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Index models with integrated time series

  • Chang, Yoosoon
  • Park, Joon Y.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-475RH5S-1/2/c744f5b91dc136eda767f781f517c0d7
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 114 (2003)
Issue (Month): 1 (May)
Pages: 73-106

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Handle: RePEc:eee:econom:v:114:y:2003:i:1:p:73-106
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Park, Joon Y, 1992. "Canonical Cointegrating Regressions," Econometrica, Econometric Society, vol. 60(1), pages 119-43, January.
  2. Park, Joon Y. & Phillips, Peter C.B., 1999. "Asymptotics For Nonlinear Transformations Of Integrated Time Series," Econometric Theory, Cambridge University Press, vol. 15(03), pages 269-298, June.
  3. Joon Y. Park & Peter C.B. Phillips, 1998. "Nonlinear Regressions with Integrated Time Series," Cowles Foundation Discussion Papers 1190, Cowles Foundation for Research in Economics, Yale University.
  4. Joon Y. Park & Peter C. B. Phillips, 1999. "Nonstationary Binary Choice," Working Paper Series no5, Institute of Economic Research, Seoul National University.
  5. Andrews, Donald W K & McDermott, C John, 1995. "Nonlinear Econometric Models with Deterministically Trending Variables," Review of Economic Studies, Wiley Blackwell, vol. 62(3), pages 343-60, July.
  6. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
  7. Yoosoon Chang & Joon Y. Park & Peter C.B. Phillips, 1999. "Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors," Cowles Foundation Discussion Papers 1245, Cowles Foundation for Research in Economics, Yale University.
  8. Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(01), pages 1-21, March.
  9. Phillips, Peter C B & Hansen, Bruce E, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Wiley Blackwell, vol. 57(1), pages 99-125, January.
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