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Direct cointegration testing in error correction models

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  • Kleibergen, Frank
  • van Dijk, Herman K.

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  • Kleibergen, Frank & van Dijk, Herman K., 1994. "Direct cointegration testing in error correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 61-103, July.
  • Handle: RePEc:eee:econom:v:63:y:1994:i:1:p:61-103
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    Cited by:

    1. Kleibergen, F., 1996. "Reduced Rank of Regression Using Generalized Method of Moments Estimators," Discussion Paper 1996-20, Tilburg University, Center for Economic Research.
    2. Franses, Philip Hans & Kloek, Teun & Lucas, Andre, 1998. "Outlier robust analysis of long-run marketing effects for weekly scanning data," Journal of Econometrics, Elsevier, vol. 89(1-2), pages 293-315, November.
    3. Kleibergen, F.R. & Hoek, H., 1995. "Bayesian analysis of ARMA models using noninformative priors," Discussion Paper 1995-116, Tilburg University, Center for Economic Research.
    4. Kleibergen, Frank & Paap, Richard, 2006. "Generalized reduced rank tests using the singular value decomposition," Journal of Econometrics, Elsevier, vol. 133(1), pages 97-126, July.
    5. repec:eee:econom:v:199:y:2017:i:1:p:49-62 is not listed on IDEAS
    6. Niu, G., 2014. "Essays on subjective expectations and mortality trends," Other publications TiSEM b9f72836-d8ad-478b-adca-4, Tilburg University, School of Economics and Management.
    7. Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor & Francis Journals, vol. 20(3), pages 247-318.
    8. Kleibergen, Frank & Paap, Richard, 2002. "Priors, posteriors and bayes factors for a Bayesian analysis of cointegration," Journal of Econometrics, Elsevier, vol. 111(2), pages 223-249, December.
    9. Boswijk, H. Peter & Lucas, Andre, 2002. "Semi-nonparametric cointegration testing," Journal of Econometrics, Elsevier, vol. 108(2), pages 253-280, June.
    10. Boswijk, H. Peter & Lucas, André & Taylor, Nick, 1998. "A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests," Serie Research Memoranda 0062, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    11. Kleibergen, F.R., 1997. "Reduced Rank Regression using Generalized Method of Moments Estimators with extensions to structural breaks in cointegration models," Econometric Institute Research Papers EI 9722/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    12. H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute.
    13. Majid M. Al-Sadoon, 2014. "A general theory of rank testing," Economics Working Papers 1411, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2015.
    14. Frank Kleibergen & Herman van Dijk & Jean-Pierre Urbain, 1999. "Oil Price Shocks and Long Run Price and Import Demand Behavior," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 51(3), pages 399-417, September.
    15. Kleibergen, F.R. & Paap, R., 1996. "Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analyses of Cointegration," Econometric Institute Research Papers EI 9668-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

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