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European Monetary Union: a cointegration analysis

  • Haug, Alfred A.
  • MacKinnon, James G.
  • Michelis, Leo

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File URL: http://www.sciencedirect.com/science/article/B6V9S-40GJDHC-6/2/804b65a659660b99e25eacc250300756
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 19 (2000)
Issue (Month): 3 (June)
Pages: 419-432

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Handle: RePEc:eee:jimfin:v:19:y:2000:i:3:p:419-432
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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  1. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  2. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
  3. Hafer, R. W. & Kutan, Ali M. & Su Zhou, 1997. "Linkage in EMS term structures: evidence from common trend and transitory components," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 595-607, August.
  4. von Hagen, Jurgen & Neumann, Manfred J M, 1994. "Real Exchange Rates within and between Currency Areas: How Far Away Is EMU?," The Review of Economics and Statistics, MIT Press, vol. 76(2), pages 236-44, May.
  5. Hafer, R W & Kutan, A M, 1994. "A Long-Run View of German Dominance and the Degree of Policy Convergence in the EMS," Economic Inquiry, Western Economic Association International, vol. 32(4), pages 684-95, October.
  6. Barry Eichengreen & Charles Wyplosz, 1993. "The Unstable EMS," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 24(1), pages 51-144.
  7. R Macdonald & M P Taylor, . "Exchange Rates, Policy Convergence And The European Monetary System," Dundee Discussion Papers in Economics 020, Economic Studies, University of Dundee.
  8. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  9. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  10. MacKinnon, James G, 1996. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 601-18, Nov.-Dec..
  11. Karfakis, Costas J & Moschos, Demetrios M, 1990. "Interest Rate Linkages within the European Monetary System: A Time Series Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 22(3), pages 389-94, August.
  12. James G. MacKinnon & Alfred A. Haug & Leo Michelis, 1996. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Working Papers 1996_07, York University, Department of Economics.
  13. Mundell, Robert A, 1997. "Currency Areas, Common Currencies, and EMU," American Economic Review, American Economic Association, vol. 87(2), pages 214-16, May.
  14. Mussa, Michael, 1997. "Political and Institutional Commitment to a Common Currency," American Economic Review, American Economic Association, vol. 87(2), pages 217-20, May.
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