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Vector autoregressions

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  • Lütkepohl, Helmut

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Paper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 1999,4.

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Date of creation: 1999
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Handle: RePEc:zbw:sfb373:19994

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References

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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.:
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  1. Kramer, Walter & Ploberger, Werner & Alt, Raimund, 1988. "Testing for Structural Change in Dynamic Models," Econometrica, Econometric Society, Econometric Society, vol. 56(6), pages 1355-69, November.
  2. Granger, Clive W. J. & Terasvirta, Timo, 1993. "Modelling Non-Linear Economic Relationships," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198773207, October.
  3. Jean-Marie Dufour & Eric Renault, 1998. "Short Run and Long Run Causality in Time Series: Theory," Econometrica, Econometric Society, Econometric Society, vol. 66(5), pages 1099-1126, September.
  4. Peter C.B. Phillips, 1988. "Optimal Inference in Cointegrated Systems," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 866R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
  5. Lütkepohl, Helmut & POSKITT, D.S., 1996. "Testing for Causation Using Infinite Order Vector Autoregressive Processes," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 12(01), pages 61-87, March.
  6. Bartel, Holger & Lütkepohl, Helmut, 1997. "Estimating the Kronecker indices of cointegrated echelon form VARMA models," SFB 373 Discussion Papers 1997,2, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  7. repec:wop:humbsf:1995-54 is not listed on IDEAS
  8. Hatanaka, Michio, 1996. "Time-Series-Based Econometrics: Unit Roots and Co-integrations," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198773535, October.
  9. H. Lütkepohl & D. S. Poskitt, 1996. "Consistent Estimation of the Number of Cointegration Relations in a Vector Autoregressive Model," SFB 373 Discussion Papers 1996,74, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  10. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, Econometric Society, vol. 37(3), pages 424-38, July.
  11. repec:wop:humbsf:1998-101 is not listed on IDEAS
  12. Peter C.B. Phillips & Steven N. Durlauf, 1985. "Multiple Time Series Regression with Integrated Processes," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 768, Cowles Foundation for Research in Economics, Yale University.
  13. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198774501, October.
  14. Grayham E. Mizon & David F. Hendry, 1998. "Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK," Empirical Economics, Springer, Springer, vol. 23(3), pages 267-294.
  15. Phillips, Peter C B & Loretan, Mico, 1991. "Estimating Long-run Economic Equilibria," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 58(3), pages 407-36, May.
  16. Johansen, S., 1991. "Determination of Cointegration Rank in the Presence of a Linear Trend," Papers, Helsinki - Department of Economics 76a, Helsinki - Department of Economics.
  17. Lutkepohl, Helmut & Burda, Maike M., 1997. "Modified Wald tests under nonregular conditions," Journal of Econometrics, Elsevier, Elsevier, vol. 78(2), pages 315-332, June.
  18. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, Elsevier, vol. 66(1-2), pages 225-250.
  19. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198283164, October.
  20. Lutkepohl, Helmut & Reimers, Hans-Eggert, 1992. "Impulse response analysis of cointegrated systems," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 16(1), pages 53-78, January.
  21. Saikkonen, Pentti, 1992. "Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 8(01), pages 1-27, March.
  22. D.S. Poskitt, . "Specification of echelon form VARMA models," Statistic und Oekonometrie 9305, Humboldt Universitaet Berlin.
  23. repec:wop:humbsf:1997-85 is not listed on IDEAS
  24. repec:wop:humbsf:1996-74 is not listed on IDEAS
  25. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, Elsevier, vol. 16(1), pages 121-130, May.
  26. 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.
  27. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
  28. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 251-76, March.
  29. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 277-301, March.
  30. Phillips, Peter C B & Hansen, Bruce E, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 57(1), pages 99-125, January.
  31. Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 20(3), pages 247-318.
  32. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  33. Saikkonen, Pentti & Luukkonen, Ritva, 1997. "Testing cointegration in infinite order vector autoregressive processes," Journal of Econometrics, Elsevier, Elsevier, vol. 81(1), pages 93-126, November.
  34. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
  35. Boswijk, H. Peter, 1995. "Efficient inference on cointegration parameters in structural error correction models," Journal of Econometrics, Elsevier, Elsevier, vol. 69(1), pages 133-158, September.
  36. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, Elsevier, vol. 35(1), pages 143-159, May.
  37. Wolfgang HÄRDLE & H. LÜTKEPOHL & R. CHEN, 1996. "A Review of Nonparametric Time Series Analysis," SFB 373 Discussion Papers 1996,48, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  38. D. Poskitt & H. Lütkepohl, 1995. "Consistent Specification of Cointegrated Autoregressive Moving-Average Systems," SFB 373 Discussion Papers 1995,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  39. Banerjee, Anindya & Dolado, Juan J. & Galbraith, John W. & Hendry, David, 1993. "Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198288107, October.
  40. Lutkepohl, Helmut & Claessen, Holger, 1997. "Analysis of cointegrated VARMA processes," Journal of Econometrics, Elsevier, Elsevier, vol. 80(2), pages 223-239, October.
  41. Gali, Jordi, 1992. "How Well Does the IS-LM Model Fit Postwar U.S. Data," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 107(2), pages 709-38, May.
  42. Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 616, Board of Governors of the Federal Reserve System (U.S.).
  43. Benkwitz, Alexander & Lütkepohl, Helmut & Neumann, Michael H., 1997. "Problems related to bootstrapping impulse responses of autoregressive processes," SFB 373 Discussion Papers 1997,85, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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Cited by:
  1. Naledi C. Modisaatsone & G.R. Motlaleng, 2013. "Impact of exchange rate volatility on Botswana`s imports," E3 Journal of Business Management and Economics., E3 Journals, E3 Journals, vol. 4(5), pages 125-138.

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