyn.
    In: ISU General Staff Papers.
    RePEc:isu:genstf:200901010800001849.

    Full description at Econpapers || Download paper

  58. Use of composite forest commodity price indices for cointegration analysis. (2009). Kant, Shashi ; Mehrotra, Shiv N..
    In: Journal of Forest Economics.
    RePEc:eee:foreco:v:15:y:2009:i:4:p:237-260.

    Full description at Econpapers || Download paper

  59. Structural breaks, cointegration and the Fisher effect. (2009). Haug, Alfred ; Beyer, Andreas ; Dewald, William G..
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20091013.

    Full description at Econpapers || Download paper

  60. Oil Exports and the Iranian Economy. (2009). Pesaran, M ; Mohaddes, Kamiar ; Esfahani, Hadi.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2843.

    Full description at Econpapers || Download paper

  61. Exchange rate volatility and United Kingdom trade: evidence from Canada, Japan and New Zealand. (2008). Choudhry, Taufiq.
    In: Empirical Economics.
    RePEc:spr:empeco:v:35:y:2008:i:3:p:607-619.

    Full description at Econpapers || Download paper

  62. Exchange Rate Regime and Demand for Reserves: Evidence from Kenya, Mexico and Philippines. (2008). Choudhry, Taufiq ; Hasan, Mohammad.
    In: Open Economies Review.
    RePEc:kap:openec:v:19:y:2008:i:2:p:167-181.

    Full description at Econpapers || Download paper

  63. In search of FDI-led growth in developing countries: The way forward. (2008). Nowak-Lehmann D., Felicitas ; Klasen, Stephan ; Herzer, Dierk.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:25:y:2008:i:5:p:793-810.

    Full description at Econpapers || Download paper

  64. A Simple Test for Cointegration in Dependent Panels with Structural Breaks. (2008). Westerlund, Joakim ; Edgerton, David.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:70:y:2008:i:5:p:665-704.

    Full description at Econpapers || Download paper

  65. In search of FDI-led growth in developing countries. (2007). Nowak-Lehmann D., Felicitas ; Klasen, Stephan ; Herzer, Dierk ; Danzinger, Felicitas Nowak-Lehmann .
    In: Proceedings of the German Development Economics Conference, Göttingen 2007.
    RePEc:zbw:gdec07:6537.

    Full description at Econpapers || Download paper

  66. The long and short of money: short-run dynamics within a structural model. (2007). Schmidt, Martin.
    In: Applied Economics.
    RePEc:taf:applec:v:40:y:2007:i:2:p:175-192.

    Full description at Econpapers || Download paper

  67. Fragmentation and East Asias information technology trade. (2007). Gangnes, Byron ; Bonham, Carl ; van Assche, Ari.
    In: Applied Economics.
    RePEc:taf:applec:v:39:y:2007:i:2:p:215-228.

    Full description at Econpapers || Download paper

  68. M1 demand and volatility. (2007). Schmidt, Martin.
    In: Empirical Economics.
    RePEc:spr:empeco:v:32:y:2007:i:1:p:85-104.

    Full description at Econpapers || Download paper

  69. Linear or Nonlinear Cointegration in the Purchasing Power Parity Relationship?. (2007). Haug, Alfred ; Basher, Syed.
    In: Working Papers.
    RePEc:otg:wpaper:0712.

    Full description at Econpapers || Download paper

  70. Une synthèse de lexogénéité dans les modèles Vectoriels à Correction dErreurs. (2007). Rault, Christophe.
    In: LEO Working Papers / DR LEO.
    RePEc:leo:wpaper:1723.

    Full description at Econpapers || Download paper

  71. Simple Tests for Cointegration in Dependent Panels with Structural Breaks. (2007). Westerlund, Joakim ; Edgerton, David.
    In: Working Papers.
    RePEc:hhs:lunewp:2006_013.

    Full description at Econpapers || Download paper

  72. Common stochastic trends among Far East stock prices: Effects of the Asian financial crisis. (2007). Peng, KE ; Choudhry, Taufiq ; Lu, Lin.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:16:y:2007:i:3:p:242-261.

    Full description at Econpapers || Download paper

  73. Testing for Error Correction in Panel Data. (2006). Westerlund, Joakim.
    In: Research Memorandum.
    RePEc:unm:umamet:2006056.

    Full description at Econpapers || Download paper

  74. African terms of trade and the commodity terms of trade: close cousins or distant relatives?. (2006). Cashin, Paul ; Pattillo, Catherine .
    In: Applied Economics.
    RePEc:taf:applec:v:38:y:2006:i:8:p:845-859.

    Full description at Econpapers || Download paper

  75. The equilibrium relationship among money, income, prices, and interest rates: evidence from a threshold cointegration test. (2006). Maki, Daiki ; Kitasaka, Shin-Ichi.
    In: Applied Economics.
    RePEc:taf:applec:v:38:y:2006:i:13:p:1585-1592.

    Full description at Econpapers || Download paper

  76. Non-linear adjustment in the term structure of interest rates: a cointegration analysis in the non-linear STAR framework. (2006). Maki, Daiki .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:16:y:2006:i:17:p:1301-1307.

    Full description at Econpapers || Download paper

  77. New Improved Tests for Cointegration with Structural Breaks. (2006). Westerlund, Joakim ; Edgerton, David.
    In: Working Papers.
    RePEc:hhs:lunewp:2006_003.

    Full description at Econpapers || Download paper

  78. In search of FDI-led growth in developing countries. (2006). Nowak-Lehmann D., Felicitas ; Klasen, Stephan ; Herzer, Dierk.
    In: Ibero America Institute for Econ. Research (IAI) Discussion Papers.
    RePEc:got:iaidps:150.

    Full description at Econpapers || Download paper

  79. Analysis of panel vector error correction models using maximum likelihood, the bootstrap, and canonical-correlation estimators. (2006). Rasche, Robert ; Anderson, Richard ; Qian, Hailong .
    In: Working Papers.
    RePEc:fip:fedlwp:2006-050.

    Full description at Econpapers || Download paper

  80. Market efficiency and cointegration of spot exchange rates during periods of economic turmoil: Another look at European and Asian currency crises. (2006). Phengpis, Chanwit .
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:58:y:2006:i:4:p:323-342.

    Full description at Econpapers || Download paper

  81. Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression. (2006). Perron, Pierre ; Kejriwal, Mohitosh.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2006-035.

    Full description at Econpapers || Download paper

  82. A Gaussian IV estimator of cointegrating relations. (2006). Haldrup, Niels ; BÃ¥rdsen, Gunnar.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2006-03.

    Full description at Econpapers || Download paper

  83. Testing Cointegration Rank in Large Systems. (2005). Hsiao, Chih-Ying ; Chen, Pu.
    In: Econometrics.
    RePEc:wpa:wuwpem:0504002.

    Full description at Econpapers || Download paper

  84. Test for cointegration based on two-stage least squares. (2005). Al-Ballaa, Norah.
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:32:y:2005:i:7:p:707-713.

    Full description at Econpapers || Download paper

  85. Evidence for common features in G7 macroeconomic time series. (2005). Harvey, David ; Mills, Terence .
    In: Applied Economics.
    RePEc:taf:applec:v:37:y:2005:i:2:p:165-175.

    Full description at Econpapers || Download paper

  86. Does Insurance Promote Economic Growth? Evidence from the UK. (2005). Kugler, Maurice ; Ofoghi, Reza.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:8.

    Full description at Econpapers || Download paper

  87. Panel Cointegration Tests with Deterministic Trends and Structural Breaks. (2005). Westerlund, Joakim ; Edgerton, David.
    In: Working Papers.
    RePEc:hhs:lunewp:2005_042.

    Full description at Econpapers || Download paper

  88. Testing for Error Correction in Panel Data. (2005). Westerlund, Joakim.
    In: Working Papers.
    RePEc:hhs:lunewp:2005_011.

    Full description at Econpapers || Download paper

  89. A Monte Carlo study on the pitfalls in determining deterministic components in cointegrating models. (2005). Hjelm, Goran ; Johansson, Martin W..
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:27:y:2005:i:4:p:691-703.

    Full description at Econpapers || Download paper

  90. Exchange rate volatility and the United States exports: evidence from Canada and Japan. (2005). Choudhry, Taufiq.
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:19:y:2005:i:1:p:51-71.

    Full description at Econpapers || Download paper

  91. Small-sample improvements in the statistical analysis of seasonally cointegrated systems. (2005). Omtzigt, Pieter ; Cubadda, Gianluca.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:49:y:2005:i:2:p:333-348.

    Full description at Econpapers || Download paper

  92. Asian Currency Crisis and the Generalized PPP: Evidence from the Far East. (2005). Choudhry, Taufiq.
    In: Asian Economic Journal.
    RePEc:bla:asiaec:v:19:y:2005:i:2:p:137-157.

    Full description at Econpapers || Download paper

  93. Indirect Utility Maximization under Risk: A Heterogeneous Panel Application. (2005). Shumway, C. ; Liu, Yucan .
    In: 2005 Annual Meeting, July 6-8, 2005, San Francisco, California.
    RePEc:ags:waeasa:36307.

    Full description at Econpapers || Download paper

  94. Rice World Market Prices. (2005). Anderson, David ; Outlaw, Joe ; Bryant, Henry .
    In: 2005 Annual meeting, July 24-27, Providence, RI.
    RePEc:ags:aaea05:19178.

    Full description at Econpapers || Download paper

  95. Mixed signals among tests for cointegration. (2004). Haug, Alfred ; Gregory, Allan ; Lomuto, Nicoletta.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:19:y:2004:i:1:p:89-98.

    Full description at Econpapers || Download paper

  96. Estimating the Relationship between Age Structure and GDP in the OECD Using Panel Cointegration Methods. (2004). Österholm, Pär.
    In: Working Paper Series.
    RePEc:hhs:uunewp:2004_013.

    Full description at Econpapers || Download paper

  97. Fragmentation and East Asia’s Information Technology Trade. (2004). Gangnes, Byron ; Bonham, Carl ; van Assche, Ari.
    In: Working Papers.
    RePEc:hai:wpaper:200409.

    Full description at Econpapers || Download paper

  98. Are real interest rates really nonstationary? New evidence from tests with good size and power. (2004). Weber, Christian ; Rapach, David E..
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:26:y:2004:i:3:p:409-430.

    Full description at Econpapers || Download paper

  99. Analytical evaluation of the power of tests for the absence of cointegration. (2004). Pesavento, Elena.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:122:y:2004:i:2:p:349-384.

    Full description at Econpapers || Download paper

  100. THE GENERALIZED COMPOSITE COMMODITY THEOREM AND FOOD DEMAND ESTIMATION. (2004). Levedahl, J. W. ; Hallahan, C. ; Reed, A. J..
    In: 2004 Annual meeting, August 1-4, Denver, CO.
    RePEc:ags:aaea04:20107.

    Full description at Econpapers || Download paper

  101. On the power of panel cointegration tests: A Monte Carlo comparison. Economics Letters, 80(1):105-111.. (2003). Gutierrez, Luciano.
    In: Econometrics.
    RePEc:wpa:wuwpem:0211003.

    Full description at Econpapers || Download paper

  102. Manufactured Exports, Capital Good Imports, and Economic Growth: Experience of Mexico and Brazil. (2003). Alam, Md..
    In: International Economic Journal.
    RePEc:taf:intecj:v:17:y:2003:i:4:p:85-105.

    Full description at Econpapers || Download paper

  103. Monetary dynamics: a market approach. (2003). Schmidt, Martin.
    In: Applied Economics.
    RePEc:taf:applec:v:35:y:2003:i:2:p:139-152.

    Full description at Econpapers || Download paper

  104. Size and power of some cointegration tests under structural breaks and heteroskedastic noise. (2003). Hoglund, Rune ; stermark, Ralf .
    In: Statistical Papers.
    RePEc:spr:stpapr:v:44:y:2003:i:1:p:1-22.

    Full description at Econpapers || Download paper

  105. Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems. (2003). Omtzigt, Pieter ; Cubadda, Gianluca.
    In: Economics & Statistics Discussion Papers.
    RePEc:mol:ecsdps:esdp03012.

    Full description at Econpapers || Download paper

  106. Testing long-run PPP with infinite-variance returns. (2003). Falk, Barry ; Wang, Chun-Hsuan .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:18:y:2003:i:4:p:471-484.

    Full description at Econpapers || Download paper

  107. Testing for Cointegration in Misspecified Systems –A Monte Carlo Study of Size Distortions. (2003). Österholm, Pär.
    In: Working Paper Series.
    RePEc:hhs:uunewp:2003_021.

    Full description at Econpapers || Download paper

  108. Stock market volatility and the US consumer expenditure. (2003). Choudhry, Taufiq.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:25:y:2003:i:3:p:367-385.

    Full description at Econpapers || Download paper

  109. On the power of panel cointegration tests: a Monte Carlo comparison. (2003). Gutierrez, Luciano.
    In: Economics Letters.
    RePEc:eee:ecolet:v:80:y:2003:i:1:p:105-111.

    Full description at Econpapers || Download paper

  110. A Long run structural macroeconometric model of the UK. (2003). shin, yongcheol ; Pesaran, M ; Lee, Kevin ; Garratt, Anthony.
    In: Economic Journal.
    RePEc:ecj:econjl:v:113:y:2003:i:487:p:412-455.

    Full description at Econpapers || Download paper

  111. Bootstrapping and Bartlett corrections in the cointegrated VAR model. (2002). Omtzigt, Pieter ; Fachin, Stefano.
    In: Economics and Quantitative Methods.
    RePEc:ins:quaeco:qf0212.

    Full description at Econpapers || Download paper

  112. A Monte Carlo Study on the Pitfalls in Determining Deterministic Components in Cointegrating Models. (2002). Hjelm, Goran ; Johansson, Martin W.
    In: Working Papers.
    RePEc:hhs:lunewp:2002_003.

    Full description at Econpapers || Download paper

  113. Retail Interest Rate Pass-Through - The Irish Experience. (2002). O'Reilly, Gerard ; Fitzpatrick, Trevor ; Bredin, Don ; OReilly, Gerard.
    In: The Economic and Social Review.
    RePEc:eso:journl:v:33:y:2002:i:2:p:223-246.

    Full description at Econpapers || Download paper

  114. Imports and exports in 50 countries: Tests of cointegration and structural breaks. (2002). Arize, Augustine C..
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:11:y:2002:i:1:p:101-115.

    Full description at Econpapers || Download paper

  115. Temporal Aggregation and the Power of Cointegration Tests: a Monte Carlo Study. (2002). Haug, Alfred.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:64:y:2002:i:4:p:399-412.

    Full description at Econpapers || Download paper

  116. A REVIEW OF SYSTEMS COINTEGRATION TESTS. (2001). Saikkonen, Pentti ; Lütkepohl, Helmut ; Hubrich, Kirstin.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:20:y:2001:i:3:p:247-318.

    Full description at Econpapers || Download paper

  117. Trade Liberalisation and Industrial Growth in Pakistan: A Cointegration Analysis. (2001). Dutta, Dilip.
    In: ASARC Working Papers.
    RePEc:pas:asarcc:2001-01.

    Full description at Econpapers || Download paper

  118. Tests for the Null Hypothesis of Cointegration: a Monte Carlo Comparison. (2001). Gabriel, Vasco.
    In: NIPE Working Papers.
    RePEc:nip:nipewp:7/2001.

    Full description at Econpapers || Download paper

  119. Employment Adjustment in Portugal: Evidence from Aggregate and Firm Data. (2001). Teixeira, Paulino ; Addison, John.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp391.

    Full description at Econpapers || Download paper

  120. A simple cointegrating rank test without vector autoregression. (2001). Shintani, Mototsugu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:105:y:2001:i:2:p:337-362.

    Full description at Econpapers || Download paper

  121. A long run structural macroeconometric model of the UK. (2001). shin, yongcheol ; Pesaran, M ; Lee, Kevin ; Garratt, Anthony.
    In: ESE Discussion Papers.
    RePEc:edn:esedps:35.

    Full description at Econpapers || Download paper

  122. Retail Interest Rate Pass-Through: The Irish Experience. (2001). O'Reilly, Gerard ; Fitzpatrick, Trevor ; Bredin, Don.
    In: Research Technical Papers.
    RePEc:cbi:wpaper:6/rt/01.

    Full description at Econpapers || Download paper

  123. Should the Law of One Price be Pushed Away? Evidence from International Commodity Markets. (2000). Vataja, Juuso.
    In: Open Economies Review.
    RePEc:kap:openec:v:11:y:2000:i:4:p:399-415.

    Full description at Econpapers || Download paper

  124. Empirically relevant critical values for hypothesis tests: A bootstrap approach. (2000). Horowitz, Joel L. ; Savin, N. E..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:95:y:2000:i:2:p:375-389.

    Full description at Econpapers || Download paper

  125. Testing linear restrictions on cointegration vectors: Sizes and powers of Wald tests in finite samples. (1999). Haug, Alfred.
    In: Technical Reports.
    RePEc:zbw:sfb475:199904.

    Full description at Econpapers || Download paper

  126. Some Pretesting Issues on Testing for Granger Noncausality. (1999). Clarke, Judith ; Giles, Judith A. ; Mirza, Sadaf.
    In: Econometrics Working Papers.
    RePEc:vic:vicewp:9914.

    Full description at Econpapers || Download paper

  127. Simulating competing cointegration tests in a bivariate system. (1999). RALF OSTERMARK, RUNE HOGLUND, .
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:26:y:1999:i:7:p:831-846.

    Full description at Econpapers || Download paper

  128. A note on the long-run benefits from international equity diversification for a UK investor diversifying in the US equity market. (1999). Kanas, Angelos.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:6:y:1999:i:1:p:49-53.

    Full description at Econpapers || Download paper

  129. Spurious regression and residual-based tests for cointegration in panel data. (1999). Kao, Chihwa.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:90:y:1999:i:1:p:1-44.

    Full description at Econpapers || Download paper

  130. Canonical correlation statistics for testing the cointegration rank in a reversed order. (1998). Breitung, Jörg.
    In: SFB 373 Discussion Papers.
    RePEc:zbw:sfb373:1998105.

    Full description at Econpapers || Download paper

  131. Does exchange-rate volatility affect import flows in G-7 Countries? Evidence from cointegration models. (1998). Arize, A. C. ; Shwiff, S. S..
    In: Applied Economics.
    RePEc:taf:applec:v:30:y:1998:i:10:p:1269-1276.

    Full description at Econpapers || Download paper

  132. Linkages between the US and European equity markets: further evidence from cointegration tests. (1998). Kanas, Angelos.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:8:y:1998:i:6:p:607-614.

    Full description at Econpapers || Download paper

  133. Une évaluation économétrique de la soutenabilité de la dette extérieure des pays en développement.. (1998). Hénin, Pierre-Yves ; Fève, Patrick ; Feve, Patrick ; Henin, Pierre-Yves .
    In: Revue Économique.
    RePEc:prs:reveco:reco_0035-2764_1998_num_49_1_409964.

    Full description at Econpapers || Download paper

  134. The long-run relationship between import flows and real exchange-rate volatility: The experience of eight European economies. (1998). Arize, Augustine C..
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:7:y:1998:i:4:p:417-435.

    Full description at Econpapers || Download paper

  135. Are budget deficits too large?: The evidence from Taiwan. (1998). Wu, Jyh-lin.
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:9:y:1998:i:3:p:519-528.

    Full description at Econpapers || Download paper

  136. Order selection in testing for the cointegrating rank of a VAR process. (1997). Saikkonen, Pentti ; Lütkepohl, Helmut ; Lutkepohl, Helmut.
    In: SFB 373 Discussion Papers.
    RePEc:zbw:sfb373:199793.

    Full description at Econpapers || Download paper

  137. Spurious Regression and Residual-Based Tests for Cointegration in Panel Data When the Cross-Section and Time-Series Dimensions are Comparable. (1997). Kao, Chihwa.
    In: Econometrics.
    RePEc:wpa:wuwpem:9703002.

    Full description at Econpapers || Download paper

  138. Estimating a cointegrating demand system. (1997). Attfield, C. L. F., .
    In: European Economic Review.
    RePEc:eee:eecrev:v:41:y:1997:i:1:p:61-73.

    Full description at Econpapers || Download paper

  139. The international convergence of inflation rates during fixed and floating exchange rate regimes. (1996). Crowder, William.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:15:y:1996:i:4:p:551-575.

    Full description at Econpapers || Download paper

  140. Labor market dynamics when effort depends on wage growth comparisons. (1996). Urbain, Jean-Pierre ; Palm, Franz ; de la Croix, David.
    In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
    RePEc:ctl:louvir:1996019.

    Full description at Econpapers || Download paper

  141. Intertemporal Substitution in Import Demand and Habit Formation. (1996). Urbain, Jean-Pierre ; de la Croix, David.
    In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
    RePEc:ctl:louvir:1996002.

    Full description at Econpapers || Download paper

  142. Does the PPP need the UIP?. (). Serati, Massimiliano ; Helg, Rodolfo.
    In: Working Papers.
    RePEc:igi:igierp:97.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Ahn, S.K. ; Reinsel, G.C. Estimation of partially non-stationary multivariate autoregressive models. 1990 Journal of the American Statistical Association. 85 813-823
    Paper not yet in RePEc: Add citation now

  2. Andrews, D.W.K. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. 1991 Econometrica. 59 817-858

  3. Andrews, D.W.K. ; Monahan, J.C. An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. 1992 Econometrica. 60 953-966

  4. Banerjee, A. ; Dolado, J.J. ; Galbraith, J.W. ; Hendry, D.F. Cointegration, error-correction, and the analysis of non-stationary data. 1993 Oxford University Press: Oxford
    Paper not yet in RePEc: Add citation now

  5. Banerjee, A. ; Dolado, J.J. ; Hendry, D.F. ; Smith, G.W. Exploring equilibrium relationships in econometrics through static models: Some Monte Carlo evidence. 1986 Oxford Bulletin of Economics and Statistics. 48 253-277

  6. Bierens, H.J. ; Guo, S. Testing stationarity and trend stationarity against the unit root hypothesis. 1993 Econometric Reviews. 12 1-32
    Paper not yet in RePEc: Add citation now

  7. Blangiewicz, M. ; Charemza, W. Cointegration in small samples: Empirical percentiles, drifting moments and customized testing. 1990 Oxford Bulletin of Economics and Statistics. 52 303-315

  8. Boswijk, P. ; Franses, P.H. Dynamic specification and Cointegration. 1992 Oxford Bulletin of Economics and Statistics. 54 369-381

  9. Cheung, Y. ; Lai, K.S. Finite-sample sizes of Johansen's likelihood ratio tests for cointegration. 1993 Oxford Bulletin of Economics and Statistics. 55 313-328
    Paper not yet in RePEc: Add citation now

  10. DeJong, D.N. ; Nankervis, J.C. ; Savin, N.E. ; Whiteman, C.H. Integration versus trend stationarity in time series. 1992 Econometrica. 60 423-433

  11. Engle, R.F. ; Granger, C.W. Cointegration and error correction: Representation, estimation and testing. 1987 Econometrica. 55 251-276
    Paper not yet in RePEc: Add citation now

  12. Gonzalo, J. Comparison of five alternative methods of estimating long-run equilibrium relationships. 1994 Journal of Econometrics. 60 203-233

  13. Gregory, A.W. Testing for Cointegration in linear quadratic models. 1991 En : . Queen's University, Institute for Economic Research: Kingston

  14. Hansen, B.E. Tests for parameter instability in regressions with I(1) processes. 1992 Journal of Business and Economic Statistics. 10 321-335

  15. Hansen, B.E. ; Phillips, P.C.B. Estimation and inference in models of Cointegration: A simulation study. 1990 Advances in Econometrics. 8 225-248
    Paper not yet in RePEc: Add citation now
  16. Haug, A.A. Critical values for the Zα-Phillips-Ouliaris test for Cointegration. 1992 Oxford Bulletin of Economics and Statistics. 54 473-480
    Paper not yet in RePEc: Add citation now

  17. Haug, A.A. Residual based tests for Cointegration: A Monte Carlo study of size distortions. 1993 Economics Letters. 41 345-351

  18. Hooker, M.A. Testing for Cointegration: Power versus frequency of observation. 1993 Economics Letters. 41 359-362

  19. Hwang, J. ; Schmidt, P. On the power of point optimal tests of the trend stationary hypothesis. 1993 Economics Letters. 43 143-147
    Paper not yet in RePEc: Add citation now

  20. Johansen, S. Estimation and hypothesis testing of cointegration vector in Gaussian vector autoregressive models. 1991 Econometrica. 59 1551-1580

  21. Johansen, S. Statistical analysis of Cointegration vectors. 1988 Journal of Economic Dynamics and Control. 12 231-254

  22. Johansen, S. ; Juselius, K. Maximum likelihood estimation and inference on cointegration — With application to the demand for money. 1990 Oxford Bulletin of Economics and Statistics. 52 169-210

  23. Kahn, J.A. ; Ogaski, M. A consistent test for the null of stationarity against the alternative of a unit root. 1992 Economics Letters. 39 7-11

  24. Kiviet, J.F. ; Phillips, G.D.A. Exact similar tests for unit roots and cointegration. 1992 Oxford Bulletin of Economics and Statistics. 54 349-367

  25. Kremers, J.J.M. ; Ericsson, N.R. ; Dolado, J.J. The power of cointegration tests. 1992 Oxford Bulletin of Economics and Statistics. 54 325-348

  26. Kwiatkowski, D. ; Phillips, P.C.B. ; Schmidt, P. ; Shin, Y. Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?. 1992 Journal of Econometrics. 54 159-178

  27. Leybourne, S.J. ; McCabe, B.P.M. A simple test for cointegration. 1993 Oxford Bulletin of Economics and Statistics. 55 97-110
    Paper not yet in RePEc: Add citation now

  28. MacKinnon, J.G. Critical values for cointegration. 1991 En : Engle, R.F. ; Granger, C.W. Long-run economic relationships: Readings in cointegration. Oxford University Press: Oxford

  29. Ng, S. ; Perron, P. Unit root tests in ARMA models with data dependent methods for the selection of the truncation lag. 1993 En : Paper presented at the 1993 Canadian Econometrics Study Group Meeting. :
    Paper not yet in RePEc: Add citation now
  30. Osterwald-Lenum, M. A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank tests statistics. 1993 Oxford Bulletin of Economics and Statistics. 54 461-472
    Paper not yet in RePEc: Add citation now

  31. Park, J.Y. Canonical cointegrating regressions. 1992 Econometrica. 60 119-143

  32. Park, J.Y. Testing for unit roots and cointegration by variable addition. 1990 Advances in Econometrics. 8 107-133
    Paper not yet in RePEc: Add citation now

  33. Phillips, P.C.B. Some exact distribution theory for maximum likelihood estimators of cointegrating coefficients in error-correction models. 1994 Econometrica. 62 73-93

  34. Phillips, P.C.B. ; Hansen, B.E. Statistical inference in instrumental variable regression with I(1) processes. 1990 Review of Economic Studies. 57 99-125

  35. Phillips, P.C.B. ; Ouliaris, S. Asymptotic properties of residual based tests for cointegration. 1990 Econometrica. 58 165-193

  36. Reimers, H. Lag order determination in cointegrated VAR systems with application to small German macromodels. 1993 En : Paper presented at the 1993 Econometric Society European Meeting. :
    Paper not yet in RePEc: Add citation now

  37. Schwert, W.G. Effect of model specification on tests for unit roots in macroeconomic data. 1987 Journal of Monetary Economics. 20 73-103

  38. Schwert, W.G. Tests for unit roots: A Monte Carlo investigation. 1989 Journal of Business and Economic Statistics. 7 147-159

  39. Shiller, R.J. ; Perron, P. Testing the random walk hypotheses. 1985 Economics Letters. 18 381-386

  40. Stock, J.H. A class of tests for integration and cointegration. 1990 Harvard University, Department of Economics: Cambridge, MA
    Paper not yet in RePEc: Add citation now

  41. Stock, J.H. Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series. 1991 Journal of Monetary Economics. 28 783-820

  42. Stock, J.H. ; Watson, M.W. A simple estimator of cointegrating vectors in higher order integrated systems. 1993 Econometrica. 61 783-820

  43. Stock, J.H. ; Watson, M.W. Testing for common trends. 1988 Journal of the American Statistical Association. 83 1097-1107
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. The impact of oil shocks on the Spanish economy. (2011). Montañés, Antonio ; Gómez-Loscos, Ana ; Gadea, María ; Gmez-Loscos, Ana ; Montas, Antonio .
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:6:p:1070-1081.

    Full description at Econpapers || Download paper

  2. Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development. (2005). Dacorogna, Michel ; Aste, T. ; Di Matteo, T..
    In: Econometrics.
    RePEc:wpa:wuwpem:0503004.

    Full description at Econpapers || Download paper

  3. A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change. (2005). Perron, Pierre ; Deng, Ai.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2005-047.

    Full description at Econpapers || Download paper

  4. Tests of Conditional Predictive Ability. (2003). White, Halbert ; Giacomini, Raffaella.
    In: Econometrics.
    RePEc:wpa:wuwpem:0308001.

    Full description at Econpapers || Download paper

  5. Fixed-B Asymptotics in Single Equation Cointegration Models with Endogenous Regressors. (2003). Bunzel, Helle.
    In: Staff General Research Papers Archive.
    RePEc:isu:genres:10685.

    Full description at Econpapers || Download paper

  6. Short Run and Long Run Causality in Time Series: Inference. (2003). Renault, Eric ; Pelletier, Denis ; Dufour, Jean-Marie.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-61.

    Full description at Econpapers || Download paper

  7. Tests of conditional predictive ability. (2003). White, Halbert ; Giacomini, Raffaella.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:572.

    Full description at Econpapers || Download paper

  8. Improved nonparametric confidence intervals in time series regressions. (2002). Wolf, Michael ; Romano, Joseph P..
    In: Economics Working Papers.
    RePEc:upf:upfgen:635.

    Full description at Econpapers || Download paper

  9. Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?. (2002). Garcia Pascual, Antonio ; Cheung, Yin-Wong ; Chinn, Menzie.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9393.

    Full description at Econpapers || Download paper

  10. Testing for a Unit Root in Panels with Dynamic Factors. (2002). Perron, Benoit ; Moon, Hyungsik.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-18.

    Full description at Econpapers || Download paper

  11. Efficient Regression in Time Series Partial Linear Models. (2002). Xiao, Zhijie ; Phillips, Peter ; Guo, Binbin.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1363.

    Full description at Econpapers || Download paper

  12. Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence. (2002). Sul, Donggyu ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1362.

    Full description at Econpapers || Download paper

  13. Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models. (2002). Goncalves, Silvia.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-41.

    Full description at Econpapers || Download paper

  14. The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond. (2001). Valente, Giorgio ; Taylor, Mark ; Sarno, Lucio ; Clarida, Richard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8601.

    Full description at Econpapers || Download paper

  15. Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests. (2001). Wohar, Mark ; Carlson, John ; Pelz, Eduard A..
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0113.

    Full description at Econpapers || Download paper

  16. Improved nonparametric confidence intervals in time series regressions. (2001). Wolf, Michael ; Romano, Joseph P..
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws010201.

    Full description at Econpapers || Download paper

  17. A Dynamic Analysis of the Market for Wide-Bodied Commercial Aircraft. (2000). Benkard, Lanier C..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7710.

    Full description at Econpapers || Download paper

  18. The Pseudo-True Score Encompassing Test for Non-Nested Hypothesis. (2000). Kuan, Chung-Ming ; Chen, Yi-Ting.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1723.

    Full description at Econpapers || Download paper

  19. One-Sided Testing for ARCH Effect Using Wavelets. (2000). Lee, Jin .
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1214.

    Full description at Econpapers || Download paper

  20. Wavelet-based Estimation for Heteroskedasticity and Autocorrelation Consistent Variance-Covariance Matrices. (2000). Hong, Yongmiao ; Lee, Jin .
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1211.

    Full description at Econpapers || Download paper

  21. Long Memory or Structural Change: Testing Method and Empirical Examination. (2000). Hsu, Chih-Chiang .
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0867.

    Full description at Econpapers || Download paper

  22. Corruption and Resource Allocation Under Chinas Dual Track System. (2000). Li, Wei.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0179.

    Full description at Econpapers || Download paper

  23. Agency Costs, Credit Constraints and Corporate Investment. (1999). Hansen, Sten .
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0079.

    Full description at Econpapers || Download paper

  24. On the finite-sample accuracy of nonparametric resampling algorithms for economic time series. (1999). Kilian, Lutz ; Birgean, Ionel ; Berkowitz, Jeremy .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:1999-04.

    Full description at Econpapers || Download paper

  25. Emerging Markets and Trading Costs. (1999). Ghysels, Eric ; Cherkaoui, Mouna .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:99s-04.

    Full description at Econpapers || Download paper

  26. Cyclicality and Durability: Evidence from U.S. Consumers Expediture.. (1999). Cook, Steven.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:2:y:1999:n:2:p:299-310.

    Full description at Econpapers || Download paper

  27. Regression-Based Tests of Predictive Ability. (1998). West, Kenneth ; McCracken, Michael.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0226.

    Full description at Econpapers || Download paper

  28. The Uncertain Trend in U.S. GDP. (1998). Nelson, Charles ; Murray, Chris.
    In: Discussion Papers in Economics at the University of Washington.
    RePEc:fth:washer:0074.

    Full description at Econpapers || Download paper

  29. Long-Run PPP May Not Hold After All. (1998). Engel, Charles.
    In: Discussion Papers in Economics at the University of Washington.
    RePEc:fth:washer:0050.

    Full description at Econpapers || Download paper

  30. Consistent covariance matrix estimation in probit models with autocorrelated errors. (1998). Rodrigues, Anthony ; Estrella, Arturo.
    In: Staff Reports.
    RePEc:fip:fednsr:39.

    Full description at Econpapers || Download paper

  31. A multivariate cointegration analysis of the role of energy in the U.S. macroeconomy.. (1998). Stern, David.
    In: Working Papers in Ecological Economics.
    RePEc:anu:wpieep:9803.

    Full description at Econpapers || Download paper

  32. The Uncertain Trend in U.S. GDP. (1997). Nelson, Charles ; Murray, Christian .
    In: Computational Economics.
    RePEc:wpa:wuwpco:9702001.

    Full description at Econpapers || Download paper

  33. Bootstrap Testing for Fractional Integration. (1997). Andersson, Michael K. ; Gredenhoff, Mikael P..
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0188.

    Full description at Econpapers || Download paper

  34. The determinants of UK business cycles. (1997). Scott, Andrew ; Holland, Allison .
    In: Bank of England working papers.
    RePEc:boe:boeewp:58.

    Full description at Econpapers || Download paper

  35. Time series properties of global climate variables: detection and attribution of climate change. (1997). Stern, David ; Kaufmann, Robert.
    In: Working Papers in Ecological Economics.
    RePEc:anu:wpieep:9702.

    Full description at Econpapers || Download paper

  36. The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified.. (1996). Zivot, Eric.
    In: Econometrics.
    RePEc:wpa:wuwpem:9612001.

    Full description at Econpapers || Download paper

  37. Bootstrap Methods in Econometrics: Theory and Numerical Performance. (1996). Horowitz, Joel.
    In: Econometrics.
    RePEc:wpa:wuwpem:9602009.

    Full description at Econpapers || Download paper

  38. Shortages, interest rates, and money demand in Poland, 1969-1995,. (1996). Sterken, Elmer ; Nijsse, Erwin .
    In: Working Papers.
    RePEc:wop:ccsowp:0025.

    Full description at Econpapers || Download paper

  39. Long-Run PPP May Not Hold After All. (1996). Engel, Charles.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5646.

    Full description at Econpapers || Download paper

  40. Recent developments in bootstrapping time series. (1996). Kilian, Lutz ; Berkowitz, Jeremy .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:96-45.

    Full description at Econpapers || Download paper

  41. Unit Root Tests and the Burden of Proof. (1995). van Norden, Simon ; Amano, Robert.
    In: Econometrics.
    RePEc:wpa:wuwpem:9502005.

    Full description at Econpapers || Download paper

  42. Likelihood analysis of non-Gaussian parameter driven models. (1995). Shephard, Neil ; Pitt, Michael K.
    In: Economics Papers.
    RePEc:nuf:econwp:0015.

    Full description at Econpapers || Download paper

  43. Sampling Errors and Confidence Intervals for Order Statistics: Implementing the Family Support Act. (1995). Schmidt, Peter ; Horrace, William ; Witte, Ann Dryden .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5387.

    Full description at Econpapers || Download paper

  44. An Analysis of the Real Interest Rate Under Regime Shifts. (1995). Perron, Pierre ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-05.

    Full description at Econpapers || Download paper

  45. ASYMPTOTIC INFERENCE ABOUT PREDICTIVE ABILITY. (1994). West, Kenneth.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:9410002.

    Full description at Econpapers || Download paper

  46. A Comparison of Alternative Instrumental Variables Estimators of Dynamic Linear Model. (1994). Wilcox, David ; West, Kenneth.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:9410001.

    Full description at Econpapers || Download paper

  47. A Further Analysis of Exchange Rate Targeting in Canada. (1994). Wirjanto, Tony ; Amano, Robert.
    In: Econometrics.
    RePEc:wpa:wuwpem:9406001.

    Full description at Econpapers || Download paper

  48. A Further Analysis of Exchange Rate Targeting in Canada. (1994). Wirjanto, Tony ; Amano, Robert.
    In: Staff Working Papers.
    RePEc:bca:bocawp:94-2.

    Full description at Econpapers || Download paper

  49. Soft Landing of a Stock Market Bubble, An Experimental Study. (). Fischbacher, Urs ; Hens, Thorsten.
    In: IEW - Working Papers.
    RePEc:zur:iewwpx:090.

    Full description at Econpapers || Download paper

  50. Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models. (). Zhang, Harold ; Liu, Ming.
    In: Computing in Economics and Finance 1997.
    RePEc:sce:scecf7:93.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-04 15:46:30 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.