• NEP-ALL-2004-06-07 (All new papers)
• NEP-ECM-2003-11-23 (Econometrics)
• NEP-ETS-2004-06-07 (Econometric Time Series)

1. Elliott, Graham & Komunjer, Ivana & Timmermann, Allan G, 2003. "Estimating Loss Function Parameters," CEPR Discussion Papers 3821, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
2. Haldrup, Neils, 1998. " An Econometric Analysis of I(2) Variables," Journal of Economic Surveys, Blackwell Publishing, vol. 12(5), pages 595-650, December. [Downloadable!] (restricted)
3. Leachman, Lori L, 1996. "New Evidence on the Ricardian Equivalence Theorem: A Multicointegration Approach," Applied Economics, Taylor and Francis Journals, vol. 28(6), pages 695-704, June. [Downloadable!] (restricted)
4. Engsted, Tom & Haldrup, Niels, 1999. " Multicointegration in Stock-Flow Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(2), pages 237-54, May. [Downloadable!] (restricted)
   Other versions:
   • Tom Engsted & Niels Haldrup, . "Multicointegration in Stock-Flow Models," Economics Working Papers 1997-18, School of Economics and Management, University of Aarhus. [Downloadable!]
5. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March. [Downloadable!] (restricted)
   Other versions:
   • Peter C.B. Phillips, 1988. "Optimal Inference in Cointegrated Systems," Cowles Foundation Discussion Papers 866R, Cowles Foundation, Yale University, revised Aug 1989. [Downloadable!]
6. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May. [Downloadable!] (restricted)
7. Peter F. Christoffersen & Francis X. Diebold, 1997. "Cointegration and Long-Horizon Forecasting," NBER Technical Working Papers 0217, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Peter F. Christoffersen & Francis X. Diebold, 1997. "Cointegration and Long-Horizon Forecasting," IMF Working Papers 97/61, International Monetary Fund.
   • Peter F. Christoffersen & Francis X. Diebold, 1997. "Cointegration and long-horizon forecasting," Working Papers 97-14, Federal Reserve Bank of Philadelphia. [Downloadable!]
   • Christoffersen, Peter F & Diebold, Francis X, 1998. "Cointegration and Long-Horizon Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 450-58, October.
8. Engsted, Tom & Gonzalo, Jesus & Haldrup, Niels, 1997. "Testing for multicointegration," Economics Letters, Elsevier, vol. 56(3), pages 259-266, November. [Downloadable!] (restricted)
   Other versions:
   • Tom Engsted & Jesus Gonzalo & Niels Haldrup, . "Testing for Multicointegration," Economics Working Papers 1997-1, School of Economics and Management, University of Aarhus. [Downloadable!]
9. Clements, M.P. & Hendry, D.F., 1992. "Forecasting in Cointegrated Systems," Economics Series Working Papers 99139, University of Oxford, Department of Economics.
10. Boriss Siliverstovs, . "Multicointegration in US consumption data," Economics Working Papers 2001-6, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
    • Boriss Siliverstovs, 2003. "Multicointegration in US Consumption Data," Discussion Papers of DIW Berlin 382, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    • Boriss Siliverstovs, 2006. "Multicointegration in US consumption data," Applied Economics, Taylor and Francis Journals, vol. 38(7), pages 819-833, April. [Downloadable!] (restricted)
11. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-88, October. [Downloadable!] (restricted)
    Other versions:
    • John Y. Campbell & Robert J. Shiller, 1988. "Cointegration and Tests of Present Value Models," NBER Working Papers 1885, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    • John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers 785, Cowles Foundation, Yale University. [Downloadable!]
12. Clements, Michael P & Hendry, David F, 1995. "Forecasting in Cointegration Systems," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 127-46, April-Jun. [Downloadable!] (restricted)
13. Granger, C W J & Lee, T H, 1989. "Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages S145-59, Supplemen. [Downloadable!] (restricted)
14. Clements, M.P. & Hendry, D., 1992. "On the Limitations of Comparing Mean Square Forecast Errors," Economics Series Working Papers 99138, University of Oxford, Department of Economics.
15. Engsted, T. & Johansen, S., 1997. "Granger's Representation Theorem and Multicointegration," Economics Working Papers eco97/15, European University Institute.
16. 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. [Downloadable!]

Cited by:
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1. George Athanasopoulos & Osmani T. de C. Guillén & João V. Issler & Farshid Vahid, 2009. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Monash Econometrics and Business Statistics Working Papers 2/09, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
   Other versions:
   • Guillén, Osmani Teixeira de Carvalho & Farshid, Vahid & Athanasopoulos, George & Issler, João Victor, 2009. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Economics Working Papers (Ensaios Economicos da EPGE) 688, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
2. Athanasopoulos, George & Issler, João Victor & Guillén, Osmani Teixeira de Carvalho, 2005. "Forecasting Accuracy and Estimation Uncertainty using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," Economics Working Papers (Ensaios Economicos da EPGE) 589, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
   Other versions:
   • Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2005. "Forecasting Accuracy and Estimation Uncertainty Using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers 15/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
   • Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2006. "Forecasting Accuracy and Estimation Uncertainty using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," IBMEC RJ Economics Discussion Papers 2006-01, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]
3. Neri, Marcelo Cortes & Soares, Wagner Lopes, 2008. "Turismo sustentável e alivio a pobreza: avaliação de impacto," Economics Working Papers (Ensaios Economicos da EPGE) 689, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
4. Holler, Manfred & Skott, Peter, . "The importance of setting the agenda," Economics Working Papers 2003-8, School of Economics and Management, University of Aarhus. [Downloadable!]
5. Nielsen, Morten Oe., . "Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence," Economics Working Papers 2002-16, School of Economics and Management, University of Aarhus. [Downloadable!]
6. Haldrup, Niels, . "Empirical analysis of price data in the delineation of the relevant geographical market in competition analysis," Economics Working Papers 2003-9, School of Economics and Management, University of Aarhus. [Downloadable!]