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A dynamic econometric system for the real yen–dollar rate

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  • Takamitsu Kurita

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    File URL: http://hdl.handle.net/10.1007/s00181-006-0096-z
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    Bibliographic Info

    Article provided by Springer in its journal Empirical Economics.

    Volume (Year): 33 (2007)
    Issue (Month): 1 (July)
    Pages: 115-149

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    Handle: RePEc:spr:empeco:v:33:y:2007:i:1:p:115-149

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    Related research

    Keywords: Real Yen–Dollar Rate; International Parity Conditions; Cointegrated Vector Autoregressive Model; Exogeneity; E31; E43; F31; F32;

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    1. Engle, Robert F. & Hendry, David F., 1993. "Testing superexogeneity and invariance in regression models," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 119-139, March.
    2. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
    3. Harbo, Ingrid, et al, 1998. "Asymptotic Inference on Cointegrating Rank in Partial Systems," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 388-99, October.
    4. Doornik, Jurgen A & Hendry, David F & Nielsen, Bent, 1998. " Inference in Cointegrating Models: UK M1 Revisited," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 533-72, December.
    5. David F. Hendry & Katarina Juselius, 2001. "Explaining Cointegration Analysis: Part II," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 75-120.
    6. Clara Jørgensen & Hans Christian Kongsted & Anders Rahbek, 1996. "Trend-Stationarity in the I(2) Cointegration Model," Discussion Papers 96-12, University of Copenhagen. Department of Economics.
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    Cited by:
    1. Takamitsu Kurita, 2010. "Time Series Analysis of Transatlantic Market Interactions: Evidence from Crude Oil and Gasoline Prices," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 9(2), pages 157-173, August.

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