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Determining long-run neutrality in a partially nonstationary model

  • Aznar, A.
  • Domingo, C.
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    File URL: http://www.sciencedirect.com/science/article/B6V84-4JTR8VJ-1/2/dac08d28a12cdd9b9cb542a489dcc844
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 91 (2006)
    Issue (Month): 2 (May)
    Pages: 236-242

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    Handle: RePEc:eee:ecolet:v:91:y:2006:i:2:p:236-242
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Weber, Axel A., 1994. "Testing long-run neutrality: empirical evidence for G7-countries with special emphasis on Germany," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 41(1), pages 67-117, December.
    2. Koustas, Z., Serletis, A., 1998. "On the Fisher Effect," Papers 98-09, Calgary - Department of Economics.
    3. Robert King & Mark W. Watson, 1992. "Testing Long Run Neutrality," NBER Working Papers 4156, National Bureau of Economic Research, Inc.
    4. Boschen, John F. & Mills, Leonard O., 1995. "Tests of long-run neutrality using permanent monetary and real shocks," Journal of Monetary Economics, Elsevier, vol. 35(1), pages 25-44, February.
    5. Weber, Axel, 1994. "Testing Long-run Neutrality: Empirical Evidence for G7-Countries with Special Emphasis on Germany," Discussion Paper Serie B 281, University of Bonn, Germany, revised Jun 1994.
    6. Jean-Marie Dufour & Eric Renault, 1998. "Short Run and Long Run Causality in Time Series: Theory," Econometrica, Econometric Society, vol. 66(5), pages 1099-1126, September.
    7. Antonio Aznar & Manuel Salvador, 2002. "Weak exogeneity in partially nonstationary models," Spanish Economic Review, Springer, vol. 4(2), pages 139-150.
    8. Fisher, Mark E & Seater, John J, 1993. "Long-Run Neutrality and Superneutrality in an ARIMA Framework," American Economic Review, American Economic Association, vol. 83(3), pages 402-15, June.
    9. Phillips, Peter C. B., 1998. "Impulse response and forecast error variance asymptotics in nonstationary VARs," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 21-56.
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