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Estimating Linear Quadratic Models With Integrated Processes

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Author Info

  • GREGOGY, A.W.
  • PAGAN, A.R.
  • SMITH, G.W.

Abstract

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Bibliographic Info

Paper provided by University of Rochester - Center for Economic Research (RCER) in its series RCER Working Papers with number 247.

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Length: 34 pages
Date of creation: 1990
Date of revision:
Handle: RePEc:roc:rocher:247

Contact details of provider:
Postal: University of Rochester, Center for Economic Research, Department of Economics, Harkness 231 Rochester, New York 14627 U.S.A.

Related research

Keywords: economic models ; linear models ; estimator;

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Citations

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Cited by:
  1. Robert A. Amano, 1995. "Empirical Evidence on the Cost of Adjustment and Dynamic Labour Demand," Macroeconomics 9505001, EconWPA.
  2. Sengupta, Jati K. & Sfeir, Raymond, 1997. "Past trend versus future expectation: test of exchange rate volatility," University of California at Santa Barbara, Economics Working Paper Series qt9mx2c7jv, Department of Economics, UC Santa Barbara.
  3. Sengupta, Jati K., 2003. "Stochastic Growth In Schumpeterian Dynamics," University of California at Santa Barbara, Economics Working Paper Series qt6v13p7kx, Department of Economics, UC Santa Barbara.
  4. Robert A. Amano & Tony S. Wirjanto, . "A Further Analysis of Exchange Rate Targeting in Canada," Working Papers 94-2, Bank of Canada.
  5. Jaebeom Kim & Masao Ogaki & Minseok Yang, 2003. "Structural Error Correction Models: Instrumental Variables Methods and an application to an exchange rate model," RCER Working Papers 502, University of Rochester - Center for Economic Research (RCER).
  6. Sengupta, Jati K., 1997. "Recent Models in Dynamic Economics: Problems of Estimating Terminal Conditions," University of California at Santa Barbara, Economics Working Paper Series qt05g0d8gm, Department of Economics, UC Santa Barbara.
  7. Gregory, Allan W. & Nason, James M. & Watt, David G., 1996. "Testing for structural breaks in cointegrated relationships," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 321-341.
  8. Adrian Pagan, 2007. "Weak Instruments: A Guide to the Literature," NCER Working Paper Series 13, National Centre for Econometric Research.
  9. Fanelli, Luca, 2002. "A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 117-139, January.
  10. Amano, Robert A. & Wirjanto, Tony S., 1997. "Adjustment costs and import demand behavior: evidence from Canada and the United States," Journal of International Money and Finance, Elsevier, vol. 16(3), pages 461-476, June.
  11. James M. Nason & Gregor W. Smith, 2008. "Identifying the new Keynesian Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 525-551.
  12. Fanelli, Luca, 2006. "Multi-equational linear quadratic adjustment cost models with rational expectations and cointegration," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 445-456, March.
  13. Scott Schuh, 1996. "Evidence on the link between firm-level and aggregate inventory behavior," Finance and Economics Discussion Series 96-46, Board of Governors of the Federal Reserve System (U.S.).
  14. Engsted, Tom & Haldrup, Niels, 1997. "Money demand, adjustment costs, and forward-looking behavior," Journal of Policy Modeling, Elsevier, vol. 19(2), pages 153-173, April.
  15. Robert A. Amano & Tony S. Wirjanto, 1994. "The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation," Econometrics 9406002, EconWPA.
  16. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2012. "Purchasing Power Parity between the UK and the Euro Area," Working papers 2012-46, University of Connecticut, Department of Economics.
  17. Kenneth D. West, 1993. "Inventory Models," NBER Technical Working Papers 0143, National Bureau of Economic Research, Inc.
  18. Sengupta, Jati K. & Okamura, Kumiko, 1996. "Learning by doing and openness in Japanese growth: A new approach," Japan and the World Economy, Elsevier, vol. 8(1), pages 43-64, March.

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