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An enlarged definition of cointegration

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  • Renato Flôres
  • Ariane Szafarz

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Bibliographic Info

Paper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/705.

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Date of creation: 1996
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Publication status: Published in: Economics Letters (1996) v.50 n° 2,p.193-196
Handle: RePEc:ulb:ulbeco:2013/705

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References

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  1. James H. Stock & Mark W. Watson, 1991. "A simple estimator of cointegrating vectors in higher order integrated systems," Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago 91-3, Federal Reserve Bank of Chicago.
  2. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, Econometric Society, vol. 59(6), pages 1551-80, November.
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Cited by:
  1. Michał Majsterek, 2012. "Cointegration Analysis in the Case of I(2) – General Overview," Central European Journal of Economic Modelling and Econometrics, CEJEME, CEJEME, vol. 4(4), pages 215-252, December.
  2. Lin, Yan-Xia & McCrae, Michael & M. Gulati, Chandra, 1998. "Cointegration between exchange rates: a generalized linear cointegration model," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 8(2-3), pages 333-352, September.
  3. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, Elsevier, vol. 157(2), pages 492-511, August.
  4. repec:ise:isegwp:wp182008 is not listed on IDEAS
  5. Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, Elsevier, vol. 106(2), pages 217-241, February.
  6. Javier Hualde, 2012. "Estimation of the cointegrating rank in fractional cointegration," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra, Departamento de Economía - Universidad Pública de Navarra 1205, Departamento de Economía - Universidad Pública de Navarra.
  7. Carlos P. Barros & Joao R. Faria & Luis A. Gil-Alana, 2009. "Persistence on airline accidents," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 08/09, School of Economics and Business Administration, University of Navarra.

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