The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity

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The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity

Author Info

Moon, H.R.
Perron, P.

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Abstract

This paper studies seemingly unrelated linear models with integrated regressors and stationary errors.

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Publisher Info
Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 2000-03.

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Length: 18 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:mtl:montec:2000-03

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Paper
- MOON, Hyungsik Roger & PERRON, Benoit, 2000. "The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity," Cahiers de recherche 2000-03, Universite de Montreal, Departement de sciences economiques. [Downloadable!]

Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Masao Ogaki & Nelson Mark & Donggyu Sul, 2004. "Dynamic Seemingly Unrelated Cointegrating Regression," Working Papers 04-02, Ohio State University, Department of Economics. [Downloadable!]
Other versions:
- Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2003. "Dynamic Seemingly Unrelated Cointegrating Regression," NBER Technical Working Papers 0292, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2005. "Dynamic Seemingly Unrelated Cointegrating Regressions," Review of Economic Studies, Blackwell Publishing, vol. 72(3), pages 797-820, 07. [Downloadable!] (restricted)

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This page was last updated on 2009-11-25.

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