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Seemingly Unrelated Canonical Cointegrating Regressions

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Author Info

  • Park, J.Y.
  • Ogaki, M.

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 280.

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Length: 37 pages
Date of creation: 1991
Date of revision:
Handle: RePEc:roc:rocher:280

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: econometrics ; economic models ; statistics;

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Cited by:
  1. Ho, Tsung-Wu, 2003. "A re-examination of the unbiasedness forward rate hypothesis using dynamic SUR model," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(3), pages 542-559.
  2. Masao Ogaki & Nelson Mark & Donggyu Sul, 2004. "Dynamic Seemingly Unrelated Cointegrating Regression," Working Papers 04-02, Ohio State University, Department of Economics.
  3. Reed, Albert J. & Levedahl, J. William & Clark, J. Stephen, 2003. "Commercial Disappearance and Composite Demand for Food with an Application to U.S. Meats," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 28(01), April.
  4. Ogaki, M. & Park, Y.Y., 1989. "A Cointegration Approach To Estimating Preference Parameters," RCER Working Papers 209, University of Rochester - Center for Economic Research (RCER).
  5. J.J.J. Groen & F. Kleibergen, 2001. "Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models," WO Research Memoranda (discontinued) 646, Netherlands Central Bank, Research Department.
  6. Kim, In-Moo & Park, Joon Y., 2005. "Iterative Maximum Likelihood Estimation of Cointegrating Vectors," Working Papers 2005-02, Rice University, Department of Economics.
  7. H. Youn Kim & Junsoo Lee, 2001. "Quasi-fixed inputs and long-run equilibrium in production: a cointegration analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(1), pages 41-57.
  8. Chihwa Kao, 1997. "Spurious Regression and Residual-Based Tests for Cointegration in Panel Data When the Cross-Section and Time-Series Dimensions are Comparable," Econometrics 9703002, EconWPA.
  9. Chihwa Kao & Min-Hsien Chiang, 1997. "On the Estimation and Inference of a Cointegrated Regression in Panel Data," Econometrics 9703001, EconWPA.
  10. Clark, J. Stephen & Klein, Kurt K. & Kerr, William A., 2003. "Fundamental And Induced Biases In Technological Change In Central Canadian Agriculture," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa 25874, International Association of Agricultural Economists.
  11. Reed, Albert J. & Levedahl, J. William & Hallahan, Charles B., 2004. "The Generalized Composite Commodity Theorem And Food Demand Estimation," 2004 Annual meeting, August 1-4, Denver, CO 20107, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  12. Moon, H.R. & Perron, P., 2000. "The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity," Cahiers de recherche 2000-03, Centre interuniversitaire de recherche en ├ęconomie quantitative, CIREQ.

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