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Citations for "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models"

by Johansen, Soren

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  1. Rajmund MIRDALA, 2012. "Financial Deepening And Economic Growth In The European Transition Economies," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 6(6(18)/ Su), pages 177-194.
  2. 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.
  3. Groen, Jan J J & Kleibergen, Frank, 2003. "Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 295-318, April.
  4. Saten Kumar & Gail Pacheco & Stephanié Rossouw, 2010. "How to Increase the Growth Rate in South Africa?," EERI Research Paper Series EERI_RP_2010_31, Economics and Econometrics Research Institute (EERI), Brussels.
  5. Hamrita, Mohamed Essaied, 2014. "Export-Led Growth in Tunisia: A wavelet filtering based analysis," MPRA Paper 52722, University Library of Munich, Germany.
  6. Johannes Fedderke, 2001. "Growth and institutions," Journal of International Development, John Wiley & Sons, Ltd., vol. 13(6), pages 645-670.
  7. Haug, A.A., 1992. "Tests for Cointegration: A Monte Carlo Comparison," Papers 93-2, York (Canada) - Department of Economics.
  8. Badi H. Baltagi & Zijun Wang, 2006. "Testing for Cointegrating Rank via Model Selection: Evidence from 165 Data Sets," Center for Policy Research Working Papers 83, Center for Policy Research, Maxwell School, Syracuse University.
  9. Reza Anglingkusumo, 2005. "Money - Inflation Nexus in Indonesia: Evidence from a P-Star Analysis," Tinbergen Institute Discussion Papers 05-054/4, Tinbergen Institute.
  10. Ali Anari & James Kolari & Joseph Mason, 2002. "Bank Asset Liquidation and the Propagation of the U.S. Great Depression," Center for Financial Institutions Working Papers 02-35, Wharton School Center for Financial Institutions, University of Pennsylvania.
  11. Wang, Zijun & Bessler, David A., 2004. "Forecasting performance of multivariate time series models with full and reduced rank: an empirical examination," International Journal of Forecasting, Elsevier, vol. 20(4), pages 683-695.
  12. Yang, Minxian & Bewley, Ronald, 1996. "On cointegration tests for VAR models with drift," Economics Letters, Elsevier, vol. 51(1), pages 45-50, April.
  13. Fisher, Lance A. & Huh, Hyeon-seung, 1999. "Weak exogeneity and long-run and contemporaneous identifying restrictions in VEC models," Economics Letters, Elsevier, vol. 63(2), pages 159-165, May.
  14. Ng, Serena & Perron, Pierre, 1997. "Estimation and inference in nearly unbalanced nearly cointegrated systems," Journal of Econometrics, Elsevier, vol. 79(1), pages 53-81, July.
  15. Kugler, Maurice, 2006. "Spillovers from foreign direct investment: Within or between industries?," Journal of Development Economics, Elsevier, vol. 80(2), pages 444-477, August.
  16. John M. Sequeira & Pang Chia Chiat & Michael McAleer, 2003. "Volatility Models of Currency Futures in Developed and Emerging Markets," CIRJE F-Series CIRJE-F-210, CIRJE, Faculty of Economics, University of Tokyo.
  17. Garratt, Anthony & Lee, Kevin C & Pesaran, M. Hashem & Shin, Yongcheol, 1998. "A Structural Cointegrating VAR Approach to Macroeconometric Modelling," Cambridge Working Papers in Economics 9823, Faculty of Economics, University of Cambridge.
  18. Håvard Hungnes, 2001. "Estimating and Restricting Growth Rates and Cointegration Means With Applications to Consumption and Money Demand," Discussion Papers 309, Research Department of Statistics Norway.
  19. Abbas Valadkhani & Majid Nameni, 2011. "How can Iran's black market exchange rate be managed?," Journal of Economic Studies, Emerald Group Publishing, vol. 38(2), pages 186-202, May.
  20. Mentz, Markus & Sebastian, Steffen P., 2003. "Inflation convergence after the introduction of the Euro," CFS Working Paper Series 2003/30, Center for Financial Studies (CFS).
  21. Urban, Dieter M., 2007. "Terms of trade, catch-up, and home-market effect: The example of Japan," Journal of the Japanese and International Economies, Elsevier, vol. 21(4), pages 470-488, December.
  22. Kühl, Michael, 2010. "Bivariate cointegration of major exchange rates, cross-market efficiency and the introduction of the Euro," Journal of Economics and Business, Elsevier, vol. 62(1), pages 1-19, January.
  23. Ferreira, Paula & Soares, Isabel & Araujo, Madalena, 2005. "Liberalisation, consumption heterogeneity and the dynamics of energy prices," Energy Policy, Elsevier, vol. 33(17), pages 2244-2255, November.
  24. Katsumi Shimotsu & Morten Ørregaard Nielsen, 2006. "Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach," Working Papers 1029, Queen's University, Department of Economics.
  25. Tor Jacobson & Johan Lyhagen & Rolf Larsson & Marianne Nessén, 2008. "Inflation, exchange rates and PPP in a multivariate panel cointegration model," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 58-79, 03.
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  27. Michel Normandin, 2006. "Fiscal Policies, External Deficits, and Budget Deficits," Cahiers de recherche 06-05, HEC Montréal, Institut d'économie appliquée.
  28. Paolo Paruolo, 2006. "The Likelihood Ratio Test for the Rank of a Cointegration Submatrix," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 921-948, December.
  29. Borek Vasicek, 2009. "Monetary policy rules and inflation process in open emerging economies: evidence for 12 new EU members," William Davidson Institute Working Papers Series wp968, William Davidson Institute at the University of Michigan.
  30. Engsted, Tom, 2002. "Measuring noise in the Permanent Income Hypothesis," Journal of Macroeconomics, Elsevier, vol. 24(3), pages 353-370, September.
  31. Andreas Lehnert & Wayne Passmore & Shane Sherlund, 2008. "GSEs, Mortgage Rates, and Secondary Market Activities," The Journal of Real Estate Finance and Economics, Springer, vol. 36(3), pages 343-363, April.
  32. Grier, Kevin B. & Smallwood, Aaron D., 2013. "Exchange rate shocks and trade: A multivariate GARCH-M approach," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 282-305.
  33. Naeem Muhammad & Abdul Rasheed, 2002. "Stock Prices and Exchange Rates: Are they Related? Evidence from South Asian Countries," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 41(4), pages 535-550.
  34. Brissimis, Sophocles N. & Magginas, Nicholas S., 2005. "Changes in financial structure and asset price substitutability: A test of the bank lending channel," Economic Modelling, Elsevier, vol. 22(5), pages 879-904, September.
  35. Patricio Jaramillo & Jorge Selaive, 2006. "Speculative Activity and Copper Price," Working Papers Central Bank of Chile 384, Central Bank of Chile.
  36. Samuel Antwi & Ebenezer Fiifi Emire Atta Mills & Xicang Zhao, 2013. "Impact of Macroeconomic Factors on Economic Growth in Ghana: A Cointegration Analysis," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 3(1), pages 35-45, January.
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  38. Hubrich, Kirstin & Lütkepohl, Helmut & Saikkonen, Pentti, 1998. "A review of systemscointegration tests," SFB 373 Discussion Papers 1998,101, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  39. Scheiblecker, Marcus, 2013. "Between cointegration and multicointegration: Modelling time series dynamics by cumulative error correction models," Economic Modelling, Elsevier, vol. 31(C), pages 511-517.
  40. Jose Eduardo de A. Ferreira, 2006. "Effects of Fundamentals on the Exchange Rate: A Panel Analysis for a Sample of Industrialised and Emerging Economies," Studies in Economics 0603, Department of Economics, University of Kent.
  41. Yu, Qiao, 1997. "Economic Fluctuation, Macro Control, and Monetary Policy in the Transitional Chinese Economy," Journal of Comparative Economics, Elsevier, vol. 25(2), pages 180-195, October.
  42. Jalil, Abdul & Wahid, Abu N. M. & Shahbaz, Muhammad, 2010. "Financial Development and Growth: A Positive, Monotonic Relationship? Empirical Evidences from South Africa," MPRA Paper 27668, University Library of Munich, Germany.
  43. Stefan Reitz & Jan-Christoph Rülke & Georg Stadtmann, 2011. "Nonlinear Expectations in Speculative Markets - Evidence from the ECB Survey of Professional Forecasters," Kiel Working Papers 1706, Kiel Institute for the World Economy.
  44. Rault, C., 1999. "Non-Causality in VAR-ECM Models with Purely Exogeneous Long-Run Paths," Papiers d'Economie Mathématique et Applications 1999.44, Université Panthéon-Sorbonne (Paris 1).
  45. Jorge A. Chan-Lau & Yoon Sook Kim, 2004. "Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets," IMF Working Papers 04/27, International Monetary Fund.
  46. Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2013. "Market efficiency in the European carbon markets," Energy Policy, Elsevier, vol. 60(C), pages 785-792.
  47. Rapach, David E. & Weber, Christian E., 2004. "Are real interest rates really nonstationary? New evidence from tests with good size and power," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 409-430, September.
  48. Massimo Giovannini & Margherita Grasso & Alessandro Lanza & Matteo Manera, 2006. "Conditional correlations in the returns on oil companies stock prices and their determinants," Empirica, Springer, vol. 33(4), pages 193-207, September.
  49. Yann Schorderet, 2002. "A Nonlinear Generalization of Cointegration : A Note on Hidden Cointegration," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2002.03, Institut d'Economie et Econométrie, Université de Genève.
  50. Hali J. Edison & William R. Melick, 1992. "Purchasing power parity and uncovered interest rate parity: the United States 1974-1990," International Finance Discussion Papers 425, Board of Governors of the Federal Reserve System (U.S.).
  51. Ribba, Antonio, 2003. "Permanent-transitory decompositions and traditional measures of core inflation," Economics Letters, Elsevier, vol. 81(1), pages 109-116, October.
  52. Hilde Bj�rnland, 2005. "A stable demand for money despite financial crisis: the case of Venezuela," Applied Economics, Taylor & Francis Journals, vol. 37(4), pages 375-385.
  53. Athanasoglou, Panayiotis, 2011. "The role of product variety and quality and of domestic supply in foreign trade," MPRA Paper 32034, University Library of Munich, Germany.
  54. Rousseau, Peter L. & Sylla, Richard, 2005. "Emerging financial markets and early US growth," Explorations in Economic History, Elsevier, vol. 42(1), pages 1-26, January.
  55. Pami Dua & Reetika Garg, 2013. "Foreign Portfolio Investment Flows To India -- Determinants And Analysis," Working papers 225, Centre for Development Economics, Delhi School of Economics.
  56. Clive Bell & Peter L. Rousseau, 2000. "Post-Independence India: A Case of Finance-Led Industrialization?," Vanderbilt University Department of Economics Working Papers 0019, Vanderbilt University Department of Economics.
  57. Zaman, Khalid & Mushtaq Khan, Muhammad & Ahmad, Mehboob, 2013. "Factors affecting commercial energy consumption in Pakistan: Progress in energy," Renewable and Sustainable Energy Reviews, Elsevier, vol. 19(C), pages 107-135.
  58. Corradi, Valentina & Swanson, Norman R. & White, Halbert, 2000. "Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes," Journal of Econometrics, Elsevier, vol. 96(1), pages 39-73, May.
  59. Nathan S. Balke & Thomas B. Fomby, 1992. "Threshold cointegration," Research Paper 9209, Federal Reserve Bank of Dallas.
    • Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
  60. Marina Tkalec, 2012. "The Dynamics of Deposit Euroization in European Post-transition Countries: Evidence from Threshold VAR," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(3), pages 278-296, July.
  61. Megumi Kubota, . "Real Exchange Rate Misalignments: Theoretical Modelling and Empirical Evidence," Discussion Papers 09/24, Department of Economics, University of York.
  62. Calcagnini, Giorgio & Travaglini, Giuseppe, 2014. "A time series analysis of labor productivity. Italy versus the European countries and the U.S," Economic Modelling, Elsevier, vol. 36(C), pages 622-628.
  63. Ozdemir, Zeynel Abidin & Olgun, Hasan & Saracoglu, Bedriye, 2009. "Dynamic linkages between the center and periphery in international stock markets," Research in International Business and Finance, Elsevier, vol. 23(1), pages 46-53, January.
  64. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," KIER Working Papers 743, Kyoto University, Institute of Economic Research.
  65. Cornwell, Christopher Mark & Wächter, Jens-Uwe, 1999. "Comovement and catch-up in productivity across sectors: Evidence from the OECD," ZEI Working Papers B 07-1999, ZEI - Center for European Integration Studies, University of Bonn.
  66. Sachsida, Adolfo & Divino, Jose Angelo & Cajueiro, Daniel Oliveira, 2011. "Inflation, unemployment, and the time consistency of the US monetary policy," Structural Change and Economic Dynamics, Elsevier, vol. 22(2), pages 173-179, June.
  67. Chang, Yoosoon & Martinez-Chombo, Eduardo, 2003. "Electricity Demand Analysis Using Cointegration and Error-Correction Models with Time Varying Parameters: The Mexican Case," Working Papers 2003-08, Rice University, Department of Economics.
  68. Franses, Philip Hans & Lucas, Andr‚, 1997. "Outlier robust cointegration analysis," Serie Research Memoranda 0045, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  69. Enrique M. Quilis(1), . "Modelos Bvar: Especificación, Estimación E Inferencia," Working Papers 8-02 Classification-JEL :, Instituto de Estudios Fiscales.
  70. Tobias Basse & Sebastian Reddemann, 2011. "Inflation and the dividend policy of US firms," Managerial Finance, Emerald Group Publishing, vol. 37(1), pages 34-46, January.
  71. Rebeca Albacete & Antoni Espasa, 2005. "Forecasting Inflation In The Euro Area Using Monthly Time Series Models And Quarterly Econometric Models," Statistics and Econometrics Working Papers ws050401, Universidad Carlos III, Departamento de Estadística y Econometría.
  72. Rousseau, Peter L., 1999. "Finance, investment, and growth in Meiji-era Japan," Japan and the World Economy, Elsevier, vol. 11(2), pages 185-198, April.
  73. Hsiao, Cheng & Wang, Siyan, 2006. "Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 427-463.
  74. Miljkovic, Dragan & Mostad, Daniel, 2005. "Impact of Changes in Dietary Preferences on U.S. Retail Demand for Beef: Health Concerns and the Role of Media," Journal of Agribusiness, Agricultural Economics Association of Georgia, vol. 23(2).
  75. Jakob de Haan & Tigran Poghosyan, 2007. "Interest Rate Linkages in EMU Countries: A Rolling Threshold Vector Error-Correction Approach," CESifo Working Paper Series 2060, CESifo Group Munich.
  76. Peter C.B. Phillips, 1992. "Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy," Cowles Foundation Discussion Papers 1025, Cowles Foundation for Research in Economics, Yale University.
  77. Ali, Sharafat, 2014. "Inflation, Income Inequality and Economic Growth in Pakistan: A Cointegration Analysis," MPRA Paper 53706, University Library of Munich, Germany.
  78. George A. Slotsve & James M. Nason, 2003. "Along the New Keynesian Phillips Curve with Nominal and Real Rigidities," Computing in Economics and Finance 2003 270, Society for Computational Economics.
  79. Peter L. Rousseau, 2003. "Historical perspectives on financial development and economic growth," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 81-106.
  80. Chevallier, Julien, 2012. "Cointegration between carbon spot and futures prices : from linear to nonlinear modeling," Economics Papers from University Paris Dauphine 123456789/7936, Paris Dauphine University.
  81. Zaman, Rubaiya, 2012. "CO2 Emissions, Trade Openness and GDP Percapita : Bangladesh Perspective," MPRA Paper 48515, University Library of Munich, Germany.
  82. Koedijk, Kees & Kool, Clemens & Nissen, Francois, 1998. "Real interest rates and shifts in macroeconomic volatility," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 241-261, September.
  83. D'Autume, A., 1992. "Cointegration et Modeles Dynamiques," Papiers d'Economie Mathématique et Applications 92.42, Université Panthéon-Sorbonne (Paris 1).
  84. Banu Simmons-Süer, 2013. "Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator," KOF Working papers 13-328, KOF Swiss Economic Institute, ETH Zurich.
  85. Travaglini, Guido, 2011. "Climate change: where is the hockey stick? evidence from millennial-scale reconstructed and updated temperature time series," MPRA Paper 35565, University Library of Munich, Germany.
  86. Jian Yang & Titus Awokuse, 2003. "Asset storability and hedging effectiveness in commodity futures markets," Applied Economics Letters, Taylor & Francis Journals, vol. 10(8), pages 487-491.
  87. Gundel, Sebastian, 2007. "Declining export prices due to increased competition from NIC: Evidence from Germany and the CEEC," Center for European, Governance and Economic Development Research Discussion Papers 63, University of Goettingen, Department of Economics.
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  90. Neil R. Ericsson, 1994. "Conditional and structural error correction models," International Finance Discussion Papers 487, Board of Governors of the Federal Reserve System (U.S.).
  91. Blum, Matthias & Greasley, David & Hanley, Nicholas & Kunnas, Jan & McLaughlin, Eoin & Oxley, Les & Warde, Paul, 2014. "Empirical testing of genuine savings as an indicator of weak sustainability: a three-country analysis of long run trends," Stirling Economics Discussion Papers 2014-03, University of Stirling, Division of Economics.
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  102. Francisca Pérez, 2013. "Are International Market Linkages Stronger? Comparison between 1990s and 2000s," Working Papers Central Bank of Chile 687, Central Bank of Chile.
  103. David McMillan, 2005. "Time variation in the cointegrating relationship between stock prices and economic activity," International Review of Applied Economics, Taylor & Francis Journals, vol. 19(3), pages 359-368.
  104. Jörg Breitung, 2002. "A parametric approach to the estimation of cointegration vectors in panel data," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B5-4, International Conferences on Panel Data.
  105. Zafeiriou, Eleni & Arabatzis, Garyfallos & Koutroumanidis, Theodoros, 2011. "The fuelwood market in Greece: An empirical approach," Renewable and Sustainable Energy Reviews, Elsevier, vol. 15(6), pages 3008-3018, August.
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  122. I.S. Meister, 2002. "Is Eastern Europe ready for the Euro? A Cointegration Analysis for the Maastricht Criteria," WO Research Memoranda (discontinued) 699, Netherlands Central Bank, Research Department.
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  125. Goodness C. Aye & Mehmet Balcilar & Adel Bosch & Rangan Gupta, 2013. "Housing and the Business Cycle in South Africa," Working Papers 201323, University of Pretoria, Department of Economics.
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  129. Lira SEKANTSI, 2011. "The Impact of Real Exchange Rate Volatility on South African Exports to the United States (U.S.): A Bounds Test Approach," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 8, pages 119-139, December.
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  133. Fedderke, J.W. & Perkins, P. & Luiz, J.M., 2006. "Infrastructural investment in long-run economic growth: South Africa 1875-2001," World Development, Elsevier, vol. 34(6), pages 1037-1059, June.
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  136. Bergvall, Anders, 2002. "What Determines Real Exchange Rates? The Nordic Countries," Working Paper Series 2002:15, Uppsala University, Department of Economics.
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