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Multi-equational linear quadratic adjustment cost models with rational expectations and cointegration

  • Fanelli, Luca

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File URL: http://www.sciencedirect.com/science/article/B6V85-4G3CWMN-1/2/844e6b01b4d109841db153b0ade478b8
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 30 (2006)
Issue (Month): 3 (March)
Pages: 445-456

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Handle: RePEc:eee:dyncon:v:30:y:2006:i:3:p:445-456
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  1. Thomas J. Sargent, 1978. "A note on maximum likelihood estimation of the rational expectations model of the term structure," Staff Report 26, Federal Reserve Bank of Minneapolis.
  2. Kozicki, Sharon & Tinsley, P. A., 1999. "Vector rational error correction," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1299-1327, September.
  3. Pesaran, M Hashem, 1991. "Costly Adjustment under Rational Expectations: A Generalization," The Review of Economics and Statistics, MIT Press, vol. 73(2), pages 353-58, May.
  4. Johansen, Soren & Swensen, Anders Rygh, 1999. "Testing exact rational expectations in cointegrated vector autoregressive models," Journal of Econometrics, Elsevier, vol. 93(1), pages 73-91, November.
  5. M Pesaran & Yongcheol Shin, 2004. "Long-Run Structural Modelling," ESE Discussion Papers 44, Edinburgh School of Economics, University of Edinburgh.
  6. Fanelli, Luca, 2002. "A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 117-139, January.
  7. Timmermann, Allan, 1994. "Present value models with feedback : Solutions, stability, bubbles, and some empirical evidence," Journal of Economic Dynamics and Control, Elsevier, vol. 18(6), pages 1093-1119, November.
  8. John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," NBER Working Papers 1885, National Bureau of Economic Research, Inc.
  9. Engsted, Tom & Haldrup, Niels, 1994. "The Linear Quadratic Adjustment Cost Model and the Demand for Labour," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(S), pages S145-59, Suppl. De.
  10. Kennan, John, 1979. "The Estimation of Partial Adjustment Models with Rational Expectations," Econometrica, Econometric Society, vol. 47(6), pages 1441-55, November.
  11. Gregogy, A.W. & Pagan, A.R. & Smith, G.W., 1990. "Estimating Linear Quadratic Models With Integrated Processes," RCER Working Papers 247, University of Rochester - Center for Economic Research (RCER).
  12. Eichenbaum, Martin S., 1984. "Rational expectations and the smoothing properties of inventories of finished goods," Journal of Monetary Economics, Elsevier, vol. 14(1), pages 71-96, July.
  13. P. A. Tinsley, 1998. "Rational error correction," Finance and Economics Discussion Series 1998-37, Board of Governors of the Federal Reserve System (U.S.).
  14. Lars Peter Hansen & Thomas J. Sargent, 1979. "Formulating and estimating dynamic linear rational expectations models," Working Papers 127, Federal Reserve Bank of Minneapolis.
  15. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164, March.
  16. Binder,M. & Pesaran,H.M., 1995. "Multivariate Rational Expectations Models and Macroeconomic Modelling: A Review and Some New Results," Cambridge Working Papers in Economics 9415, Faculty of Economics, University of Cambridge.
  17. Weissenberger, Edgar, 1986. "An intertemporal system of dynamic consumer demand functions," European Economic Review, Elsevier, vol. 30(4), pages 859-891, August.
  18. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  19. Johansen, Soren, 1995. "Identifying restrictions of linear equations with applications to simultaneous equations and cointegration," Journal of Econometrics, Elsevier, vol. 69(1), pages 111-132, September.
  20. Huang, Tai-Hsin & Shen, Chung-Hua, 2002. "Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand," Journal of Econometrics, Elsevier, vol. 111(1), pages 11-46, November.
  21. Price, Simon, 1992. "Forward Looking Price Setting in UK Manufacturing," Economic Journal, Royal Economic Society, vol. 102(412), pages 497-505, May.
  22. Engsted, Tom & Haldrup, Niels, 1999. "Estimating the LQAC Model with I(2) Variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 155-70, March-Apr.
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