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Are US Output Expectations Unbiased? A Cointegrated VAR Analysis in Real Time

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  • Dimitrios Papaikonomou

    (Ministry of Finance Greece)

  • Jacinta Pires

    (University of Oxford)

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  • Dimitrios Papaikonomou & Jacinta Pires, 2005. "Are US Output Expectations Unbiased? A Cointegrated VAR Analysis in Real Time," Money Macro and Finance (MMF) Research Group Conference 2005 59, Money Macro and Finance Research Group.
    • Handle: RePEc:mmf:mmfc05:59
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    References listed on IDEAS

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    1. Pesaran, M. Hashem & Shin, Yongcheol & Smith, Richard J., 2000. "Structural analysis of vector error correction models with exogenous I(1) variables," Journal of Econometrics, Elsevier, vol. 97(2), pages 293-343, August.
    2. Johansen, Søren, 2000. "A Bartlett Correction Factor For Tests On The Cointegrating Relations," Econometric Theory, Cambridge University Press, vol. 16(5), pages 740-778, October.
    3. Fachin, Stefano, 2000. "Bootstrap and Asymptotic Tests of Long-Run Relationships in Cointegrated Systems," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(4), pages 543-551, September.
    4. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
    5. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
    6. Stefano Fachin, 2000. "Bootstrap and Asymptotic Tests of Long‐run Relationships in Cointegrated Systems," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(4), pages 543-551, September.
    7. Harris, R. I. D. & Judge, G., 1998. "Small sample testing for cointegration using the bootstrap approach," Economics Letters, Elsevier, vol. 58(1), pages 31-37, January.
    8. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    9. Patterson, K. D. & Heravi, S. M., 1991. "Are different vintages of data on the components of GDP co-integrated? : Some evidence for the United Kingdom," Economics Letters, Elsevier, vol. 35(4), pages 409-413, April.
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