Granger's representation theorem: A closed-form expression for I(1) processes

Citations

Cited by:

1. Anders Rygh Swensen, 2022. "On causal and non‐causal cointegrated vector autoregressive time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(2), pages 178-196, March.
2. Hansen, Peter Reinhard, 2015. "A martingale decomposition of discrete Markov chains," Economics Letters, Elsevier, vol. 133(C), pages 14-18.
   • Peter Reinhard Hansen, 2015. "A Martingale Decomposition of Discrete Markov Chains," CREATES Research Papers 2015-18, Department of Economics and Business Economics, Aarhus University.
3. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2008. "Evaluating an estimated new Keynesian small open economy model," Journal of Economic Dynamics and Control, Elsevier, vol. 32(8), pages 2690-2721, August.
   • Linde, Jesper & Adolfson, Malin & LASEEN, PER & Villani, Mattias, 2007. "Evaluating An Estimated New Keynesian Small Open Economy Model," CEPR Discussion Papers 6027, C.E.P.R. Discussion Papers.
   • Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2007. "Evaluating An Estimated New Keynesian Small Open Economy Model," Working Paper Series 203, Sveriges Riksbank (Central Bank of Sweden).
4. Paruolo Paolo, 2005. "Design of vector autoregressive processes for invariant statistics," Economics and Quantitative Methods qf0504, Department of Economics, University of Insubria.
5. Jerome Coffinet & Etienne Kintzler, 2019. "Is the Office Market Overvalued? A Simple Framework Applied to France," International Real Estate Review, Global Social Science Institute, vol. 22(2), pages 275-306.
6. Håvard Hungnes, 2010. "Identifying Structural Breaks in Cointegrated Vector Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(4), pages 551-565, August.
7. Massimo Franchi & Paolo Paruolo, 2019. "A general inversion theorem for cointegration," Econometric Reviews, Taylor & Francis Journals, vol. 38(10), pages 1176-1201, November.
   • Massimo Franchi & Paolo Paruolo, 2017. "A general inversion theorem for cointegration," DSS Empirical Economics and Econometrics Working Papers Series 2017/3, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
8. Nielsen, Mikkel Slot, 2020. "On non-stationary solutions to MSDDEs: Representations and the cointegration space," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 3154-3173.
9. Mikael Juselius & Moshe Kim & Staffan Ringbom, 2015. "Do markup dynamics reflect fundamentals or changes in conduct?," Empirical Economics, Springer, vol. 48(3), pages 1119-1147, May.
   • Juselius, Mikael & Kim, Moshe & Ringbom, Staffan, 2009. "Do markup dynamics reflect fundamentals or changes in conduct?," Bank of Finland Research Discussion Papers 12/2009, Bank of Finland.
10. Alexander Chudik & Vanessa Smith, 2013. "The GVAR approach and the dominance of the U.S. economy," Globalization Institute Working Papers 136, Federal Reserve Bank of Dallas.
11. Òscar Jordà, 2005. "Estimation and Inference of Impulse Responses by Local Projections," American Economic Review, American Economic Association, vol. 95(1), pages 161-182, March.
12. Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2021. "Inference in heavy-tailed non-stationary multivariate time series," Papers 2107.13894, arXiv.org.
13. repec:zbw:bofrdp:2009_012 is not listed on IDEAS
14. Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2016. "Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank," Journal of Econometrics, Elsevier, vol. 190(1), pages 46-61.
15. Swensen, Anders Rygh, 2011. "A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables," Journal of Econometrics, Elsevier, vol. 165(2), pages 152-162.
16. Marañon, Matias & Kumral, Mustafa, 2021. "Empirical analysis of Chile's copper boom and the Dutch Disease through causality and cointegration tests," Resources Policy, Elsevier, vol. 70(C).
17. Jarner, Søren F. & Jallbjørn, Snorre, 2020. "Pitfalls and merits of cointegration-based mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 80-93.
18. Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2020. "Determining the rank of cointegration with infinite variance," Discussion Papers 20/01, University of Nottingham, Granger Centre for Time Series Econometrics.
19. Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015. "Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models," Discussion Paper 2015-001, Tilburg University, Center for Economic Research.
    • Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015. "Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models," Other publications TiSEM d1b040c9-db57-4e55-846f-4, Tilburg University, School of Economics and Management.
20. Takamitsu Kurita & Mototsugu Shintani, 2023. "Johansen Test with Fourier-Type Smooth Nonlinear Trends in Cointegrating Relations," CIRJE F-Series CIRJE-F-1216, CIRJE, Faculty of Economics, University of Tokyo.
21. Mikael Juselius & Moshe Kim & Staffan Ringbom, 2015. "Do markup dynamics reflect fundamentals or changes in conduct?," Empirical Economics, Springer, vol. 48(3), pages 1119-1147, May.
    • Juselius, Mikael & Kim, Moshe & Ringbom, Staffan, 2009. "Do markup dynamics reflect fundamentals or changes in conduct?," Research Discussion Papers 12/2009, Bank of Finland.
22. Hansen, Peter R. & Lunde, Asger, 2006. "Realized Variance and Market Microstructure Noise," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 127-161, April.
23. Niklas Ahlgren & Mikael Juselius, 2012. "Tests for cointegration rank and the initial condition," Empirical Economics, Springer, vol. 42(3), pages 667-691, June.
    • Ahlgren, Niklas & Juselius, Mikael, 2009. "Tests for Cointegration Rank and the Initial Condition," Working Papers 539, Hanken School of Economics.
24. Carsten Trenkler & Enzo Weber, 2013. "Testing for codependence of cointegrated variables," Applied Economics, Taylor & Francis Journals, vol. 45(15), pages 1953-1964, May.
25. Takamitsu Kurita & Bent Nielsen, 2019. "Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms," Econometrics, MDPI, vol. 7(4), pages 1-35, October.
26. Nhlangwini, Pamela & Mongale, Itumeleng Pleasure, 2019. "Mining Production and Economic Growth Nexus," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 53(3), pages 103-116.
27. Jerome Coffinet & Etienne Kintzler, 2019. "Is the Office Market Overvalued? A Simple Framework Applied to France," International Real Estate Review, Asian Real Estate Society, vol. 22(2), pages 275-307.
28. Edwige Burdeau, 2017. "Evaluating risks in the French office market with new sources of data on commercial property prices," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Data needs and Statistics compilation for macroprudential analysis, volume 46, Bank for International Settlements.
29. McCauley, Joseph L. & Bassler, Kevin E. & Gunaratne, Gemunu H., 2009. "Is integration I(d) applicable to observed economics and finance time series?," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 101-108, June.
30. Takamitsu Kurita & B. Nielsen, 2018. "Partial cointegrated vector autoregressive models with structural breaks in deterministic terms," Economics Papers 2018-W03, Economics Group, Nuffield College, University of Oxford.