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Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends

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Hansen, Bruce E.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 53 (1992)
Issue (Month): 1-3 ()
Pages: 87-121
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Handle: RePEc:eee:econom:v:53:y:1992:i:1-3:p:87-121

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  1. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. Mohitosh Kejriwal & Pierre Perron, 2006. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series WP2006-051, Boston University - Department of Economics. [Downloadable!]
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  3. Fabrizio Iacone & Peter M Robinson, 2004. "Cointegration in Fractional Systems with Deterministic Trends," STICERD - Econometrics Paper Series /2004/476, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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  4. Heejoon Kang, 2006. "Inappropriate Detrending and Spurious Cointegration," Working Papers 2006-14, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy. [Downloadable!]
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  5. Muscatelli, V. Anton & Tirelli, Patrizio & Trecroci, Carmine, 2000. "Does Institutional Change Really Matter? Inflation Targets, Central Bank Reform and Interest Rate Policy in the OECD Countries," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  6. Jushan Bai & Chihwa Kao & Serena Ng, 2007. "Panel Cointegration with Global Stochastic Trends," Center for Policy Research Working Papers 90, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
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  7. Elena Pesavento, 2005. "Residuals Bases Tests for the Null of No Cointegration: an Analytical Comparison," Emory Economics 0503, Department of Economics, Emory University (Atlanta). [Downloadable!]
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  8. Uwe Hassler, 2002. "The Effect of Linear Time Trends on Cointegration Testing in Single Equations," Darmstadt Discussion Papers in Economics 111, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
  9. Yann Schorderet, 2003. "Asymmetric Cointegration," Cahiers du Département d'Econométrie 2003.01, Département d'Econométrie, Université de Genève. [Downloadable!]
  10. Muzafar Shah Habibullah & Ahmad Zubaidi Baharumshah, 1996. "Money, Output And Stock Prices In Malaysia: An Application Of The Cointegration Tests," International Economic Journal, Korean International Economic Association, vol. 10(2), pages 121-130, June. [Downloadable!] (restricted)
  11. Giulio Cifarelli, 1995. "Fundamentals, regime shifts, and dollar behavior in the 1980s," Open Economies Review, Springer, vol. 6(1), pages 29-48, January. [Downloadable!] (restricted)
  12. Guglielmo Caporale & Nikitas Pittis, 2001. "Parameter instability, superexogeneity, and the monetary model of the exchange rate," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 137(3), pages 501-524, September. [Downloadable!] (restricted)
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