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Asymptotic Efficiency Of The Two Stage Estimator In I (2) Systems

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  • Paruolo, Paolo

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  • Paruolo, Paolo, 2000. "Asymptotic Efficiency Of The Two Stage Estimator In I (2) Systems," Econometric Theory, Cambridge University Press, vol. 16(04), pages 524-550, August.
  • Handle: RePEc:cup:etheor:v:16:y:2000:i:04:p:524-550_16
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    1. Engle, Robert F. & Hendry, David F., 1993. "Testing superexogeneity and invariance in regression models," Journal of Econometrics, Elsevier, pages 119-139.
    2. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", pages 106-135.
    3. 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, number 9780198288107.
    4. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, pages 251-276.
    5. repec:bla:restud:v:57:y:1990:i:1:p:99-125 is not listed on IDEAS
    6. Engle, Robert F. & Hendry, David F., 1993. "Testing superexogeneity and invariance in regression models," Journal of Econometrics, Elsevier, pages 119-139.
    7. Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, pages 389-402.
    8. Norrbin, Stefan C. & Reffett, Kevin L., 1996. "Exogeneity and forward rate unbiasedness," Journal of International Money and Finance, Elsevier, pages 267-274.
    9. Hansen, Bruce E., 1992. "Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends," Journal of Econometrics, Elsevier, pages 87-121.
    10. Peter Boswijk, H., 1994. "Testing for an unstable root in conditional and structural error correction models," Journal of Econometrics, Elsevier, pages 37-60.
    11. Ahumada, Hildegart, 1992. "A dynamic model of the demand for currency: Argentina 1977-1988," Journal of Policy Modeling, Elsevier, pages 335-361.
    12. Benjamin M. Friedman & Kenneth Kuttner, 1993. "Why Does the Paper-Bill Spread Predict Real Economic Activity?," NBER Chapters,in: Business Cycles, Indicators and Forecasting, pages 213-254 National Bureau of Economic Research, Inc.
    13. Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-277, August.
    14. Engle, R. & Hendry, D., 1990. "Testing Super Exogeneity And Invariance In Regression Models," Economics Series Working Papers 99100, University of Oxford, Department of Economics.
    15. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, pages 165-193.
    16. Fischer, Andreas M. & Nicoletti, Giuseppe, 1993. "Regression direction and weak exogeneity: Determining the conditioning properties of US money demand functions," Journal of Monetary Economics, Elsevier, pages 213-235.
    17. Horvath, Michael T.K. & Watson, Mark W., 1995. "Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified," Econometric Theory, Cambridge University Press, vol. 11(05), pages 984-1014, October.
    18. Hansen, Bruce E., 1995. "Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power," Econometric Theory, Cambridge University Press, vol. 11(05), pages 1148-1171, October.
    19. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, pages 783-820.
    20. Inder, Brett, 1993. "Estimating long-run relationships in economics : A comparison of different approaches," Journal of Econometrics, Elsevier, pages 53-68.
    21. Fischer, Andreas M, 1993. "Is Money Really Exogenous? Testing for Weak Exogeneity in Swiss Money Demand," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(2), pages 248-258, May.
    22. Bardsen, Gunnar, 1992. "Dynamic modeling of the demand for narrow money in Norway," Journal of Policy Modeling, Elsevier, pages 363-393.
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    Cited by:

    1. repec:gam:jecnmx:v:5:y:2017:i:2:p:19-:d:98597 is not listed on IDEAS
    2. Juselius, Katarina, 1995. "Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model," Journal of Econometrics, Elsevier, pages 211-240.
    3. Johansen, Soren, 2002. "A small sample correction for tests of hypotheses on the cointegrating vectors," Journal of Econometrics, Elsevier, pages 195-221.
    4. Oliver Holtemöller, 2004. "A monetary vector error correction model of the Euro area and implications for monetary policy," Empirical Economics, Springer, pages 553-574.
    5. Paruolo, Paolo, 2006. "Common trends and cycles in I(2) VAR systems," Journal of Econometrics, Elsevier, pages 143-168.
    6. Dimitris Georgoutsos & Georgios Kouretas, 2004. "A Multivariate I(2) cointegration analysis of German hyperinflation," Applied Financial Economics, Taylor & Francis Journals, pages 29-41.
    7. Kouretas, Georgios P. & Yannopoulos, Andreas, 2006. "Dynamic modelling of trade union behaviour: Evidence from the Greek manufacturing sector," Economic Modelling, Elsevier, pages 316-338.
    8. Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius, 2008. "A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings," Discussion Papers 08-31, University of Copenhagen. Department of Economics.
    9. Paruolo, Paolo & Rahbek, Anders, 1999. "Weak exogeneity in I(2) VAR systems," Journal of Econometrics, Elsevier, pages 281-308.
    10. Heino Bohn Nielsen & Anders Rahbek, 2003. "Likelihood Ratio Testing for Cointegration Ranks in I(2) Models," Discussion Papers 03-42, University of Copenhagen. Department of Economics.
    11. Marcello D'Amato & Barbara Pistoresi, 2001. "Interest rate spreads between Italy and Germany: 1995-1997," Applied Financial Economics, Taylor & Francis Journals, vol. 11(6), pages 603-612.
    12. Paruolo Paolo, 2002. "Testing for common trends in conditional I(2) VAR models," Economics and Quantitative Methods qf0216, Department of Economics, University of Insubria.
    13. Johansen, Søren & Juselius, Katarina & Frydman, Roman & Goldberg, Michael, 2010. "Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate," Journal of Econometrics, Elsevier, pages 117-129.
    14. Nielsen, Heino Bohn, 2007. "A "maximum-eigenvalue" test for the cointegration ranks in I(2) vector autoregressions," Economics Letters, Elsevier, pages 445-451.
    15. Johansen, Soren, 2006. "Statistical analysis of hypotheses on the cointegrating relations in the I(2) model," Journal of Econometrics, Elsevier, pages 81-115.
    16. Omtzigt, Pieter & Paruolo, Paolo, 2005. "Impact factors," Journal of Econometrics, Elsevier, pages 31-68.
    17. Søren Johansen & Katarina Juselius & Roman Frydman & Michael Goldberg, 2007. "Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate," Discussion Papers 07-34, University of Copenhagen. Department of Economics.
    18. Majocchi Antonio & Pavione Enrica, 2002. "International franchising in Italy: trends and perspectives," Economics and Quantitative Methods qf0215, Department of Economics, University of Insubria.
    19. Takamitsu Kurita, 2009. "A note on testing parameter constancy in cointegrated vector autoregression: the case of near I(2) processes," Economics Bulletin, AccessEcon, pages 575-587.
    20. Omtzigt, Pieter & Paruolo, Paolo, 2005. "Impact factors," Journal of Econometrics, Elsevier, pages 31-68.
    21. Dimitris Georgoutsos & Georgios Kouretas, 2004. "A Multivariate I(2) cointegration analysis of German hyperinflation," Applied Financial Economics, Taylor & Francis Journals, pages 29-41.
    22. Mosconi, Rocco & Paruolo, Paolo, 2014. "Rank and order conditions for identification in simultaneous system of cointegrating equations with integrated variables of order two," MPRA Paper 53589, University Library of Munich, Germany.
    23. Holtemöller, Oliver, 2002. "Money and prices: An I(2) analysis for the euro area," SFB 373 Discussion Papers 2002,12, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    24. repec:gam:jecnmx:v:5:y:2017:i:3:p:28-:d:103006 is not listed on IDEAS

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