Multivariate tests for autocorrelation in the stable and unstable VAR models
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References listed on IDEAS
- A. Hatemi-J, 2003. "A new method to choose optimal lag order in stable and unstable VAR models," Applied Economics Letters, Taylor & Francis Journals, vol. 10(3), pages 135-137.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Scott Hacker & Abdulnasser Hatemi-J, 2012.
"A bootstrap test for causality with endogenous lag length choice: theory and application in finance,"
Journal of Economic Studies,
Emerald Group Publishing, vol. 39(2), pages 144-160, May.
- Hacker, R. Scott & Hatemi-J, Abdulnasser, 2010. "A Bootstrap Test for Causality with Endogenous Lag Length Choice - theory and application in finance," Working Paper Series in Economics and Institutions of Innovation 223, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
- Abdulnasser Hatemi-J & Eduardo Roca, 2005. "Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries," Applied Financial Economics, Taylor & Francis Journals, vol. 15(8), pages 539-546.
- Hatemi-J, Abdulnasser & Roca, Eduardo, 2006. "A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods," Economic Modelling, Elsevier, vol. 23(6), pages 993-1007, December.
- Wojciech Charemza & Svetlana Makarova & Imran Shah, 2015.
"Making the most of high inflation,"
Taylor & Francis Journals, vol. 47(34-35), pages 3723-3739, July.
- Wojciech W. Charemza & Svetlana Makarova & Imran Shah, 2013. "Making the Most of High Inflation," UCL SSEES Economics and Business working paper series 124, UCL School of Slavonic and East European Studies (SSEES).
- Wojciech Charemza & Svetlana Makarova & Imran Shah, 2013. "Making the most of High Inflation," Discussion Papers in Economics 13/01, Department of Economics, University of Leicester.
- Wojciech Charemza & Svetlana Makarova & Imran Shah, 2013. "Frequent episoded of high inflation and real effects," EcoMod2013 5478, EcoMod.
- Lee, Taewook, 2016. "Wild bootstrap Ljung–Box test for cross correlations of multivariate time series," Economics Letters, Elsevier, vol. 147(C), pages 59-62.
- Ijaz Ur Rehman & Nurul Shahnaz Mahdzan & Rozaimah Zainudin, 2016. "Is the relationship between macroeconomy and stock market liquidity mutually reinforcing? Evidence from an emerging market," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(3), pages 294-316.
- R. Scott Hacker & Abdulnasser Hatemi-J, 2005. "A test for multivariate ARCH effects," Applied Economics Letters, Taylor & Francis Journals, vol. 12(7), pages 411-417.
- Al Janabi, Mazin A.M. & Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2010. "An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 47-54, January.
- Ågren, Martin, 2006. "Does Oil Price Uncertainty Transmit to Stock Markets?," Working Paper Series 2006:23, Uppsala University, Department of Economics.
- Bruggemann, Ralf & Lutkepohl, Helmut & Saikkonen, Pentti, 2006.
"Residual autocorrelation testing for vector error correction models,"
Journal of Econometrics,
Elsevier, vol. 134(2), pages 579-604, October.
- Ralf BRUEGGEMANN & Helmut LUETKEPOHL & Pentti SAIKKONEN, 2004. "Residual Autocorrelation Testing for Vector Error Correction Models," Economics Working Papers ECO2004/08, European University Institute.
- R. Scott Hacker & Abdulnasser Hatemi-J, 2006. "Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application," Applied Economics, Taylor & Francis Journals, vol. 38(13), pages 1489-1500.
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