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Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea

  • Ermini, Luigi
  • Chang, Dongkoo

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 74 (1996)
Issue (Month): 2 (October)
Pages: 363-386

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Handle: RePEc:eee:econom:v:74:y:1996:i:2:p:363-386
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  2. Ghysels, Eric & Perron, Pierre, 1993. "The effect of seasonal adjustment filters on tests for a unit root," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 57-98.
  3. Frederic S. Mishkin, 1981. "Does Anticipated Aggregate Demand Policy Matter? Further Econometric results," NBER Working Papers 0789, National Bureau of Economic Research, Inc.
  4. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, March.
  5. Frederic S. Mishkin, 1980. "Does Anticipated Monetary Policy Matter? An Econometric Investigation," NBER Working Papers 0506, National Bureau of Economic Research, Inc.
  6. Maravall, Agustin, 1993. "Stochastic linear trends : Models and estimators," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 5-37, March.
  7. Jaeger, Albert & Kunst, Robert M, 1990. "Seasonal Adjustment and Measuring Persistence in Output," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(1), pages 47-58, January-M.
  8. Bohara, Alok K, 1991. "Testing the Rational-Expectations Hypothesis: Further Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(3), pages 337-40, July.
  9. Spencer, David E, 1989. "Does Money Matter? The Robustness of Evidence from Vector Autoregressions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 21(4), pages 442-54, November.
  10. Kunst, Robert M, 1993. "Seasonal Cointegration in Macroeconomic Systems: Case Studies for Small and Large European Countries," The Review of Economics and Statistics, MIT Press, vol. 75(2), pages 325-30, May.
  11. Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
  12. Lee, Hahn Shik, 1992. "Maximum likelihood inference on cointegration and seasonal cointegration," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 1-47.
  13. Luigi Ermini & Dongkoo Chang, 1993. "The Effect of Error-Correction on Testing the Rational-Expectations Neutrality Hypothesis," Working Papers 199305, University of Hawaii at Manoa, Department of Economics.
  14. ZELLNER, Arnold & PALM, Franz, . "Time series analysis and simultaneous equation econometric models," CORE Discussion Papers RP -173, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  15. Lee, H.S. & Siklos, P.L., 1991. "Unit Roots and Seasonal Unit Roots in Macroeconomic Time Series: Canadian Evidence," Working Papers 91143, Wilfrid Laurier University, Department of Economics.
  16. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  17. Lee, H.S. & Siklos, P.L., 1991. "Unit Roots and Seasonal Unit Roots in Macroeconomic Time Series: Canadian Evidence," Working Papers 91143, Wilfrid Laurier University, Department of Economics.
  18. Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S., 1993. "The Japanese consumption function," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 275-298.
  19. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  20. Hafer, R.W. & Jansen, D.W., 1990. "The Demand For Money In The United States: Evidence From Cointegration Tests," Papers 9010, Erasmus University of Rotterdam - Institute for Economic Research.
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