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Citations for "Asymptotic Inference on Cointegrating Rank in Partial Systems"

by Harbo, Ingrid, et al

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  1. Theologos Dergiades & Lefteris Tsoulfidis, 2011. "Revisiting residential demand for electricity in Greece: new evidence from the ARDL approach to cointegration analysis," Empirical Economics, Springer, vol. 41(2), pages 511-531, October.
  2. Kamiar Mohaddes and M. Hashem Pesaran, 2015. "Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis," Cambridge Working Papers in Economics 1516, Faculty of Economics, University of Cambridge.
  3. Michael R. Wickens & Roberto Motto, 2001. "Estimating shocks and impulse response functions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 371-387.
  4. Galesi, Alessandro & Lombardi, Marco J., 2009. "External shocks and international inflation linkages: a global VAR analysis," Working Paper Series 1062, European Central Bank.
  5. Johansen, S. & Schaumburg, E., 1997. "Likelihood Analysis of Seasonal Cointegration," Economics Working Papers eco97/16, European University Institute.
  6. Koukouritakis, Minoas & Papadopoulos, Athanasios P. & Yannopoulos, Andreas, 2015. "Linkages between the Eurozone and the South-Eastern European countries: A global VAR analysis," Economic Modelling, Elsevier, vol. 48(C), pages 129-154.
  7. Guillermo Carlomagno & Antoni Espasa, 2015. "Discovering common trends in a large set of disaggregates: statistical procedures and their properties," Statistics and Econometrics Working Papers ws1519, Universidad Carlos III, Departamento de Estadística y Econometría.
  8. Chudik, Alexander & Pesaran, M. Hashem, 2014. "Theory and practice of GVAR modeling," Globalization and Monetary Policy Institute Working Paper 180, Federal Reserve Bank of Dallas.
  9. Dees, S. & Holly, S. & Pesaran, M.H. & Smith, L.V., 2007. "Long Run Macroeconomic Relations in the Global Economy," Cambridge Working Papers in Economics 0661, Faculty of Economics, University of Cambridge.
  10. Pesaran M.H. & Schuermann T. & Weiner S.M., 2004. "Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 129-162, April.
  11. Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.).
  12. Nina Budina & Wojciech Maliszewski & Georges De Menil & Geomina Turlea, 2006. "Money, inflation and output in Romania, 1992-2000," Post-Print halshs-00754167, HAL.
  13. Gunnar Bårdsen & Luca Fanelli, 2013. "Frequentist evaluation of small DSGE models," Working Paper Series 14113, Department of Economics, Norwegian University of Science and Technology.
  14. Allegret, Jean-Pierre & Sallenave, Audrey, 2014. "The impact of real exchange rates adjustments on global imbalances: A multilateral approach," Economic Modelling, Elsevier, vol. 37(C), pages 149-163.
  15. Çakır, Mustafa Yavuz & Kabundi, Alain, 2013. "Trade shocks from BRIC to South Africa: A global VAR analysis," Economic Modelling, Elsevier, vol. 32(C), pages 190-202.
  16. Akram,Q.F. & Nymoen,R., 2001. "Employment behaviour in slack and tight labour markets," Memorandum 27/2001, Oslo University, Department of Economics.
  17. Piotr Keblowski & Aleksander Welfe, 2011. "A Risk-Driven Approach to Exchange-Rate Modelling," Working Papers 57, Department of Applied Econometrics, Warsaw School of Economics.
  18. Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2005. "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," CESifo Working Paper Series 1425, CESifo Group Munich.
  19. Paul Cashin & Kamiar Mohaddes & Mehdi Raissi & Maziar Raissi, 2012. "The Differential Effects of Oil Demand and Supply Shocks on the Global Economy," IMF Working Papers 12/253, International Monetary Fund.
  20. Eilev S. Jansen, 2010. "Wealth effects on consumption in financial crises: the case of Norway," Discussion Papers 616, Statistics Norway, Research Department.
  21. Mohammad Hashem Pesaran & Yongcheol Shin & Richard J Smith, 1999. "Bounds Testing Approaches to the Analysis of Long Run Relationships," ESE Discussion Papers 46, Edinburgh School of Economics, University of Edinburgh.
  22. Neil R. Ericsson & Erica L. Reisman, 2012. "Evaluating a global vector autoregression for forecasting," International Finance Discussion Papers 1056, Board of Governors of the Federal Reserve System (U.S.).
  23. Matthew Greenwood-Nimmo & Artur Tarassow, 2013. "A Macroeconometric Assessment of Minsky’s Financial Instability Hypothesis," Macroeconomics and Finance Series 201306, Hamburg University, Department Wirtschaft und Politik.
  24. Oikarinen, Elias, 2005. "The Diffusion of Housing Price Movements from Centre to Surrounding Areas," Discussion Papers 979, The Research Institute of the Finnish Economy.
  25. Leonardo Villar & Hernán Rincón, 2000. "The Colombian Economy In The Nineties: Capital Flows And Foreign Exchange Regimes," BORRADORES DE ECONOMIA 003575, BANCO DE LA REPÚBLICA.
  26. Cavaliere, Giuseppe & Fanelli, Luca & Gardini, Attilio, 2006. "Regional consumption dynamics and risk sharing in Italy," International Review of Economics & Finance, Elsevier, vol. 15(4), pages 525-542.
  27. Allison Zhou & Carl Bonham & Byron Gangnes, 2007. "Modeling the supply and demand for tourism: a fully identified VECM approach," Working Papers 200717, University of Hawaii at Manoa, Department of Economics.
  28. Barassi, Marco R. & Caporale, Guglielmo Maria & Hall, Stephen G., 2005. "Interest rate linkages: a Kalman filter approach to detecting structural change," Economic Modelling, Elsevier, vol. 22(2), pages 253-284, March.
  29. Neil R. Ericsson & James G. MacKinnon, 1999. "Distributions of error correction tests for cointegration," International Finance Discussion Papers 655, Board of Governors of the Federal Reserve System (U.S.).
  30. André K. Anundsen & Eilev S. Jansen, 2013. "Self-reinforcing effects between housing prices and credit: an extended version," Discussion Papers 756, Statistics Norway, Research Department.
  31. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2014. "Uncertainty and Economic Activity: A Global Perspective," IDB Publications (Working Papers) 86257, Inter-American Development Bank.
  32. Bowdler, Christopher & Jansen, Eilev S., 2004. "Testing for a time-varying price-cost markup in the Euro area inflation process," University of California at San Diego, Economics Working Paper Series qt4s75w541, Department of Economics, UC San Diego.
  33. Oliver Holtemöller, 2003. "Money Stock, Monetary Base and Bank Behavior in Germany, Geldmenge, Geldbasis und Bankenverhalten in Deutschland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 223(3), pages 257-278, May.
  34. Martin B. Schmidt, 2004. "Exogeneity within the M2 Demand Function: Evidence from a Large Macroeconomic System," Economic Inquiry, Western Economic Association International, vol. 42(4), pages 634-646, October.
  35. Bruggeman, Annick & Donnay, Marie, 2003. "A monthly monetary model with banking intermediation for the euro area," Working Paper Series 0264, European Central Bank.
  36. Pu Chen & Joachim Frohn, 2006. "On the specification and estimation of large scale simultaneous structural macroeconometric models," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 9-25, March.
  37. D. Aristei & Luca Pieroni, 2008. "Cointegration Rank Test and Long Run Specification: A Note on the Robustness of Structural Demand Systems," Working Papers 0809, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
  38. Athony Garratt & Kevin Lee & Mohammad Hashem Pesaran & Yongcheol Shin, 2001. "Forecast Uncertainties in Macroeconomics Modelling: An Application to the UK Economy," ESE Discussion Papers 64, Edinburgh School of Economics, University of Edinburgh.
  39. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci & TengTeng Xu, 2012. "China’s Emergence in the World Economy and Business Cycles in Latin America," Staff Working Papers 12-32, Bank of Canada.
  40. Bussière, Matthieu & Chudik, Alexander & Sestieri, Giulia, 2009. "Modelling global trade flows: results from a GVAR model," Working Paper Series 1087, European Central Bank.
  41. Pål Boug & Ådne Cappelen & Torbjørn Eika, 2013. "The importance of the distribution sector for exchange rate pass-through in a small open economy. A large scale macroeconometric modelling approach," Discussion Papers 731, Statistics Norway, Research Department.
  42. Hoesli, Martin & Oikarinen, Elias, 2012. "Are REITs real estate? Evidence from international sector level data," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1823-1850.
  43. Martin Schmidt, 2007. "The long and short of money: short-run dynamics within a structural model," Applied Economics, Taylor & Francis Journals, vol. 40(2), pages 175-192.
  44. P�l Boug & Andreas Fagereng, 2007. "Exchange rate volatility and export performance: A cointegrated VAR approach," Discussion Papers 522, Statistics Norway, Research Department.
  45. A. Tahai & Robert Rutledge & Khondkar Karim, 2004. "An examination of financial integration for the group of seven (G7) industrialized countries using an I( ) cointegration model," Applied Financial Economics, Taylor & Francis Journals, vol. 14(5), pages 327-335.
  46. Elliott, Graham & Jansson, Michael & Pesavento, Elena, 2004. "Optimal Power for Testing Potential Cointegrating Vectors with Known," University of California at San Diego, Economics Working Paper Series qt2bv7n071, Department of Economics, UC San Diego.
  47. Bjørnar Karlsen Kivedal, 2013. "A New Keynesian Framework and Wage and Price Dynamics in the US," Working Paper Series 15113, Department of Economics, Norwegian University of Science and Technology.
  48. Gilles DUFRENOT & Balazs Egert, 2003. "Real Exchange Rates in Central and Eastern Europe : What Scope for the Underlying Fundamentals?," Development and Comp Systems 0309001, EconWPA.
  49. Burak Saltoglu & M. Ege Yazgan, 2012. "The Role of Regime Shifts in the Term Structure of Interest Rates: Further Evidence from an Emerging Market," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 48(S5), pages 48-63, November.
  50. Alexander Chudik & Vanessa Smith, 2013. "The GVAR approach and the dominance of the U.S. economy," Globalization and Monetary Policy Institute Working Paper 136, Federal Reserve Bank of Dallas.
  51. Hernán Rincón & Edgar Caicedo & Norberto Rodríguez, 2005. "Exchange Rate Pass-Through Effects : A Disaggregate Analysis Of Colombian Imports Of Manufactured Goods," BORRADORES DE ECONOMIA 002682, BANCO DE LA REPÚBLICA.
  52. Graham Elliott & Michael Jansson & Elena Pesavento, 2005. "Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 34-48, January.
  53. David Aristei & Luca Pieroni, 2005. "Estimating the Role of Government Expenditure in Long-run Consumption," Quaderni del Dipartimento di Economia, Finanza e Statistica 13/2005, Università di Perugia, Dipartimento Economia.
  54. Hoffman, Mathias, 2001. "The Relative Dynamics of Investment and the Current Account in the G7-Economies," Economic Journal, Royal Economic Society, vol. 111(471), pages C148-63, May.
  55. Mohammad Hashem Pesaran & Richard J Smith & Yongcheol Shin, 1999. "Structural analysis of vector error correction models with exogenous I(1) variables," ESE Discussion Papers 38, Edinburgh School of Economics, University of Edinburgh.
  56. Gjelsvik, Marit Linnea & Nymoen, Ragnar & Sparrman, Victoria, 2015. "Have Inflation Targeting and EU labour Immigration Changed the System of Wage Formation in Norway," Memorandum 18/2015, Oslo University, Department of Economics.
  57. Mahdi Barakchian, S., 2015. "Transmission of US monetary policy into the Canadian economy: A structural cointegration analysis," Economic Modelling, Elsevier, vol. 46(C), pages 11-26.
  58. Ambrogio Cesa-Bianchi, 2012. "Housing Cycles and Macroeconomic Fluctuations: A Global Perspective," Research Department Publications 4810, Inter-American Development Bank, Research Department.
  59. Bonham, Carl & Gangnes, Byron & Zhou, Ting, 2009. "Modeling tourism: A fully identified VECM approach," International Journal of Forecasting, Elsevier, vol. 25(3), pages 531-549, July.
  60. Solveig Erlandsen & Ragnar Nymoen, 2008. "Consumption and population age structure," Journal of Population Economics, Springer, vol. 21(3), pages 505-520, July.
  61. Jansen, Eilev S., 2004. "Modelling inflation in the euro area," Working Paper Series 0322, European Central Bank.
  62. Holtemöller, Oliver, 2002. "Money and banks: Some theory and empirical evidence for Germany," SFB 373 Discussion Papers 2002,17, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  63. Marçal, Emerson Fernandes & Zimmermann, Beatrice & Mendonça, Diogo de Prince & Merlin, Giovanni Tondin, 2015. "Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR," Textos para discussão 384, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  64. Gunnar Bårdsen & Eilev S. Jansen & Ragnar Nymoen, 1999. "Econometric Inflation Targeting," Working Paper Series 0502, Department of Economics, Norwegian University of Science and Technology, revised 30 Oct 2001.
  65. Emerson Fernandes Marçal & Priscila Fernandes Ribeiro, 2011. "Levado pelos Fundamentos? Estimando o Desalinhamento Cambial Norte-Americano a partir de Técnicas de Cointegração," Discussion Papers 1674, Instituto de Pesquisa Econômica Aplicada - IPEA.
  66. Takamitsu Kurita, 2007. "A dynamic econometric system for the real yen–dollar rate," Empirical Economics, Springer, vol. 33(1), pages 115-149, July.
  67. Jose Mendez & Ricardo Mora & Carlos San Juan Mesonada, 2005. "A Cointegration Analysis of the Long-Run Supply Response of Spanish Agriculture to the Common Agricultural Policy," International Trade 0512014, EconWPA.
  68. Majocchi Antonio & Pavione Enrica, 2002. "International franchising in Italy: trends and perspectives," Economics and Quantitative Methods qf0215, Department of Economics, University of Insubria.
  69. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
  70. Jurgen A. Doornik & H. Peter Boswijk, 2005. "Distribution approximations for cointegration tests with stationary exogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 797-810.
  71. André K. Anundsen & Ragnar Nymoen, 2015. "Did US consumers ‘save for a rainy day’ before the Great Recession?," Working Paper 2015/08, Norges Bank.
  72. George Saridakis, 2004. "Violent Crime in the United States of America: A Time-Series Analysis Between 1960–2000," European Journal of Law and Economics, Springer, vol. 18(2), pages 203-221, September.
  73. Xu, T.T., 2012. "The role of credit in international business cycles," Cambridge Working Papers in Economics 1202, Faculty of Economics, University of Cambridge.
  74. Cashin, P. & Mohaddes, K. & Raissi, M., 2012. "The Global Impact of the Systemic Economies and MENA Business Cycles," Cambridge Working Papers in Economics 1250, Faculty of Economics, University of Cambridge.
  75. Håvard Hungnes, 2008. "A Demand System for Input Factors when there are Technological Changes in Production," Discussion Papers 556, Statistics Norway, Research Department.
  76. Hsiao Chiying & Chen Pu, 2004. "Testing Weak Exogeneity in Cointegrated System," Econometric Society 2004 Far Eastern Meetings 537, Econometric Society.
  77. Jennifer Castle & David Hendry, 2007. "Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation," Economics Series Working Papers 309, University of Oxford, Department of Economics.
  78. Gunnar B�Rdsen & Stan Hurn & Zo� Mchugh, 2007. "Modelling Wages and Prices in Australia," The Economic Record, The Economic Society of Australia, vol. 83(261), pages 143-158, 06.
  79. Oikarinen, Elias, 2006. "Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data," Discussion Papers 1004, The Research Institute of the Finnish Economy.
  80. Keblowski, Piotr & Welfe, Aleksander, 2010. "Estimation of the equilibrium exchange rate: The CHEER approach," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1385-1397, November.
  81. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity and P-T Decomposition in Cointegrated VAR Systems with Common Features," CESifo Working Paper Series 660, CESifo Group Munich.
  82. Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor & Francis Journals, vol. 20(3), pages 247-318.
  83. Fanelli, Luca, 2002. "A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 117-139, January.
  84. Paruolo Paolo, 2004. "The likelihood ratio test for the rank of a cointegration submatrix," Economics and Quantitative Methods qf04024, Department of Economics, University of Insubria.
  85. Bowdler, Christopher & Jansen, Eilev S., 2004. "A markup model of inflation for the euro area," Working Paper Series 0306, European Central Bank.
  86. Pesavento, Elena, 2000. "Analytical Evaluation of the Power of Tests for the Absence of Cointegration," University of California at San Diego, Economics Working Paper Series qt4cq4773c, Department of Economics, UC San Diego.
  87. Roger Bjørnstad & Ragnar Nymoen, 1999. "Wage and Profitability: Norwegian Manufacturing 1967-1998," Discussion Papers 259, Statistics Norway, Research Department.
  88. Anh D. M. Nguyen & Jemma Dridi & D. Filiz Unsal & Oral Williams, 2015. "On the Drivers of Inflation in Sub-Saharan Africa," IMF Working Papers 15/189, International Monetary Fund.
  89. Moisă ALTAR & Adrian IFRIM & Adam-Nelu ALTAR - SAMUEL, 2015. "Eastern Europe In The World Economy : A Global Var Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-26, September.
  90. Muellbauer, John & Murata, Keiko, 2009. "Consumption, Land Prices and the Monetary Transmission Mechanism in Japan," CEPR Discussion Papers 7269, C.E.P.R. Discussion Papers.
  91. Juhl, Ted & Xiao, Zhijie, 2005. "Testing for cointegration using partially linear models," Journal of Econometrics, Elsevier, vol. 124(2), pages 363-394, February.
  92. Pieroni, Luca, 2009. "Does defence expenditure affect private consumption? Evidence from the United States," Economic Modelling, Elsevier, vol. 26(6), pages 1300-1309, November.
  93. Saridakis, George & Marlow, Susan & Storey, David J., 2014. "Do different factors explain male and female self-employment rates?," Journal of Business Venturing, Elsevier, vol. 29(3), pages 345-362.
  94. Freitas, Carlos J. Pereira & Silva, Patrícia Pereira da, 2015. "European Union emissions trading scheme impact on the Spanish electricity price during phase II and phase III implementation," Utilities Policy, Elsevier, vol. 33(C), pages 54-62.
  95. Roger Bjørnstad & Eilev S. Jansen, 2007. "The NOK/euro exhange rate after inflation targeting: The interest rate rules," Discussion Papers 501, Statistics Norway, Research Department.
  96. Anundsen, André K. & Jansen, Eilev S., 2013. "Self-reinforcing effects between housing prices and credit," Journal of Housing Economics, Elsevier, vol. 22(3), pages 192-212.
  97. Guillermo Carlomagnol & Antoni Espasa, 2014. "The pairwise approach to model a large set of disaggregates with common trends," Statistics and Econometrics Working Papers ws141309, Universidad Carlos III, Departamento de Estadística y Econometría.
  98. Akram, Q. Farooq & Nymoen, Ragnar, 2006. "Econometric modelling of slack and tight labour markets," Economic Modelling, Elsevier, vol. 23(4), pages 579-596, July.
  99. Timo Bettendorf, 2012. "Investigating Global Imbalances: Empirical Evidence from a GVAR Approach," Studies in Economics 1217, School of Economics, University of Kent.
  100. Anundsen, André Kallåk, 2013. "Economic Regime Shifts and the US Subprime Bubble," Memorandum 05/2013, Oslo University, Department of Economics.
  101. Gutierrez, Luciano & Piras, Francesco, 2014. "A global VAR model for the analysis of wheat export prices," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 182723, European Association of Agricultural Economists.
  102. Ines Perez-Soba Aguilar & Elena Marquez de la Cruz & Ana Rosa Martinez-Canete & Alfonso Palacio-Vera, 2006. "Capital Stock and Unemployment: Searching for the Missing Link," Economics Working Paper Archive wp_475, Levy Economics Institute.
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