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The spurious effect of unit roots on vector autoregressions : An analytical study

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Toda, Hiro Y.
Phillips, Peter C. B.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4599JGK-1B/2/5276c082c1a93864f179f0cc107ca792
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 59 (1993)
Issue (Month): 3 (October)
Pages: 229-255
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Handle: RePEc:eee:econom:v:59:y:1993:i:3:p:229-255

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

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  2. Helmut LUETKEPOHL & Petti SAIKKONON, . "Infinite Order Cointegrated Vector Autoregressive Processes:Estimation and Inference," Sonderforschungsbereich 373 1994-5, Humboldt Universitaet Berlin.
  3. David I. Stern & Cutler J. Cleveland, 2004. "Energy and Economic Growth," Rensselaer Working Papers in Economics 0410, Rensselaer Polytechnic Institute, Department of Economics. [Downloadable!]
  4. Ghazi Shukur, Panagiotis Mantalos, 2000. "A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems," Journal of Applied Statistics, Taylor and Francis Journals, vol. 27(8), pages 1021-1031, November. [Downloadable!] (restricted)
  5. David I. Stern, 1998. "A multivariate cointegration analysis of the role of energy in the U.S. macroeconomy," Working Papers in Ecological Economics 9803, Australian National University, Centre for Resource and Environmental Studies, Ecological Economics Program. [Downloadable!]
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  6. Juan J. DOLADO & Helmut LUETKEPOHL, . "Making Wald Tests Work for Cointegrated Var Systems," Sonderforschungsbereich 373 1994-44, Humboldt Universitaet Berlin.
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