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Bootstrap and Asymptotic Tests of Long-Run Relationships in Cointegrated Systems

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  • Fachin, Stefano

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Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 62 (2000)
Issue (Month): 4 (September)
Pages: 543-51

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Handle: RePEc:bla:obuest:v:62:y:2000:i:4:p:543-51

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Cited by:
  1. Kurita, Takamitsu, 2010. "Effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 80(10), pages 2033-2039.
  2. Dimitrios Papaikonomou & Jacinta Pires, 2005. "Are US Output Expectations Unbiased? A Cointegrated VAR Analysis in Real Time," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group 59, Money Macro and Finance Research Group.
  3. Alain W. HECQ, 2005. "Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach," Computing in Economics and Finance 2005, Society for Computational Economics 258, Society for Computational Economics.
  4. Gunnar Bårdsen & Luca Fanelli, 2013. "Frequentist evaluation of small DSGE models," Working Paper Series, Department of Economics, Norwegian University of Science and Technology 14113, Department of Economics, Norwegian University of Science and Technology.
  5. Alessandra Canepa & Raymond O'Brien, 2000. "The Size and Power of Bootstrap Tests for Linear Restrictions in Misspecified Cointegrating Relationships," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 1807, Econometric Society.
  6. Canepa, Alessandra, 2006. "Small sample corrections for linear restrictions on cointegrating vectors: A Monte Carlo comparison," Economics Letters, Elsevier, Elsevier, vol. 91(3), pages 330-336, June.
  7. Omtzigt Pieter & Fachin Stefano, 2002. "Bootstrapping and Bartlett corrections in the cointegrated VAR model," Economics and Quantitative Methods, Department of Economics, University of Insubria qf0212, Department of Economics, University of Insubria.
  8. Eriksson , Åsa, 2004. "Testing Structural Hypotheses on Cointegration Vectors: A Monte Carlo Study," Working Papers, Lund University, Department of Economics 2004:29, Lund University, Department of Economics.
  9. Sanidas, Elias & Jayanthakumaran, Kankesu, 2006. "The Consequences of Trade Liberalisation on the Australian Passenger Motor Vehicle Industry," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia wp06-01, School of Economics, University of Wollongong, NSW, Australia.

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