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Citations for " Similarity Issues in Cointegration Analysis"

by Nielsen, Bent & Rahbek, Anders

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  1. J James Reade & Ulrich Volz, 2010. "Too Much to Lose, or More to Gain? Should Sweden Join the Euro?," Discussion Papers, Department of Economics, University of Birmingham 10-13, Department of Economics, University of Birmingham.
  2. Neil R. Ericsson & James G. MacKinnon, 2002. "Distributions of error correction tests for cointegration," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 5(2), pages 285-318, 06.
  3. Hjelm, Goran & Johansson, Martin W., 2005. "A Monte Carlo study on the pitfalls in determining deterministic components in cointegrating models," Journal of Macroeconomics, Elsevier, Elsevier, vol. 27(4), pages 691-703, December.
  4. Franses, Ph.H.B.F., 1999. "How to deal with intercept and trend in pratical cointegration analysis?," Econometric Institute Research Papers EI 9904-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  5. J. James Reade & Ulrich Volz, 2009. "Leader of the Pack? German Monetary Dominance in Europe Prior to EMU," Economics Series Working Papers 419, University of Oxford, Department of Economics.
  6. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "“Causality and Contagion in EMU Sovereign Debt Markets”," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics 201403, University of Barcelona, Research Institute of Applied Economics, revised Feb 2014.
  7. Søren Johansen & Katarina Juselius & Roman Frydberg & Michael Goldberg, 2008. "Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate," CREATES Research Papers 2008-03, School of Economics and Management, University of Aarhus.
  8. Bent Nielsen & Soren Johansen and Rocco Mosconi, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Economics Series Working Papers 2000-W22, University of Oxford, Department of Economics.
  9. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, Robert, 2010. "Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 28, pages 519-552, Diciembre.
  10. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
  11. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2011. "Causality and contagion in peripheral EMU public debt markets: a dynamic approach," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics 201116, University of Barcelona, Research Institute of Applied Economics, revised Sep 2011.
  12. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2009. "Co-integration rank tests under conditional heteroskedasticity," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 09/02, University of Nottingham, Granger Centre for Time Series Econometrics.
  13. Elena Marquez de la Cruz & Ana Martinez-Canete & Ines Perez-Soba Aguilar, 2007. "Intertemporal preference parameters for some European monetary union countries," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 39(8), pages 997-1011.
  14. M. Kessler & A. Rahbek, 2004. "Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions," Statistical Inference for Stochastic Processes, Springer, Springer, vol. 7(2), pages 137-151, May.
  15. Heino Bohn Nielsen & Christopher Bowdler, 2003. "Inflation Adjustment in the Open Economy: An I(2) Analysis of UK Prices," Economics Papers 2003-W05, Economics Group, Nuffield College, University of Oxford.
  16. Domenico Sartore & Lucia Trevisan & Michele Trova & Francesca Volo, 2002. "US dollar/Euro exchange rate: a monthly econometric model for forecasting," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 8(4), pages 480-501.
  17. Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2013. "Granger-causality in peripheral EMU public debt markets: A dynamic approach," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(11), pages 4627-4649.
  18. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009. "Co-integration Rank Testing under Conditional Heteroskedasticity," CREATES Research Papers 2009-22, School of Economics and Management, University of Aarhus.
  19. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2010. "Bootstrap Sequential Determination of the Co-integration Rank in VAR Models," Discussion Papers 10-07, University of Copenhagen. Department of Economics.
  20. Hjelm, Göran & Johansson, Martin W, 2002. "A Monte Carlo Study on the Pitfalls in Determining Deterministic Components in Cointegrating Models," Working Papers, Lund University, Department of Economics 2002:3, Lund University, Department of Economics.
  21. Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius, 2009. "A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings," CREATES Research Papers 2009-01, School of Economics and Management, University of Aarhus.
  22. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "“EMU sovereign debt market crisis: Fundamentals-based or pure contagion?”," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics 201402, University of Barcelona, Research Institute of Applied Economics, revised May 2014.
  23. Guillermo Carlomagnol & Antoni Espasa, 2014. "The pairwise approach to model a large set of disaggregates with common trends," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws141309, Universidad Carlos III, Departamento de Estadística y Econometría.
  24. Omtzigt Pieter, 2002. "Automatic identification and restriction of the cointegration space," Economics and Quantitative Methods, Department of Economics, University of Insubria qf0213, Department of Economics, University of Insubria.
  25. Emerson Fernandes Marçal & Priscila Fernandes Ribeiro, 2011. "Levado pelos Fundamentos? Estimando o Desalinhamento Cambial Norte-Americano a partir de Técnicas de Cointegração," Discussion Papers, Instituto de Pesquisa Econômica Aplicada - IPEA 1674, Instituto de Pesquisa Econômica Aplicada - IPEA.