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Partial versus full system modelling of cointegrated systems an empirical illustration

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  • Urbain, Jean-Pierre

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  • Urbain, Jean-Pierre, 1995. "Partial versus full system modelling of cointegrated systems an empirical illustration," Journal of Econometrics, Elsevier, vol. 69(1), pages 177-210, September.
    • Handle: RePEc:eee:econom:v:69:y:1995:i:1:p:177-210
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    4. Peter C. B. Phillips & Mico Loretan, 1991. "Estimating Long-run Economic Equilibria," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 407-436.
    5. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    6. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
    7. Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June.
    8. Boswijk, H. Peter, 1995. "Efficient inference on cointegration parameters in structural error correction models," Journal of Econometrics, Elsevier, vol. 69(1), pages 133-158, September.
    9. Gregory, Allan W, 1994. "Testing for Cointegration in Linear Quadratic Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 347-360, July.
    10. Monfort, A & Rabemananjara, R, 1990. "From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(3), pages 203-227, July-Sept.
    11. Jean-Pierre Urbain, 1990. "Modèles à correction d'erreur et fonctions d'importations agrégées," Économie et Prévision, Programme National Persée, vol. 94(3), pages 63-77.
    12. Johansen, Soren & Juselius, Katarina, 1994. "Identification of the long-run and the short-run structure an application to the ISLM model," Journal of Econometrics, Elsevier, vol. 63(1), pages 7-36, July.
    13. Inder, Brett, 1993. "Estimating long-run relationships in economics : A comparison of different approaches," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 53-68.
    14. Clarida, Richard H, 1994. "Cointegration, Aggregate Consumption, and the Demand for Imports: A Structural Econometric Investigation," American Economic Review, American Economic Association, vol. 84(1), pages 298-308, March.
    15. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    16. BAUWENS, Luc & LUBRANO , Michel, 1994. "Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems," LIDAM Discussion Papers CORE 1994018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    17. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
    18. Gagnon, Joseph E., 1989. "Adjustment costs and international trade dynamics," Journal of International Economics, Elsevier, vol. 26(3-4), pages 327-344, May.
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    20. Engle, Robert F., 1984. "Wald, likelihood ratio, and Lagrange multiplier tests in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 13, pages 775-826, Elsevier.
    21. Murray, Tracy & Ginman, Peter J, 1976. "An Empirical Examination of the Traditional Aggregate Import Demand Model," The Review of Economics and Statistics, MIT Press, vol. 58(1), pages 75-80, February.
    22. Asseery, A. & Peel, D. A., 1991. "Estimates of a traditional aggregate import demand model for five countries," Economics Letters, Elsevier, vol. 35(4), pages 435-439, April.
    23. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
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