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A bayesian multivariate nonstationary time series model for estimating mutual relationships among variables

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  • Kato, Hiroko
  • Naniwa, Sadao
  • Ishiguro, Makio
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-3VWT1TW-C/2/f862d995bdf47ef2e8c3497f96602ca2
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 75 (1996)
    Issue (Month): 1 (November)
    Pages: 147-161

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    Handle: RePEc:eee:econom:v:75:y:1996:i:1:p:147-161

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

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    1. Smith, R Todd, 1992. "The Cyclical Behavior of Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 24(4), pages 413-30, November.
    2. Lucas, Robert Jr., 1972. "Expectations and the neutrality of money," Journal of Economic Theory, Elsevier, vol. 4(2), pages 103-124, April.
    3. Gersch, Will & Kitagawa, Genshiro, 1983. "The Prediction of Time Series with Trends and Seasonalities," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(3), pages 253-64, July.
    4. N. Gregory Mankiw, 1989. "Real Business Cycles: A New Keynesian Perspective," NBER Working Papers 2882, National Bureau of Economic Research, Inc.
    5. Friedman, Milton, 1977. "Nobel Lecture: Inflation and Unemployment," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 451-72, June.
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    Cited by:
    1. Koop, Gary & Dijk, Herman K. Van, 2000. "Testing for integration using evolving trend and seasonals models: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 97(2), pages 261-291, August.

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