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Citations for " Inference in Cointegrating Models: UK M1 Revisited"

by Doornik, Jurgen A & Hendry, David F & Nielsen, Bent

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  1. David F. Hendry & Carlos Santos, 2004. "Regression Models with Data-based Indicator Variables," Economics Papers 2004-W04, Economics Group, Nuffield College, University of Oxford.
  2. Anindya Banerjee, 2001. "Industry structure and the dynamics of price adjustment," Applied Economics, Taylor & Francis Journals, vol. 33(15), pages 1889-1901.
  3. David Hendry & Grayham Mizon, 2001. "Forecasting in the Presence of Structural Breaks and Policy Regime Shifts," Economics Series Working Papers 2002-W12, University of Oxford, Department of Economics.
  4. Ken Hendricks & Michele Piccione & Guofu Tan, 1999. "Equilibria in Networks," Econometrica, Econometric Society, vol. 67(6), pages 1407-1434, November.
  5. Alessandra Dal Colle, 2011. "Finance–growth nexus: does causality withstand financial liberalization? Evidence from cointegrated VAR," Empirical Economics, Springer, vol. 41(1), pages 127-154, August.
  6. H. Peter Boswijk & Jurgen A. Doornik, 2004. "Identifying, estimating and testing restricted cointegrated systems: An overview," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 440-465.
  7. Arize, Augustine C., 2002. "Imports and exports in 50 countries: Tests of cointegration and structural breaks," International Review of Economics & Finance, Elsevier, vol. 11(1), pages 101-115, April.
  8. Bent Nielsen, 2000. "Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend," Econometric Society World Congress 2000 Contributed Papers 1494, Econometric Society.
  9. repec:ebl:ecbull:v:3:y:2003:i:25:p:1-7 is not listed on IDEAS
  10. Elias Oikarinen & Martin Hoesli & Camilo Serrano, 2013. "Do Public Real Estate Returns Really Lead Private Returns?," ERES eres2013_145, European Real Estate Society (ERES).
  11. Cook, S., 1996. "Econometric methodology I," Discussion Paper Series In Economics And Econometrics 9618, Economics Division, School of Social Sciences, University of Southampton.
  12. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).
  13. Qayyum, Abdul, 2005. "Modelling the Demand for Money in Pakistan," MPRA Paper 2057, University Library of Munich, Germany, revised 2005.
  14. Massimiliano Marcellino & Grayham E. Mizon, . "Small system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994," Working Papers 188, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  15. Georgios Bampinas & Theodore Panagiotidis, 2015. "Are Gold and Silver a Hedge against Inflation? A Two Century Perspective," Discussion Paper Series 2015_03, Department of Economics, University of Macedonia, revised Jul 2015.
  16. Ang, James B., 2008. "What are the mechanisms linking financial development and economic growth in Malaysia," Economic Modelling, Elsevier, vol. 25(1), pages 38-53, January.
  17. Arize, Augustine C. & Malindretos, John & Nam, Kiseok, 2010. "Cointegration, dynamic structure, and the validity of purchasing power parity in African countries," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 755-768, October.
  18. Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A., 2015. "Does the euro area macroeconomy affect global commodity prices? Evidence from a SVAR approach," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 485-503.
  19. 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.).
  20. Roman Frydman & Michael D. Goldberg, 2001. "Macroeconomic Fundamentals and the DM/$ Exchange Rate: Temporal Instability and the Monetary Model," Working Papers 50, Oesterreichische Nationalbank (Austrian Central Bank).
  21. Sujoy Mukerji, 1996. "Understanding the nonadditive probability decision model (*)," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 9(1), pages 23-46.
  22. Chadha, J.S. & Schellekens, P., 1998. "Utility functions for central bankers: the not so drastic quadratic," Discussion Paper Series In Economics And Econometrics 9818, Economics Division, School of Social Sciences, University of Southampton.
  23. Ralf Becker & Denise R Osborn & Dilem Yildirim, 2010. "A threshold cointegration analysis of interest rate pass-through to UK mortgage rates," Centre for Growth and Business Cycle Research Discussion Paper Series 141, Economics, The Univeristy of Manchester.
  24. Espasa, Antoni & Carlomagno, Guillermo, 2014. "The pairwise approach to model a large set of disaggregates with common trends," DES - Working Papers. Statistics and Econometrics. WS ws141309, Universidad Carlos III de Madrid. Departamento de Estadística.
  25. Maxym Chaban, 2010. "Cointegration analysis with structural breaks and deterministic trends: an application to the Canadian dollar," Applied Economics, Taylor & Francis Journals, vol. 42(23), pages 3023-3037.
  26. Pål Boug, 1999. "The Demand for Labour and the Lucas Critique. Evidence from Norwegian Manufacturing," Discussion Papers 256, Statistics Norway, Research Department.
  27. Jan PAM Jacobs & Kenneth F.Wallis, 2010. "Cointegration, long-run structural modelling and weak exogeneity: Two models of the UK economy," CAMA Working Papers 2010-41, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  28. Neil R. Ericsson & Steven B. Kamin, 2008. "Constructive data mining: modeling Argentine broad money demand," International Finance Discussion Papers 943, Board of Governors of the Federal Reserve System (U.S.).
  29. Ulph, A., 1993. "Environmental policy and international trade when governments and producers act strategically," Discussion Paper Series In Economics And Econometrics 9318, Economics Division, School of Social Sciences, University of Southampton.
  30. H. Peter Boswijk & Jurgen A. Doornik, 1999. "Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors," Tinbergen Institute Discussion Papers 99-013/4, Tinbergen Institute.
  31. Levent KORAP, 2008. "Exchange Rate Determination Of Tl/Us$:A Co-Integration Approach," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 7(1), pages 24-50, May.
  32. Sola, M. & Ravn, M.O., 1992. "The use of recursive variance plots: a note," Discussion Paper Series In Economics And Econometrics 9217, Economics Division, School of Social Sciences, University of Southampton.
  33. Levent, Korap, 2007. "Testing quantity theory of money for the Turkish economy," MPRA Paper 21704, University Library of Munich, Germany.
  34. Mustafa Ismihan & Kivilcim Metin-Ozcan & Aysit Tansel, 2002. "Macroeconomic Instability, Capital Accumulation and Growth: The Case of Turkey 1963-1999," Working Papers 0209, Economic Research Forum, revised Mar 2002.
  35. Kouretas, Georgios P. & Yannopoulos, Andreas, 2006. "Dynamic modelling of trade union behaviour: Evidence from the Greek manufacturing sector," Economic Modelling, Elsevier, vol. 23(2), pages 316-338, March.
  36. CIVCIR Irfan, . "The Monetary Models of the Turkish Lira/Dollar Exchange Rate: Long-run Relationships, Short-run Dynamics and Forecasting," EcoMod2003 330700038, EcoMod.
  37. Marcellino, Massimiliano & Mizon, Grayham E., 2000. "Small system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994," Discussion Paper Series In Economics And Econometrics 0106, Economics Division, School of Social Sciences, University of Southampton.
  38. Philip Hans Franses, 2001. "How to deal with intercept and trend in practical cointegration analysis?," Applied Economics, Taylor & Francis Journals, vol. 33(5), pages 577-579.
  39. Trenkler, Carsten, 2002. "The effects of ignoring level shifts on systems cointegration tests," SFB 373 Discussion Papers 2002,68, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  40. Matei Demetrescu & Helmut Lütkepohl & Pentti Saikkonen, 2009. "Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 414-435, November.
  41. Ulph, A., 1997. "Political institutions and the design of environmental policy in a federal system with asymmetric information," Discussion Paper Series In Economics And Econometrics 9718, Economics Division, School of Social Sciences, University of Southampton.
  42. Bjørnland, Hilde C. & Hungnes, Håvard, 2003. "Fundamental determinants of the long run real exchange rate: The case of Norway," Memorandum 23/2002, Oslo University, Department of Economics.
  43. Schnatz, Bernd & Osbat, Chiara & Rüffer, Rasmus, 2003. "The rise of the yen vis--vis the ("synthetic") euro: is it supported by economic fundamentals?," Working Paper Series 0224, European Central Bank.
  44. Hendry, D.F. & Mizon, G.E., 1999. "On selecting policy analysis models by forecast accuracy," Discussion Paper Series In Economics And Econometrics 9918, Economics Division, School of Social Sciences, University of Southampton.
  45. Jennifer Castle & David Hendry, 2008. "The Long-Run Determinants of UK Wages, 1860-2004," Economics Series Working Papers 409, University of Oxford, Department of Economics.
  46. Binner, Jane & Elger, Thomas, 2002. "The UK Personal Sector Demand for Risky Money," Working Papers 2002:9, Lund University, Department of Economics.
  47. Ahlgren, Niklas & Antell, Jan, 2006. "Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series," Working Papers 519, Hanken School of Economics.
  48. Johann Burgstaller, 2002. "Are stock returns a leading indicator for real macroeconomic developments?," Economics working papers 2002-07, Department of Economics, Johannes Kepler University Linz, Austria.
  49. Kindie Getnet, 2009. "Optimising the policy cost of market stabilisation: Which commodity matters most in Ethiopia?," Journal of International Development, John Wiley & Sons, Ltd., vol. 21(3), pages 362-378.
  50. Niels Møller & Paul Sharp, 2014. "Malthus in cointegration space: evidence of a post-Malthusian pre-industrial England," Journal of Economic Growth, Springer, vol. 19(1), pages 105-140, March.
  51. Qizilbash, M., 1994. "Bribery, efficiency wages and political protection," Discussion Paper Series In Economics And Econometrics 9418, Economics Division, School of Social Sciences, University of Southampton.
  52. Mateos-Planas, X., 1998. "Education, technology adoption and productivity," Discussion Paper Series In Economics And Econometrics 9817, Economics Division, School of Social Sciences, University of Southampton.
  53. Hesse, Heiko, 2007. "Monetary policy, structural break, and the monetary transmission mechanism in Thailand," Policy Research Working Paper Series 4248, The World Bank.
  54. Heimonen, Kari, 2001. "Substituting a substitute currency : The case of Estonia," BOFIT Discussion Papers 11/2001, Bank of Finland, Institute for Economies in Transition.
  55. Heimonen, Kari, 2008. "Substituting a substitute currency," International Review of Economics & Finance, Elsevier, vol. 17(1), pages 66-84.
  56. Massimiliano Marcellino & Grayham E. Mizon, . "Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland, and the UK," Working Papers 145, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  57. Akram,Q.F. & Nymoen,R., 2001. "Employment behaviour in slack and tight labour markets," Memorandum 27/2001, Oslo University, Department of Economics.
  58. Hendry, David F., 2000. "On detectable and non-detectable structural change," Structural Change and Economic Dynamics, Elsevier, vol. 11(1-2), pages 45-65, July.
  59. Anderton, Robert, 2003. "Extra-euro area manufacturing import prices and exchange rate pass-through," Working Paper Series 0219, European Central Bank.
  60. Noriega Antonio E. & Ramos Francia Manuel & Rodríguez-Pérez Cid Alonso, 2015. "Money demand estimations in Mexico and of its stability 1986-2010, as well as some examples of its uses," Working Papers 2015-13, Banco de México.
  61. Vincent R. Nijs & Marnik G. Dekimpe & Jan-Benedict E.M. Steenkamps & Dominique M. Hanssens, 2001. "The Category-Demand Effects of Price Promotions," Marketing Science, INFORMS, vol. 20(1), pages 1-22, September.
  62. Garratt, Anthony & Koop, Gary & Mise, Emi & Vahey, Shaun P., 2009. "Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 480-491.
  63. Espasa, Antoni & Carlomagno, Guillermo, 2015. "Forecasting a large set of disaggregates with common trends and outliers," DES - Working Papers. Statistics and Econometrics. WS ws1518, Universidad Carlos III de Madrid. Departamento de Estadística.
  64. Takamitsu Kurita, 2007. "A dynamic econometric system for the real yen–dollar rate," Empirical Economics, Springer, vol. 33(1), pages 115-149, July.
  65. David Hendry & Felix Pretis & Lea Schneider & Jason E. Smerdon, 2016. "Detecting Volcanic Eruptions in Temperature Reconstructions by Designed Break-Indicator Saturation," Economics Series Working Papers 780, University of Oxford, Department of Economics.
  66. Tobias Linzert, 2004. "Sources of German Unemployment: Evidence from a Structural VAR Model," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 224(3), pages 317-336, May.
  67. Kurita, Takamitsu, 2010. "Co-breaking, cointegration, and weak exogeneity: Modelling aggregate consumption in Japan," Economic Modelling, Elsevier, vol. 27(2), pages 574-584, March.
  68. Hjelm, Goran & Johansson, Martin W., 2005. "A Monte Carlo study on the pitfalls in determining deterministic components in cointegrating models," Journal of Macroeconomics, Elsevier, vol. 27(4), pages 691-703, December.
  69. Jane Binner & Rakesh Bissoondeeal & Thomas Elger & Alicia Gazely & Andrew Mullineux, 2005. "A comparison of linear forecasting models and neural networks: an application to Euro inflation and Euro Divisia," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 665-680.
  70. Hjelm, Göran & Johansson, Martin W, 2002. "A Monte Carlo Study on the Pitfalls in Determining Deterministic Components in Cointegrating Models," Working Papers 2002:3, Lund University, Department of Economics.
  71. Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor & Francis Journals, vol. 20(3), pages 247-318.
  72. Nejib Hachicha, 2003. "Capital Inflows-National Saving Dynamics in Tunisia: Evidence from Cointegration, Weak Exogeneity and Simultaneous Error Correction Modelling," International Economic Journal, Taylor & Francis Journals, vol. 17(4), pages 43-60.
  73. Brüggemann, Ralf, 2002. "On the small sample properties of weak exogeneity tests in cointegrated VAR models," SFB 373 Discussion Papers 2002,2, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  74. Aldrich, J., 1992. "Haavelmo's Identification Theory," Discussion Paper Series In Economics And Econometrics 9218, Economics Division, School of Social Sciences, University of Southampton.
  75. Oikarinen, Elias, 2009. "Interaction between housing prices and household borrowing: The Finnish case," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 747-756, April.
  76. Pashourtidou, Nicoletta, 2003. "Omitted variables in cointegration analysis," Discussion Paper Series In Economics And Econometrics 0304, Economics Division, School of Social Sciences, University of Southampton.
  77. Ivan Alves, 2005. "Sectoral fragility: factors and dynamics," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 450-80 Bank for International Settlements.
  78. Mkenda, Beatrice Kalinda, 2001. "Long-run and Short-run Determinants of the Real Exchange Rate in Zambia," Working Papers in Economics 40, University of Gothenburg, Department of Economics.
  79. Heimonen, Kari, 2001. "Substituting a Substitute Currency – The Case of Estonia," BOFIT Discussion Papers 11/2001, Bank of Finland, Institute for Economies in Transition.
  80. David F. Hendry, 2001. "Modelling UK inflation, 1875-1991," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 255-275.
  81. Chiarini, B., 1993. "Persistence, comovement and common trends: an empirical study of disaggregated Italian output and labour input," Discussion Paper Series In Economics And Econometrics 9317, Economics Division, School of Social Sciences, University of Southampton.
  82. Massimiliano Marcellino & Grayham E. Mizon, 2000. "Wages, Prices, Productivity, Inflation and Unemployment in Italy 1970-1994," Econometric Society World Congress 2000 Contributed Papers 0911, Econometric Society.
  83. Majocchi Antonio & Pavione Enrica, 2002. "International franchising in Italy: trends and perspectives," Economics and Quantitative Methods qf0215, Department of Economics, University of Insubria.
  84. Akram, Q. Farooq, 2006. "PPP in the medium run: The case of Norway," Journal of Macroeconomics, Elsevier, vol. 28(4), pages 700-719, December.
  85. Oikarinen, Elias, 2008. "Interaction between Housing Prices and Household Borrowing in Finland," Discussion Papers 1145, The Research Institute of the Finnish Economy.
  86. Charalambos Pattichis & Chongcheul Cheong & Tesfa Mehari & Leighton Vaughan Williams, 2004. "Exchange rate uncertainty, UK trade and the euro," Applied Financial Economics, Taylor & Francis Journals, vol. 14(12), pages 885-893.
  87. Diamandis, Panayiotis F. & Drakos, Anastassios A., 2005. "Long-run dynamics of official and black-market exchange rates in Latin America," Global Finance Journal, Elsevier, vol. 15(3), pages 219-237, February.
  88. Aurelijus Dabušinskas, 2005. "Money and Prices in Estonia," Bank of Estonia Working Papers 2005-07, Bank of Estonia, revised 10 Nov 2005.
  89. Justin Doran & Bernard Fingleton, 2014. "Economic shocks and growth: Spatio-temporal perspectives on Europe's economies in a time of crisis," Papers in Regional Science, Wiley Blackwell, vol. 93, pages S137-S165, November.
  90. Bernd Schnatz & Focco Vijsellaar & Chiara Osbat, 2004. "Productivity and the Euro-Dollar exchange rate," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 140(1), pages 1-30, March.
  91. Kurita, Takamitsu, 2011. "An empirical model for Japan's business fixed investment," Journal of Economics and Business, Elsevier, vol. 63(2), pages 107-120, March.
  92. Levent, Korap, 2007. "Testing causal relationships between energy consumption, real income and prices: evidence from Turkey," MPRA Paper 21834, University Library of Munich, Germany.
  93. Mahmoud Mohieldin & Jackline Wahba, 1996. "The Uruguay Round and Trade in Financial Services in the Arab Countries," Working Papers 9635, Economic Research Forum, revised Nov 1996.
  94. Elias Oikarinen, 2010. "Foreign Ownership of Stocks and Long-run Interdependence Between National Housing and Stock Markets—Evidence from Finnish Data," The Journal of Real Estate Finance and Economics, Springer, vol. 41(4), pages 486-509, November.
  95. 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.
  96. Ulph, A., 1995. "International environmental regulation when national governments act strategically," Discussion Paper Series In Economics And Econometrics 9518, Economics Division, School of Social Sciences, University of Southampton.
  97. 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.
  98. Qizilbash, M., 1994. "Decisions and moral character," Discussion Paper Series In Economics And Econometrics 9417, Economics Division, School of Social Sciences, University of Southampton.
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