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Specification via model selection in vector error correction models

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Author Info
Gonzalo, Jesus
Pitarakis, Jean-Yves

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6V84-3TX5F4P-C/2/04b30495869fc966437dd83b634d9b79
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 60 (1998)
Issue (Month): 3 (September)
Pages: 321-328
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Handle: RePEc:eee:ecolet:v:60:y:1998:i:3:p:321-328

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  1. Michael Kühl, 2007. "Cointegration in the Foreign Exchange Market and Market Efficiency since the Introduction of the Euro: Evidence based on bivariate Cointegration Analyses," Center for European, Governance and Economic Development Research (cege) Discussion Papers 68, Center for European, Governance and Economic Development Research, University of Goettingen (Germany).. [Downloadable!]
  2. David I. Harvey & Terence C. Mills, 2005. "Evidence for common features in G7 macroeconomic time series," Applied Economics, Taylor and Francis Journals, vol. 37(2), pages 165-175, February. [Downloadable!] (restricted)
  3. Judith A. Clarke & Mukesh Ralhan, 2005. "Direct and Indirect Causality Between Exports and Economic Output for Bangladesh and Sri Lanka: Horizon Matters," Econometrics Working Papers 0512, Department of Economics, University of Victoria. [Downloadable!]
  4. Judith A. Giles & Sadaf Mirza, 1999. "Some Pretesting Issues on Testing for Granger Noncausality," Econometrics Working Papers 9914, Department of Economics, University of Victoria. [Downloadable!]
  5. Judith A. Clarke & Sadaf Mirza, 2003. "Some Finite Sample Results On Testing For Granger Noncausality," Econometrics Working Papers 0305, Department of Economics, University of Victoria. [Downloadable!]
  6. Jean-Yves Pitarakis, 2004. "Model Selection Uncertainty and Detection of Threshold Effecs," Econometrics 0409013, EconWPA. [Downloadable!]
    Other versions:
  7. Kirstin Hubrich & Helmut Lütkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor and Francis Journals, vol. 20(3), pages 247-318. [Downloadable!] (restricted)
    Other versions:
  8. Richard G. Anderson & Hailong Qian & Robert H. Rasche, 2006. "Analysis of panel vector error correction models using maximum likelihood, the bootstrap, and canonical-correlation estimators," Working Papers 2006-050, Federal Reserve Bank of St. Louis. [Downloadable!]
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