On the identification of cointegrated systems in small samples: a modelling strategy with an application to UK wages and prices
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 26 (2002)
Issue (Month): 9-10 (August)
Contact details of provider:
Web page: http://www.elsevier.com/locate/jedc
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Pesaran, M. Hashem & Shin, Yongcheol & Smith, Richard J., 2000.
"Structural analysis of vector error correction models with exogenous I(1) variables,"
Journal of Econometrics,
Elsevier, vol. 97(2), pages 293-343, August.
- Pesaran, M. H. & Shin, Y. & Smith, R. J., 1997. "Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables," Cambridge Working Papers in Economics 9706, Faculty of Economics, University of Cambridge.
- Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
- Bardsen, G. & Fisher, P.G., 1993. "The Importance of Being Structured," Papers 02-93, Norwegian School of Economics and Business Administration-.
- Blanchard, O & Katz, L, 1996.
"What We Know and Do Not Know about the Natural Rate of Unemployment,"
96-29, Massachusetts Institute of Technology (MIT), Department of Economics.
- Olivier Blanchard & Lawrence F. Katz, 1997. "What We Know and Do Not Know about the Natural Rate of Unemployment," Journal of Economic Perspectives, American Economic Association, vol. 11(1), pages 51-72, Winter.
- Olivier Blanchard & Lawrence F. Katz, 1996. "What We Know and Do Not Know About the Natural Rate of Unemployment," NBER Working Papers 5822, National Bureau of Economic Research, Inc.
- Robert J. Gordon, 1997.
"The Time-Varying NAIRU and Its Implications for Economic Policy,"
Journal of Economic Perspectives,
American Economic Association, vol. 11(1), pages 11-32, Winter.
- Gordon, Robert J, 1996. "The Time-varying NAIRU and its Implications for Economic Policy," CEPR Discussion Papers 1492, C.E.P.R. Discussion Papers.
- Robert J. Gordon, 1997. "The Time-Varying NAIRU and its Implications for Economic Policy," NBER Working Papers 5735, National Bureau of Economic Research, Inc.
- Peter C.B. Phillips, 1988.
"Optimal Inference in Cointegrated Systems,"
Cowles Foundation Discussion Papers
866R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
- Davidson, James & Hall, Stephen, 1991. "Cointegration in Recursive Systems," Economic Journal, Royal Economic Society, vol. 101(405), pages 239-51, March.
- Ericsson, Neil R & Hendry, David F & Mizon, Grayham E, 1998.
"Exogeneity, Cointegration, and Economic Policy Analysis,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 16(4), pages 370-87, October.
- Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.).
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Alan Manning, 1992.
"Wage Bargaining and the Phillips Curve: The Identification and Specification of Aggregate Wage Equations,"
CEP Discussion Papers
dp0062, Centre for Economic Performance, LSE.
- Manning, Alan, 1993. "Wage Bargaining and the Phillips Curve: The Identification and Specification of Aggregate Wage Equations," Economic Journal, Royal Economic Society, vol. 103(416), pages 98-118, January.
- Johansen, Soren, 1995. "Identifying restrictions of linear equations with applications to simultaneous equations and cointegration," Journal of Econometrics, Elsevier, vol. 69(1), pages 111-132, September.
- Cushman, David O., 2008. "Long-run PPP in a system context: No favorable evidence after all for the U.S., Germany, and Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 413-424, December.
- Vincent C. Blackburn & Richard Gerlach & Vasilis Sarafidis, 2007. "Dynamic Budgetary Adjustments in the Australian State Government Finance Sector: An Econometric Approach," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 3(2), pages 125-159, July.
- D. Aristei & Luca Pieroni, 2008. "Cointegration Rank Test and Long Run Specification: A Note on the Robustness of Structural Demand Systems," Discussion Papers 0809, University of the West of England, Department of Economics.
- Bonham, Carl & Gangnes, Byron & Zhou, Ting, 2009. "Modeling tourism: A fully identified VECM approach," International Journal of Forecasting, Elsevier, vol. 25(3), pages 531-549, July.
- Kaufmann, Robert K. & Bradford, Andrew & Belanger, Laura H. & Mclaughlin, John P. & Miki, Yosuke, 2008. "Determinants of OPEC production: Implications for OPEC behavior," Energy Economics, Elsevier, vol. 30(2), pages 333-351, March.
- Joanna Bęza-Bojanowska, 2009. "Behavioral and Permanent Zloty/Euro Equilibrium," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 1(1), pages 35-55, March.
- Joanna Beza-Bojanowska & Ronald MacDonald, 2009.
"The Behavioural Zloty/Euro Equilibrium Exchange Rate,"
CESifo Working Paper Series
2568, CESifo Group Munich.
- Joanna Beza-Bojanowska, 2009. "The Behavioural Zloty/Euro Equilibrium Exchange Rate," National Bank of Poland Working Papers 55, National Bank of Poland, Economic Institute.
- Rita Duarte & Carlos Robalo Marques, 2009.
"The dynamic effects of shocks to wages and prices in the United States and the Euro Area,"
w200915, Banco de Portugal, Economics and Research Department.
- Rita Duarte & Carlos Robalo Marques, 2009. "The dynamic effects of shocks to wages and prices in the United States and the Euro Area," Working Paper Series 1067, European Central Bank.
- Colin Ellis & Simon Price, 2003.
"UK business investment: long-run elasticities and short-run dynamics,"
Bank of England working papers
196, Bank of England.
- Ellis, Colin & Simon Price, 2003. "UK Business Investment: Long-Run Elasticities and Short-Run Dynamics," Royal Economic Society Annual Conference 2003 73, Royal Economic Society.
- Colin Ellis & Simon Price, 2004. "UK business investment: long-run elasticities and short-run dynamics," Money Macro and Finance (MMF) Research Group Conference 2003 27, Money Macro and Finance Research Group.
- Marco Barassi & Guglielmo Caporale & Stephen Hall, 2005. "A Sequential Test for Structural Breaks in the Causal Linkages Between the G7 Short-Term Interest Rates," Open Economies Review, Springer, vol. 16(2), pages 107-133, April.
- Sanidas, Elias & Jayanthakumaran, Kankesu, 2006. "The Consequences of Trade Liberalisation on the Australian Passenger Motor Vehicle Industry," Economics Working Papers wp06-01, School of Economics, University of Wollongong, NSW, Australia.
- Halkos, George & Tsilika, Kyriaki, 2012. "Programming identification criteria in simultaneous equation models," MPRA Paper 43467, University Library of Munich, Germany.
- Sophocles N. Brissimis & Theodora S. Kosma, 2006. "Market Conduct, Price Interdependence and Exchange Rate Pass-Through," Working Papers 51, Bank of Greece.
- Allison Zhou & Carl Bonham & Byron Gangnes, 2007. "Modeling the supply and demand for tourism: a fully identified VECM approach," Working Papers 200717, University of Hawaii at Manoa, Department of Economics.
- Sophocles N. Brissimis & Thomas Vlassopoulos, 2007.
"The Interaction between Mortgage Financing and Housing Prices in Greece,"
58, Bank of Greece.
- Sophocles Brissimis & Thomas Vlassopoulos, 2009. "The Interaction between Mortgage Financing and Housing Prices in Greece," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 146-164, August.
- Kaufmann, Robert K. & Gonzalez, Nancy & Nickerson, Thomas A. & Nesbit, Tyler S., 2011. "Do household energy expenditures affect mortgage delinquency rates?," Energy Economics, Elsevier, vol. 33(2), pages 188-194, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.