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Testing cointegrating coefficients in vector autoregressive error correction models

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  • Hansen, Gerd
  • Kim, Jeong-Ryeol
  • Mittnik, Stefan

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  • Hansen, Gerd & Kim, Jeong-Ryeol & Mittnik, Stefan, 1998. "Testing cointegrating coefficients in vector autoregressive error correction models," Economics Letters, Elsevier, vol. 58(1), pages 1-5, January.
    • Handle: RePEc:eee:ecolet:v:58:y:1998:i:1:p:1-5
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    References listed on IDEAS

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    1. Phillips, Peter C B, 1994. "Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models," Econometrica, Econometric Society, vol. 62(1), pages 73-93, January.
    2. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    3. Johansen, Soren & Juselius, Katarina, 1994. "Identification of the long-run and the short-run structure an application to the ISLM model," Journal of Econometrics, Elsevier, vol. 63(1), pages 7-36, July.
    4. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
    5. Dolado, Juan J., 1992. "A note on weak exogeneity in VAR cointegrated models," Economics Letters, Elsevier, vol. 38(2), pages 139-143, February.
    6. Mittnik, Stefan & Rachev, Svetlozar T. & Kim, Jeong-Ryeol, 1998. "Chi-Square-Type Distributions For Heavy-Tailed Variates," Econometric Theory, Cambridge University Press, vol. 14(3), pages 339-354, June.
    7. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    8. Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(1), pages 1-21, March.
    9. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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    Cited by:

    1. Kai Carstensen & Julia Hawellek, 2003. "Forecasting inflation from the term structure," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 139(2), pages 306-323, June.
    2. Breitung, Jörg & Pesaran, Mohammad Hashem, 2005. "Unit roots and cointegration in panels," Discussion Paper Series 1: Economic Studies 2005,42, Deutsche Bundesbank.
    3. Hansen, Gerd, 2000. "The German labour market and the unification shock," Economic Modelling, Elsevier, vol. 17(3), pages 439-454, August.
    4. Julián Ramajo Hernández(1) & Montserrat Ferré Carracedo(2), "undated". "Testing For Long-Run Purchasing Power Parity In The Post Bretton Woods Era: Evidence From Old And New Tests," Working Papers 24-05 Classification-JEL , Instituto de Estudios Fiscales.
    5. Kurita, Takamitsu, 2010. "Effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(10), pages 2033-2039.

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