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Polynomial cointegration estimation and test

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  • Gregoir, Stephane
  • Laroque, Guy

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4582GY2-27/2/9b195f2cf3d7b1e18d24027cb580cf27
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 63 (1994)
Issue (Month): 1 (July)
Pages: 183-214

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Handle: RePEc:eee:econom:v:63:y:1994:i:1:p:183-214

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

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Cited by:
  1. Anindya Banerjee & Lynne Cockerell & Bill Russell, 2001. "An I(2) analysis of inflation and the markup," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 221-240.
  2. Martin Wagner, 2010. "Cointegration analysis with state space models," AStA Advances in Statistical Analysis, Springer, vol. 94(3), pages 273-305, September.
  3. Dietmar Bauer & Martin Wagner, 2003. "A Canonical Form for Unit Root Processes in the State Space Framework," Diskussionsschriften dp0312, Universitaet Bern, Departement Volkswirtschaft.
  4. Massimo Franchi, 2006. "A General Representation Theorem for Integrated Vector Autoregressive Processes," Discussion Papers 06-16, University of Copenhagen. Department of Economics.
  5. Imke Brüggemann, 2003. "Measuring Monetary Policy in Germany: A Structural Vector Error Correction Approach," German Economic Review, Verein für Socialpolitik, vol. 4, pages 307-339, 08.
  6. Lutkepohl, Helmut & Saikkonen, Pentti, 2000. "Testing for the cointegrating rank of a VAR process with a time trend," Journal of Econometrics, Elsevier, vol. 95(1), pages 177-198, March.
  7. Banerjee, A. & Russell, B., 2000. "The Relationship between the Markup and Inflation in the G7 plus One Economies," Economics Working Papers eco2000/7, European University Institute.
  8. Dietmar Bauer & Martin Wagner, 2003. "On Polynomial Cointegration in the State Space Framework," Diskussionsschriften dp0313, Universitaet Bern, Departement Volkswirtschaft.
  9. Andrade, Philippe & Bruneau, Catherine & Gregoir, Stephane, 2005. "Testing for the cointegration rank when some cointegrating directions are changing," Journal of Econometrics, Elsevier, vol. 124(2), pages 269-310, February.
  10. Luca Fanelli & Emanuele Bacchiocchi, 2005. "Testing the purchasing power parity through I(2) cointegration techniques," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 749-770.
  11. Gonzalo Camba-Mendez & George Kapetanios, 2005. "Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling," Working Papers 541, Queen Mary, University of London, School of Economics and Finance.

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