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Citations for "Understanding unit rooters: a helicopter tour"

by Christopher A. Sims & Harald Uhlig

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  1. Summers, Peter M., 2004. "Bayesian evidence on the structure of unemployment," Economics Letters, Elsevier, vol. 83(3), pages 299-306, June.
  2. Hyungsik Roger Moon & Frank Schorfheide, 2009. "Bayesian and Frequentist Inference in Partially Identified Models," NBER Working Papers 14882, National Bureau of Economic Research, Inc.
  3. Sims, Christopher A., 2008. "Improving monetary policy models," Journal of Economic Dynamics and Control, Elsevier, vol. 32(8), pages 2460-2475, August.
  4. Soyoung Kim & Sunghyun Henry Kim & Yunjong Wang, 2004. "Macroeconomic Effects of Capital Account Liberalization: the Case of Korea," Review of Development Economics, Wiley Blackwell, vol. 8(4), pages 624-639, November.
  5. Roberta Colavecchio & Declan Curran & Michael Funke, 2005. "Drifting Together or Falling Apart? The Empirics of Regional Economic Growth in Post-Unification Germany," CESifo Working Paper Series 1533, CESifo Group Munich.
  6. Zheng Liu & Pengfei Wang & Tao Zha, 2011. "Land-price dynamics and macroeconomic fluctuations," Working Paper 2011-11, Federal Reserve Bank of Atlanta.
  7. Eric M. Leeper & Christopher A. Sims, 1994. "Toward a Modern Macroeconomic Model Usable for Policy Analysis," NBER Chapters, in: NBER Macroeconomics Annual 1994, Volume 9, pages 81-140 National Bureau of Economic Research, Inc.
  8. Josifidis, Kosta & Allegret, Jean-Pierre & Gimet, Céline & Pucar, Emilija Beker, 2014. "Macroeconomic policy responses to financial crises in emerging European economies," Economic Modelling, Elsevier, vol. 36(C), pages 577-591.
  9. Imbens, Guido & Chamberlain, Gary, 1996. "Nonparametric Applications of Bayesian Inference," Scholarly Articles 3221493, Harvard University Department of Economics.
  10. Céline Gimet & Thomas Lagoarde-Segot, 2011. "A closer look at financial development and income distribution," Post-Print halshs-00564641, HAL.
  11. Christopher A. Sims & Tao Zha, 1995. "Error bands for impulse responses," Working Paper 95-6, Federal Reserve Bank of Atlanta.
  12. de Pooter, M.D. & Ravazzolo, F. & Segers, R. & van Dijk, H.K., 2008. "Bayesian near-boundary analysis in basic macroeconomic time series models," Econometric Institute Research Papers EI 2008-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  13. Kwan, Yum K., 1998. "Asymptotic Bayesian analysis based on a limited information estimator," Journal of Econometrics, Elsevier, vol. 88(1), pages 99-121, November.
  14. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute.
  15. Bartosz Maćkowiak, 2006. "How Much of the Macroeconomic Variation in Eastern Europe is Attributable to External Shocks?," Comparative Economic Studies, Palgrave Macmillan, vol. 48(3), pages 523-544, September.
  16. Luoto, Jani, 2011. "Aggregate infrastructure capital stock and long-run growth: Evidence from Finnish data," Journal of Development Economics, Elsevier, vol. 94(2), pages 181-191, March.
  17. Lutz Kilian & Tao Zha, 1999. "Quantifying the half-life of deviations from PPP: The role of economic priors," Working Paper 99-21, Federal Reserve Bank of Atlanta.
  18. Summers, Peter M., 2001. "Forecasting Australia's economic performance during the Asian crisis," International Journal of Forecasting, Elsevier, vol. 17(3), pages 499-515.
  19. Davidson, James, 2002. "A model of fractional cointegration, and tests for cointegration using the bootstrap," Journal of Econometrics, Elsevier, vol. 110(2), pages 187-212, October.
  20. Soyoung Kim & Doo Yang, 2011. "The Impact of Capital Inflows on Asset Prices in Emerging Asian Economies: Is Too Much Money Chasing Too Little Good?," Open Economies Review, Springer, vol. 22(2), pages 293-315, April.
  21. Luis Gil-Alana, 2004. "Modelling the US real GNP with fractionally integrated techniques," Applied Economics, Taylor & Francis Journals, vol. 36(8), pages 873-879.
  22. John P. Burkett, 2005. "The Labor Supply of Nurses and Nursing Assistants in the United States," Eastern Economic Journal, Eastern Economic Association, vol. 31(4), pages 585-599, Fall.
  23. Watzka, Sebastian & Schenkelberg, Heike, 2011. "Real effects of Quantitative Easing at the Zero-Lower Bound: Structural VAR-based evidence from Japan," Munich Reprints in Economics 19697, University of Munich, Department of Economics.
  24. Henry Kim & Soyoung Kim & Yunjong Wang, 2005. "International Capital Flows and Boom-Bust Cycles in the Asia Pacific Region," Discussion Papers Series, Department of Economics, Tufts University 0506, Department of Economics, Tufts University.
  25. N. Vijayamohanan Pillai, 2010. "Electricity Demand Analysis and Forecasting- The Tradition is Questioned," Working Papers id:2966, eSocialSciences.
  26. Pirovano, Mara, 2012. "Monetary policy and stock prices in small open economies: Empirical evidence for the new EU member states," Economic Systems, Elsevier, vol. 36(3), pages 372-390.
  27. Ritschl, Albrecht & Woitek, Ulrich, 2000. "Did Monetary Forces Cause the Great Depression?," CEPR Discussion Papers 2547, C.E.P.R. Discussion Papers.
  28. H. Naci Mocan & Hope Corman, 2000. "A Time-Series Analysis of Crime, Deterrence, and Drug Abuse in New York City," American Economic Review, American Economic Association, vol. 90(3), pages 584-604, June.
  29. Katerina Arnostova & Jaromir Hurnik, 2005. "The Monetary Transmission Mechanism in the Czech Republic (evidence from VAR analysis)," Working Papers 2005/04, Czech National Bank, Research Department.
  30. Burkett, John P., 1998. "Bureaucratic behavior modeled by reduced-rank regression: The case of expenditures from the Soviet state budget," Journal of Economic Behavior & Organization, Elsevier, vol. 34(1), pages 173-187, January.
  31. Jesús Fernández-Villaverde & Juan F. Rubio, 2003. "Comparing Dynamic Equilibrium Economies to Data," Levine's Working Paper Archive 506439000000000309, David K. Levine.
  32. Matthias Neuenkirch, 2011. "Monetary Policy Transmission in Vector Autoregressions: A New Approach Using Central Bank Communication," MAGKS Papers on Economics 201143, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  33. Funke, Michael & Strulik, Holger, 1999. "Regional growth in West Germany: convergence or divergence?," Economic Modelling, Elsevier, vol. 16(4), pages 489-502, December.
  34. Soyoung Kim & Yoonbai Kim, 2012. "The RMB Debate: Empirical Analysis on the Effects of Exchange Rate Shocks in China and Japan," Working Papers 132012, Hong Kong Institute for Monetary Research.
  35. Uhlig, Harald, 2005. "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
  36. Richard Kleijn & Herman K. van Dijk, 2001. "A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model," Tinbergen Institute Discussion Papers 01-105/4, Tinbergen Institute.
  37. Fernández-Villaverde, Jesús, 2009. "The Econometrics of DSGE Models," CEPR Discussion Papers 7157, C.E.P.R. Discussion Papers.
  38. Kim, Soyoung & Roubini, Nouriel, 2008. "Twin deficit or twin divergence? Fiscal policy, current account, and real exchange rate in the U.S," Journal of International Economics, Elsevier, vol. 74(2), pages 362-383, March.
  39. Zheng Liu & Jianjun Miao & Tao Zha, 2013. "Land prices and unemployment," Working Paper Series 2013-22, Federal Reserve Bank of San Francisco.
  40. N. Vijayamohanan Pillai, 2001. "Electricity demand analysis and forecasting: The tradition is questioned," Centre for Development Studies, Trivendrum Working Papers 312, Centre for Development Studies, Trivendrum, India.
  41. Albrecht Ritschl & Ulrich Woitek, . "Did Monetary Forces Cause the Great Depression? A Bayesian VAR Analysis for the U.S. Economy," IEW - Working Papers 050, Institute for Empirical Research in Economics - University of Zurich.
  42. Andrea Bonilla, 2014. "External vulnerabilities and economic integration. Is the Union of South American Nations a promising project ?," Working Papers halshs-00945044, HAL.
  43. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
  44. Stambaugh, Robert F., 1999. "Predictive regressions," Journal of Financial Economics, Elsevier, vol. 54(3), pages 375-421, December.
  45. Scholl, Almuth & Uhlig, Harald, 2008. "New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates," Journal of International Economics, Elsevier, vol. 76(1), pages 1-13, September.
  46. Piersanti, Giovanni, 2000. "Current account dynamics and expected future budget deficits: some international evidence," Journal of International Money and Finance, Elsevier, vol. 19(2), pages 255-271, April.
  47. Grassi, Stefano & Proietti, Tommaso, 2010. "Characterizing economic trends by Bayesian stochastic model specifi cation search," MPRA Paper 22569, University Library of Munich, Germany.
  48. Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013. "No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 389-402.
  49. Nepelski, Daniel, 2010. "Competition and Innovation: ICT- and non-ICT-enabled Product and Process Innovations," MPRA Paper 26243, University Library of Munich, Germany.
  50. Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez, 2006. "Estimating Macroeconomic Models: A Likelihood Approach," Levine's Bibliography 122247000000000849, UCLA Department of Economics.
  51. Qiankun Zhou & Jun Yu, 2012. "Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes," Working Papers 11-2012, Singapore Management University, School of Economics.
  52. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combination Schemes for Turning Point Predictions," Tinbergen Institute Discussion Papers 11-123/4, Tinbergen Institute.
  53. Kim, Chang-Jin & Kim, Jaeho, 2013. "The `Pile-up Problem' in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives," MPRA Paper 51118, University Library of Munich, Germany.
  54. Andrea Bonilla Bolanos, 2012. "External vulnerabilities and economic integration. Is the Union of South American Nations a promising project?," Working Papers 1238, Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure.
  55. Kim, Soyoung & Lee, Jong-Wha, 2008. "Demographic changes, saving, and current account: An analysis based on a panel VAR model," Japan and the World Economy, Elsevier, vol. 20(2), pages 236-256, March.
  56. Falk, Barry, 1999. "Fitting autoregressive trend stationary models with finite samples," International Journal of Forecasting, Elsevier, vol. 15(1), pages 11-25, February.
  57. Neville Francis & Michael T. Owyang & Jennifer E. Roush, 2005. "A flexible finite-horizon identification of technology shocks," International Finance Discussion Papers 832, Board of Governors of the Federal Reserve System (U.S.).
  58. Brisne J. V. Céspedes & Elcyon C. R. Lima & Alexis Maka, 2005. "Monetary Policy, Inflation and the Level of Economic Activity in Brasil After the Real Plan: Stylized Facts From SVAR Models," Discussion Papers 1101, Instituto de Pesquisa Econômica Aplicada - IPEA.
  59. Jarociński, Marek & Marcet, Albert, 2010. "Autoregressions in small samples, priors about observables and initial conditions," Working Paper Series 1263, European Central Bank.
  60. Cha, Kyung Soo & Bae, Jeong Hwan, 2011. "Dynamic impacts of high oil prices on the bioethanol and feedstock markets," Energy Policy, Elsevier, vol. 39(2), pages 753-760, February.
  61. Francis W. Ahking, 2002. "Is the Bayesian Approach Necessarily Better than the Classical Approach in Unit-Root Test?," Working papers 2002-18, University of Connecticut, Department of Economics.
  62. Richard Kleijn & Herman K. van Dijk, 2001. "A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model," Tinbergen Institute Discussion Papers 01-105/4, Tinbergen Institute.
  63. Maurer, Rainer, 1995. "Is economic growth a random walk?," Kiel Working Papers 677, Kiel Institute for the World Economy.
  64. Harald Uhlig & Pooyan Amir Ahmadi, 2012. "Measuring The Dynamic Effects Of Monetary Policy Shocks: A Bayesian Favar Approach With Sign Restriction," 2012 Meeting Papers 1060, Society for Economic Dynamics.
  65. Donald W.K. Andrews, 1991. "Exactly Unbiased Estimation of First Order Autoregressive-Unit Root Models," Cowles Foundation Discussion Papers 975, Cowles Foundation for Research in Economics, Yale University.
  66. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Charl Jooste & Stephen M. Miller & Zeynel A. Ozdemir, 2012. "Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience," Working Papers 201228, University of Pretoria, Department of Economics.
  67. Nickel, Christiane & Tudyka, Andreas, 2013. "Fiscal stimulus in times of high debt: reconsidering multipliers and twin deficits," Working Paper Series 1513, European Central Bank.
  68. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2004. "Estimating Nonlinear Dynamic Equilibrium economies: A Likelihood Approach," PIER Working Paper Archive 04-001, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  69. Jessica A. Wachter & Missaka Warusawitharana, 2007. "Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?," NBER Working Papers 13165, National Bureau of Economic Research, Inc.
  70. Kim, Soyoung & Roubini, Nouriel, 2000. "Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 561-586, June.
  71. Philippe J. Deschamps, 2003. "Time-varying intercepts and equilibrium analysis: an extension of the dynamic almost ideal demand model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(2), pages 209-236.
  72. Sims, Christopher A., 2000. "Using a likelihood perspective to sharpen econometric discourse: Three examples," Journal of Econometrics, Elsevier, vol. 95(2), pages 443-462, April.
  73. Smoluk, H.J. & Bennett, James, 2008. "Evaluating stock returns with time-varying risk aversion driven by trend deviations from the consumption-to-wealth ratio: An analysis conditional on income levels," Review of Financial Economics, Elsevier, vol. 17(4), pages 261-279, December.
  74. Chaturvedi, Anoop & Kumar, Jitendra, 2005. "Bayesian unit root test for model with maintained trend," Statistics & Probability Letters, Elsevier, vol. 74(2), pages 109-115, September.
  75. Simon Gilchrist & Egon Zakrajsek & Cristina Fuentes Albero & Dario Caldara, 2013. "On the Identification of Financial and Uncertainty Shocks," 2013 Meeting Papers 965, Society for Economic Dynamics.
  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. Penelope Smith, 2006. "Bayesian Inference for a Threshold Autoregression with a Unit Root," Melbourne Institute Working Paper Series wp2006n20, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  78. Andrew Mountford, 2005. "Leaning into the Wind: A Structural VAR Investigation of UK Monetary Policy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(5), pages 597-621, October.
  79. Harald Uhlig, 2004. "Discussion of "The Source of Historical Economic Fluctuations: An Analysis using Long-Run Restrictions" by Neville Francis and Valerie A. Ramey," SFB 649 Discussion Papers SFB649DP2006-042, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised May 2006.
  80. Fernandez-Villaverde, Jesus & Francisco Rubio-Ramirez, Juan, 2004. "Comparing dynamic equilibrium models to data: a Bayesian approach," Journal of Econometrics, Elsevier, vol. 123(1), pages 153-187, November.
  81. Zhao, Shan & Wei, G. W., 2003. "Jump process for the trend estimation of time series," Computational Statistics & Data Analysis, Elsevier, vol. 42(1-2), pages 219-241, February.
  82. Gagnon, Marie-Hélène & Gimet, Céline, 2013. "The impacts of standard monetary and budgetary policies on liquidity and financial markets: International evidence from the credit freeze crisis," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4599-4614.
  83. Márcio Alves Diniz & C.A.B.Pereira & J.M.Stern, 2008. "FBST for Unit Root Problems," Working Papers 08_11, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto.
  84. Kim, Soyoung & Yang, Doo Yong, 2008. "The Impact of Capital Inflows on Emerging East Asian Economies: Is Too Much Money Chasing Too Little Good?," Working Papers on Regional Economic Integration 15, Asian Development Bank.
  85. Wei Sun & Lian An, 2011. "Dynamics of floating exchange rate: how important are capital flows relative to macroeconomic fundamentals?," Journal of Economics and Finance, Springer, vol. 35(4), pages 456-472, October.
  86. Gundlach, Erich, 1993. "Die Dienstleistungsnachfrage als Determinante des wirtschaftlichen Strukturwandels," Open Access Publications from Kiel Institute for the World Economy 763, Kiel Institute for the World Economy (IfW).
  87. James H. Stock, 1991. "Confidence Intervals for the Largest Autoresgressive Root in U.S. Macroeconomic Time Series," NBER Technical Working Papers 0105, National Bureau of Economic Research, Inc.
  88. Neville Francis & Michael T. Owyang & Jennifer E. Roush & Riccardo DiCecio, 2010. "A flexible finite-horizon alternative to long-run restrictions with an application to technology shock," Working Papers 2005-024, Federal Reserve Bank of St. Louis.
  89. Esa Mangeloja, 2003. "Structural testing of Business Cycles," Macroeconomics 0308004, EconWPA.
  90. Simwaka, Kisu, 2012. "Time varying fractional cointegration," MPRA Paper 39505, University Library of Munich, Germany.
  91. Loukia Meligkotsidou & Elias Tzavalis & Ioannis D. Vrontos, 2004. "A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models," Working Papers 514, Queen Mary, University of London, School of Economics and Finance.
  92. Rómulo Chumacero & Jorge Quiroz, 1996. "La Tasa Natural de Crecimiento de la Economía Chilena: 1985-1996," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 33(100), pages 453-472.
  93. Marriott, John & Newbold, Paul, 2000. "The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective," Journal of Econometrics, Elsevier, vol. 98(1), pages 1-25, September.
  94. Kocagil, Ahmet E. & Topyan, Kudret, 1997. "An empirical note on demand for speculation and futures risk premium: A Kalman Filter application," Review of Financial Economics, Elsevier, vol. 6(1), pages 77-93.
  95. David A. Dickey & Dennis W. Jansen & Daniel L. Thornton, 1991. "A primer on cointegration with an application to money and income," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 58-78.