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Multicointegration under measurement errors

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  • Hassler, Uwe

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 96 (2007)
Issue (Month): 1 (July)
Pages: 38-44

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Handle: RePEc:eee:ecolet:v:96:y:2007:i:1:p:38-44

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Web page: http://www.elsevier.com/locate/ecolet

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  1. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
  2. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  3. Phillips, P C B & Durlauf, S N, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 473-95, August.
  4. Johansen, Søren, 1992. "A Representation of Vector Autoregressive Processes Integrated of Order 2," Econometric Theory, Cambridge University Press, vol. 8(02), pages 188-202, June.
  5. Lee, Tae-Hwy, 1996. "Stock Adjustment for Multicointegrated Series," Empirical Economics, Springer, vol. 21(4), pages 633-39.
  6. Engsted, Tom & Gonzalo, Jesus & Haldrup, Niels, 1997. "Testing for multicointegration," Economics Letters, Elsevier, vol. 56(3), pages 259-266, November.
  7. Uwe Hassler, 2001. "Wealth and Consumption - A Multicointegrated Model for the Unified Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 221(1), pages 32-44.
  8. Niels Haldrup, 1998. "An Econometric Analysis of I(2) Variables," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 595-650, December.
  9. Granger, C W J & Lee, T H, 1989. "Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages S145-59, Supplemen.
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