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Cointegrated Economic Time Series: A Survey With New Results

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Author Info

  • ENGLE, R.F.
  • YOO, B.S.

Abstract

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Bibliographic Info

Paper provided by Pennsylvania State - Department of Economics in its series Papers with number 8-89-13.

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Length: 49 pages
Date of creation: 1989
Date of revision:
Handle: RePEc:fth:pensta:8-89-13

Contact details of provider:
Postal: PENNSYLVANIA STATE UNIVERSITY, DEPARTMENT OF ECONOMICS, UNIVERSITY PARK PENNSYLVANIA 16802 U.S.A.
Phone: (814)865-1456
Fax: (814)863-4775
Web page: http://econ.la.psu.edu/
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Related research

Keywords: time series ; mathematics ; evaluation;

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Cited by:
  1. Jörg Breitung, 2002. "A parametric approach to the estimation of cointegration vectors in panel data," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B5-4, International Conferences on Panel Data.
  2. Gabriel Pons Rotger, 2000. "Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions," Econometric Society World Congress 2000 Contributed Papers 1317, Econometric Society.
  3. Bierens, H.J., 1995. "Nonparametric cointegration analysis," Discussion Paper 1995-123, Tilburg University, Center for Economic Research.
  4. Aggarwal, Raj & Mohanty, Sunil, 2000. "Rationality of Japanese macroeconomic survey forecasts: empirical evidence and comparisons with the US," Japan and the World Economy, Elsevier, vol. 12(1), pages 21-31, January.
  5. Monfort, Alain, 1992. "Quelques développements récents des méthodes macroéconométriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 68(1), pages 305-324, mars et j.
  6. McAvinchey, Ian D., 2003. "Modelling and forecasting in an energy demand system with high and low frequency information," Economic Modelling, Elsevier, vol. 20(1), pages 207-226, January.
  7. Ramey, Valerie A., 1992. "The source of fluctuations in money : Evidence from trade credit," Journal of Monetary Economics, Elsevier, vol. 30(2), pages 171-193, November.
  8. R. Paci & R. Pala & E. Marrocu, 2000. "Estimation of total factor productivity for regions and sectors in Italy. A panel cointegration approach," Working Paper CRENoS 200016, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  9. Jacob, J. & Meister, C., 2004. "Productivity gains, intersectoral linkages, and trade: Indonesian manufacturing, 1980-1996," Eindhoven Center for Innovation Studies (ECIS) working paper series 04.14, Eindhoven Center for Innovation Studies (ECIS).
  10. Pierre Malgrange & Catherine Doz, 1992. "Modèles VAR et prévisions à court terme," Économie et Prévision, Programme National Persée, vol. 106(5), pages 109-122.
  11. Geir Høidal Bjønnes & Dagfinn Rime & Haakon O. Aa. Solheim, 2004. "Liquidity provision in the overnight foreign exchange market," Discussion Papers 391, Research Department of Statistics Norway.
  12. Yaprak Gulcan & Mustafa Erhan Bilman, 2005. "The Effects of Budget Deficit Reduction on Exchange Rate: Evidence from Turkey," Discussion Paper Series 05/07, Dokuz Eylül University, Faculty of Business, Department of Economics, revised 12 Dec 2005.
  13. Simón Sosvilla-Rivero & Irene Olloqui, . "Instability in cointegration regressions:Evidence from inflation rate convergence in EU countries," Studies on the Spanish Economy 53, FEDEA.

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