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Identification And Dichotomization Of Long- And Short-Run Relations Of Cointegrated Vector Autoregressive Models


  • Hsiao, Cheng


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  • Hsiao, Cheng, 2001. "Identification And Dichotomization Of Long- And Short-Run Relations Of Cointegrated Vector Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 17(05), pages 889-912, October.
  • Handle: RePEc:cup:etheor:v:17:y:2001:i:05:p:889-912_17

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    References listed on IDEAS

    1. Robinson, P M, 1991. "Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models," Econometrica, Econometric Society, vol. 59(5), pages 1329-1363, September.
    2. P. C. B. Phillips, 1980. "Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume," Review of Economic Studies, Oxford University Press, vol. 47(1), pages 183-224.
    3. Phillips, Peter C B, 1977. "Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation," Econometrica, Econometric Society, vol. 45(2), pages 463-485, March.
    4. Taniguchi, Masanobu, 1987. "Validity of Edgeworth expansions of minimum contrast estimators for Gaussian ARMA processes," Journal of Multivariate Analysis, Elsevier, vol. 21(1), pages 1-28, February.
    5. Robinson, P. M., 1995. "The approximate distribution of nonparametric regression estimates," Statistics & Probability Letters, Elsevier, vol. 23(2), pages 193-201, May.
    6. Daniel Janas, 1994. "Edgeworth expansions for spectral mean estimates with applications to Whittle estimates," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 46(4), pages 667-682, December.
    7. Andrew Harvey (ed.), 1994. "Time Series," Books, Edward Elgar Publishing, volume 0, number 599.
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    Cited by:

    1. 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.
    2. Juan F. Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2010. "Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference," Review of Economic Studies, Oxford University Press, vol. 77(2), pages 665-696.
    3. Rangarajan, C. & Srivastava, D.K., 2005. "Fiscal deficits and government debt in India: Implications for growth and stabilisation," Working Papers 05/35, National Institute of Public Finance and Policy.
    4. Lightwood, James & Glantz, Stanton, 2011. "Effect of the Arizona tobacco control program on cigarette consumption and healthcare expenditures," Social Science & Medicine, Elsevier, vol. 72(2), pages 166-172, January.

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