Fully modified estimation with nearly integrated regressors
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Hjalmarsson, Erik, 2007. "Fully modified estimation with nearly integrated regressors," Finance Research Letters, Elsevier, vol. 4(2), pages 92-94, June.
References listed on IDEAS
- Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2006.
"Alternative Procedures for Estimating Vector Autoregressions Identified with Long-Run Restrictions,"
Journal of the European Economic Association, MIT Press, vol. 4(2-3), pages 475-483, 04-05.
- Lawrence J. Christiano & Martin S. Eichenbaum & Robert J. Vigfusson, 2005. "Alternative procedures for estimating vector autoregressions identified with long-run restrictions," International Finance Discussion Papers 842, Board of Governors of the Federal Reserve System (U.S.).
- Peter C. B. Phillips & Bruce E. Hansen, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 57(1), pages 99-125.
- Alan G. Ahearne & John Ammer & Brian M. Doyle & Linda S. Kole & Robert F. Martin, 2005.
"Monetary Policy and House Prices: A Cross-Country Study,"
Working Papers Central Bank of Chile
344, Central Bank of Chile.
- Alan G. Ahearne & John Ammer & Brian M. Doyle & Linda S. Kole & Robert F. Martin, 2005. "Monetary policy and house prices: a cross-country study," International Finance Discussion Papers 841, Board of Governors of the Federal Reserve System (U.S.).
- Campbell, John Y. & Yogo, Motohiro, 2006.
"Efficient tests of stock return predictability,"
Journal of Financial Economics, Elsevier, vol. 81(1), pages 27-60, July.
- John Y. Campbell & Motohiro Yogo, 2002. "Efficient Tests of Stock Return Predictability," Harvard Institute of Economic Research Working Papers 1972, Harvard - Institute of Economic Research.
- Campbell, John & Yogo, Motohiro, 2006. "Efficient tests of stock return predictability," Scholarly Articles 3122601, Harvard University Department of Economics.
- John Y. Campbell & Motohiro Yogo, 2003. "Efficient Tests of Stock Return Predictability," NBER Working Papers 10026, National Bureau of Economic Research, Inc.
- Francis E. Warnock & Veronica C. Warnock, 2005.
"International Capital Flows and U.S. Interest Rates,"
The Institute for International Integration Studies Discussion Paper Series
iiisdp103, IIIS.
- Francis E. Warnock & Veronica C. Warnock, 2005. "International capital flows and U.S. interest rates," International Finance Discussion Papers 840, Board of Governors of the Federal Reserve System (U.S.).
- Francis E. Warnock & Veronica Cacdac Warnock, 2006. "International Capital Flows and U.S. Interest Rates," NBER Working Papers 12560, National Bureau of Economic Research, Inc.
- Wongswan, Jon, 2009.
"The response of global equity indexes to U.S. monetary policy announcements,"
Journal of International Money and Finance, Elsevier, vol. 28(2), pages 344-365, March.
- Jon Wongswan, 2005. "The response of global equity indexes to U.S. monetary policy announcements," International Finance Discussion Papers 844, Board of Governors of the Federal Reserve System (U.S.).
- Jon Faust & Joseph E. Gagnon & Mario Marazzi & Jaime R. Marquez & Robert F. Martin & Trevor A. Reeve & John H. Rogers & Nathan Sheets & Robert J. Vigfusson, 2005. "Exchange rate pass-through to U.S. import prices: some new evidence," International Finance Discussion Papers 833, Board of Governors of the Federal Reserve System (U.S.).
- Berger, David W. & Chaboud, Alain P. & Chernenko, Sergey V. & Howorka, Edward & Wright, Jonathan H., 2008.
"Order flow and exchange rate dynamics in electronic brokerage system data,"
Journal of International Economics, Elsevier, vol. 75(1), pages 93-109, May.
- David W. Berger & Alain P. Chaboud & Sergey V. Chernenko & Edward Howorka & Jonathan H. Wright, 2006. "Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data," International Finance Discussion Papers 830, Board of Governors of the Federal Reserve System (U.S.).
- Phillips, P C B, 1991.
"Optimal Inference in Cointegrated Systems,"
Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
- Peter C.B. Phillips, 1988. "Optimal Inference in Cointegrated Systems," Cowles Foundation Discussion Papers 866R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
- Newey, Whitney & West, Kenneth, 2014.
"A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- Cavanagh, Christopher L. & Elliott, Graham & Stock, James H., 1995. "Inference in Models with Nearly Integrated Regressors," Econometric Theory, Cambridge University Press, vol. 11(5), pages 1131-1147, October.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Demetrescu, Matei & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023.
"Transformed regression-based long-horizon predictability tests,"
Journal of Econometrics, Elsevier, vol. 237(2).
- Demetrescu, Matei & Rodrigues, Paulo MM & Taylor, AM Robert, 2022. "Transformed Regression-based Long-Horizon Predictability Tests," Essex Finance Centre Working Papers 30620, University of Essex, Essex Business School.
- Erik Hjalmarsson, 2006. "Inference in Long-Horizon Regressions," International Finance Discussion Papers 853, Board of Governors of the Federal Reserve System (U.S.).
- Beechey, Meredith & Hjalmarsson, Erik & sterholm, Pr, 2009.
"Testing the expectations hypothesis when interest rates are near integrated,"
Journal of Banking & Finance, Elsevier, vol. 33(5), pages 934-943, May.
- Meredith J. Beechey & Erik Hjalmarsson & Pär Österholm, 2008. "Testing the expectations hypothesis when interest rates are near integrated," International Finance Discussion Papers 953, Board of Governors of the Federal Reserve System (U.S.).
- Chen Yu-Chin & Rogoff Kenneth, 2012.
"Are The Commodity Currencies An Exception To The Rule?,"
Global Journal of Economics (GJE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-28.
- Yu-chin Chen & Kenneth Rogoff, 2006. "Are the Commodity Currencies an Exception to the Rule?," Working Papers UWEC-2006-28, University of Washington, Department of Economics, revised Mar 2012.
- repec:nbp:nbpbik:v:47:y:2016:i:6:p:435-462 is not listed on IDEAS
- Krzysztof Bartosik & Jerzy Mycielski, 2016. "Dynamika płac a długotrwałe bezrobocie w polskiej gospodarce," Bank i Kredyt, Narodowy Bank Polski, vol. 47(5), pages 435-462.
- NTUNGILA, Floribert & PINSHI, Christian P., 2019. "Fluctuations de prix des matières premières et économie congolaise : manne d’espoir ou de malédiction ? [Fluctuations in commodity price and the congolese economy: hope or curse manna?]," MPRA Paper 95409, University Library of Munich, Germany.
- Alex Maynard & Katsumi Shimotsu & Nina Kuriyama, 2023. "Inference in Predictive Quantile Regressions," Papers 2306.00296, arXiv.org, revised May 2024.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Demetrescu, Matei & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023.
"Transformed regression-based long-horizon predictability tests,"
Journal of Econometrics, Elsevier, vol. 237(2).
- Demetrescu, Matei & Rodrigues, Paulo MM & Taylor, AM Robert, 2022. "Transformed Regression-based Long-Horizon Predictability Tests," Essex Finance Centre Working Papers 30620, University of Essex, Essex Business School.
- Erik Hjalmarsson, 2006. "Inference in Long-Horizon Regressions," International Finance Discussion Papers 853, Board of Governors of the Federal Reserve System (U.S.).
- Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, University of Gothenburg, Department of Economics.
- Andersen, Torben G. & Varneskov, Rasmus T., 2021.
"Consistent inference for predictive regressions in persistent economic systems,"
Journal of Econometrics, Elsevier, vol. 224(1), pages 215-244.
- Torben G. Andersen & Rasmus T. Varneskov, 2021. "Consistent Inference for Predictive Regressions in Persistent Economic Systems," NBER Working Papers 28568, National Bureau of Economic Research, Inc.
- James A. Duffy & Jerome R. Simons, 2020. "Cointegration without Unit Roots," Papers 2002.08092, arXiv.org, revised Apr 2023.
- Müller, Ulrich K. & Watson, Mark W., 2013.
"Low-frequency robust cointegration testing,"
Journal of Econometrics, Elsevier, vol. 174(2), pages 66-81.
- Ulrich Müller & Mark W. Watson, 2009. "Low-Frequency Robust Cointegration Testing," NBER Working Papers 15292, National Bureau of Economic Research, Inc.
- Jiang, Xiaoquan & Lee, Bong-Soo, 2007. "Stock returns, dividend yield, and book-to-market ratio," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 455-475, February.
- Lee, Ji Hyung, 2016.
"Predictive quantile regression with persistent covariates: IVX-QR approach,"
Journal of Econometrics, Elsevier, vol. 192(1), pages 105-118.
- Lee, JiHyung, 2015. "Predictive quantile regression with persistent covariates: IVX-QR approach," MPRA Paper 65150, University Library of Munich, Germany.
- Jungbin Hwang & Gonzalo Valdés, 2020. "Low Frequency Cointegrating Regression in the Presence of Local to Unity Regressors and Unknown Form of Serial Dependence," Working papers 2020-03, University of Connecticut, Department of Economics, revised Aug 2020.
- Michael Jansson & Marcelo J. Moreira, 2006.
"Optimal Inference in Regression Models with Nearly Integrated Regressors,"
Econometrica, Econometric Society, vol. 74(3), pages 681-714, May.
- Michael Jansson & Marcelo J. Moreira, 2004. "Optimal Inference in Regression Models with Nearly Integrated Regressors," Harvard Institute of Economic Research Working Papers 2047, Harvard - Institute of Economic Research.
- Michael Jansson & Marcelo J. Moreira, 2004. "Optimal Inference in Regression Models with Nearly Integrated Regressors," NBER Technical Working Papers 0303, National Bureau of Economic Research, Inc.
- Cuthbertson, Keith, 1996. "The Expectations Hypothesis of the Term Structure: The UK Interbank Market," Economic Journal, Royal Economic Society, vol. 106(436), pages 578-592, May.
- Liu, Guannan & Yao, Shuang, 2020. "A robust test for predictability with unknown persistence," Economics Letters, Elsevier, vol. 189(C).
- Beechey, Meredith & Hjalmarsson, Erik & sterholm, Pr, 2009.
"Testing the expectations hypothesis when interest rates are near integrated,"
Journal of Banking & Finance, Elsevier, vol. 33(5), pages 934-943, May.
- Meredith J. Beechey & Erik Hjalmarsson & Pär Österholm, 2008. "Testing the expectations hypothesis when interest rates are near integrated," International Finance Discussion Papers 953, Board of Governors of the Federal Reserve System (U.S.).
- Singh, Tarlok, 2010. "Does domestic saving cause economic growth? A time-series evidence from India," Journal of Policy Modeling, Elsevier, vol. 32(2), pages 231-253, March.
- Demetrescu, Matei & Rodrigues, Paulo M.M., 2022.
"Residual-augmented IVX predictive regression,"
Journal of Econometrics, Elsevier, vol. 227(2), pages 429-460.
- Paulo M.M. Rodrigues & Matei Demetrescu, 2016. "Residual-augmented IVX predictive regression," Working Papers w201605, Banco de Portugal, Economics and Research Department.
- Zhishui Hu & Ioannis Kasparis & Qiying Wang, 2020. "Locally trimmed least squares: conventional inference in possibly nonstationary models," Papers 2006.12595, arXiv.org.
- Minxian, Yang, 1998. "System estimators of cointegrating matrix in absence of normalising information," Journal of Econometrics, Elsevier, vol. 85(2), pages 317-337, August.
- Chiquoine, Benjamin & Hjalmarsson, Erik, 2009.
"Jackknifing stock return predictions,"
Journal of Empirical Finance, Elsevier, vol. 16(5), pages 793-803, December.
- Benjamin Chiquoine & Erik Hjalmarsson, 2008. "Jackknifing stock return predictions," International Finance Discussion Papers 932, Board of Governors of the Federal Reserve System (U.S.).
- Christis Katsouris, 2023. "Predictability Tests Robust against Parameter Instability," Papers 2307.15151, arXiv.org.
- Ansgar Belke & Thorsten Polleit, 2006.
"Dividend Yields for Forecasting Stock Market Returns. An ARDL Cointegration Analysis for Germany,"
Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 9(1), pages 86-116, Summer.
- Ansgar Belke & Thorsten Polleit, 2004. "Dividend Yields for Forecasting Stock Market Returns - An ARDL Cointegration Analysis for Germany," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 244/2004, Department of Economics, University of Hohenheim, Germany.
More about this item
Keywords
Regression analysis;NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2006-04-29 (Econometrics)
- NEP-ETS-2006-04-29 (Econometric Time Series)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedgif:854. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ryan Wolfslayer ; Keisha Fournillier (email available below). General contact details of provider: https://edirc.repec.org/data/frbgvus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.