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Citations for "Econometric Modelling with Cointegrated Variables: An Overview"

by Hendry, David F

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  1. Levent, Korap, 2008. "Exchange rate determination of TL/US$: a co-integration approach," MPRA Paper 19659, University Library of Munich, Germany.
  2. Arthur De Vany & W. David Walls, 1993. "Pipeline Access and Market Integration in the Natural Gas Industry: Evidence from Cointegration Tests," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 1-20.
  3. Niemi, Jyrki, 2000. "Short-run and Long-run Elasticities for ASEAN Agricultural Exports to the European Union: an Error-correction Mechanism Approach," 2000 Conference, August 13-18, 2000, Berlin, Germany 197212, International Association of Agricultural Economists.
  4. Hari S. Luitel & Gerry J. Mahar, 2016. "Algebra of Integrated Time Series: Evidence from Unit Root Analysis," International Advances in Economic Research, International Atlantic Economic Society, vol. 22(2), pages 199-209, May.
  5. Engert, Walter & Hendry, Scott, 1998. "Forecasting Inflation with the M1-VECM: Part Two," Staff Working Papers 98-6, Bank of Canada.
  6. Swee-Lean Chan, 2002. "Responses of selected economic indicators to construction output shocks: the case of Singapore," Construction Management and Economics, Taylor & Francis Journals, vol. 20(6), pages 523-533.
  7. Michel Peytrignet & Christof Stahel, 1998. "Stability of money demand in Switzerland: A comparison of the M2 and M3 cases," Empirical Economics, Springer, vol. 23(3), pages 437-454.
  8. Kalim Hyder, 2001. "Crowding-out Hypothesis in a Vector Error Correction Framework: A Case Study of Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 40(4), pages 633-650.
  9. Azuma, Yoshiaki & Nakao, Takeo, 2009. "Why the saving rate has been falling in Japan," MPRA Paper 62581, University Library of Munich, Germany.
  10. Josefa Ramoni Perazzi & Giampaolo Orlandoni Merli, 1999. "A long run consumption model for Venezuela," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, vol. 24(15), pages 127-138, January-D.
  11. Paqué, Karl-Heinz, 1991. "Structural wage rigidity in West Germany 1950 - 1989: Some new econometric evidence," Kiel Working Papers 489, Kiel Institute for the World Economy (IfW).
  12. Király, Júlia, 1998. "A makroökonómia vége, avagy egy megkésett Nobel-díj (Robert E. Lucas)
    [The end of macroeconomy, or a belated Nobel prize (Robert E. Lucas)]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(12), pages 1082-1095.
  13. L. Di Matteo & R. Di Matteo, 2005. "Does testing for prostate-specific antigen contribute to declining prostate cancer mortality?," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 6(4), pages 298-308, December.
  14. Carlos Acevedo, 2000. "Mecanismos de transmisión de política monetaria con liberalización financiera: El Salvador en los noventa," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 361-412, octubre-d.
  15. R. Cellini & A. Scorcu, 1995. "How many Italies?," Working Papers 215, Dipartimento Scienze Economiche, Universita' di Bologna.
  16. Carone, Giuseppe, 1996. "Modeling the U.S. demand for imports through cointegration and error correction," Journal of Policy Modeling, Elsevier, vol. 18(1), pages 1-48, February.
  17. Marco Tronzano, 1992. "Efficiency in German and Japanese foreign exchange markets: Evidence from cointegration techniques," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 128(1), pages 1-20, March.
  18. Tambi, N. Emmanuel, 1999. "Co-integration and error-correction modelling of agricultural export supply in Cameroon," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 20(1), January.
  19. Paul Alagidede & Theodore Panagiotidis, 2010. "Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries," Discussion Paper Series 2010_06, Department of Economics, University of Macedonia, revised Apr 2010.
  20. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period," MERIT Working Papers 016, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
  21. Chipman, John S. & Eymann, Angelika & Ronning, Gerd & Tian, Guoqiang, 1992. "Estimating Price Responses of German Imports and Exports," MPRA Paper 41301, University Library of Munich, Germany.
  22. Masih, Abul M. M. & Masih, Rumi, 1997. "Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(4), pages 859-885.
  23. McAvinchey, Ian D. & Yannopoulos, Andreas, 2003. "Stationarity, structural change and specification in a demand system: the case of energy," Energy Economics, Elsevier, vol. 25(1), pages 65-92, January.
  24. Huan-Niemi, Ellen & Niemi, Jyrki S., 2008. "Empirical analysis of agricultural trade between EU and China: Explanation behind China's growing agrifood imports," 2008 International Congress, August 26-29, 2008, Ghent, Belgium 43962, European Association of Agricultural Economists.
  25. Anita Ghatak, 1998. "Aggregate consumption functions for India: A cointegration analysis under structural changes, 1919-86," Journal of Applied Statistics, Taylor & Francis Journals, vol. 25(4), pages 475-488.
  26. Holtedahl, Pernille & Joutz, Frederick L., 2004. "Residential electricity demand in Taiwan," Energy Economics, Elsevier, vol. 26(2), pages 201-224, March.
  27. Frederick L. Joutz & Yasser Abdih, 2005. "Relating the Knowledge Production Function to Total Factor Productivity; An Endogenous Growth Puzzle," IMF Working Papers 05/74, International Monetary Fund.
  28. repec:hur:ijarbs:v:5:y:2015:i:2:p:302-313 is not listed on IDEAS
  29. Masih, Rumi & Masih, Abul M. M., 1996. "Macroeconomic activity dynamics and Granger causality: New evidence from a small developing economy based on a vector error-correction modelling analysis," Economic Modelling, Elsevier, vol. 13(3), pages 407-426, July.
  30. Cook, Steven, 2007. "A threshold cointegration test with increased power," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 73(6), pages 386-392.
  31. Di Matteo, Livio & Di Matteo, Rosanna, 1998. "Evidence on the determinants of Canadian provincial government health expenditures: 1965-1991," Journal of Health Economics, Elsevier, vol. 17(2), pages 211-228, April.
  32. Carl E. Walsh, 1987. "Three questions concerning nominal and real interest rates," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 5-19.
  33. Martin Schmidt, 2003. "The relative adjustment of wages and prices: direct tests within a multiple-equation system," Applied Economics, Taylor & Francis Journals, vol. 35(8), pages 985-997.
  34. Peter C.B. Phillips & Sam Ouliaris, 1986. "Testing for Cointegration Using Principal Component Measures," Cowles Foundation Discussion Papers 809R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1987.
  35. Kolawole Olayiwola & Henry Okodua, 2013. "Foreign Direct Investment, Non-Oil Exports, and Economic Growth in Nigeria: A Causality Analysis," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 3(11), pages 1479-1496, November.
  36. Gustavo Junca, 2006. "Modelo De Zonas Objetivo Para La Tasa De Interés De Corto Plazo," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, December.
  37. Augustine Arize & Steven Shwiff, 1998. "The black market exchange rate and demand for money in sixteen developing countries," International Advances in Economic Research, International Atlantic Economic Society, vol. 4(2), pages 128-143, May.
  38. Abdel Karim, Imad Eldin Elfadil, 2015. "Analysis of Factors Constraining the Competitiveness of Sesame Export in the Sudan," Agricultural Economics Working Paper Series 210366, University of Khartoum, Department of Agricultural Economics.
  39. Huan-Niemi, Ellen & Niemi, Jyrki S., 2009. "China’s growing food imports from the EU," 2009 Conference, August 16-22, 2009, Beijing, China 51541, International Association of Agricultural Economists.
  40. Baffes, John & Shah, Anwar, 1990. "Taxing choices in deficit reduction," Policy Research Working Paper Series 556, The World Bank.
  41. Wadud, Zia, 2015. "Imperfect reversibility of air transport demand: Effects of air fare, fuel prices and price transmission," Transportation Research Part A: Policy and Practice, Elsevier, vol. 72(C), pages 16-26.
  42. Lee, S. R. & Tang, D. P. & Wong, K. Matthew, 2000. "Stock returns during the German hyperinflation," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(3), pages 375-386.
  43. Naser, Hanan, 2014. "On the cointegration and causality between Oil market, Nuclear Energy Consumption, and Economic Growth: Evidence from Developed Countries," MPRA Paper 65252, University Library of Munich, Germany, revised 25 Mar 2015.
  44. Levent, Korap, 2007. "Testing causal relationships between energy consumption, real income and prices: evidence from Turkey," MPRA Paper 21834, University Library of Munich, Germany.
  45. Esther Stroe-Kunold & Joachim Werner, 2009. "A drunk and her dog: a spurious relation? Cointegration tests as instruments to detect spurious correlations between integrated time series," Quality & Quantity- International Journal of Methodology, Springer, vol. 43(6), pages 913-940, November.
  46. Steven S. Vickner & Stephen P. Davies, 2002. "Estimating strategic price response using cointegration analysis: The case of the domestic black and herbal tea industries," Agribusiness, John Wiley & Sons, Ltd., vol. 18(2), pages 131-144.
  47. Eu Chye Tan, 1997. "Money demand amid financial sector developments in Malaysia," Applied Economics, Taylor & Francis Journals, vol. 29(9), pages 1201-1215.
  48. Goldberg, Michael D. & Frydman, Roman, 1996. "Empirical exchange rate models and shifts in the co-integrating vector," Structural Change and Economic Dynamics, Elsevier, vol. 7(1), pages 55-78, March.
  49. Foders, Federico & Glismann, Hans H., 1992. "Explaining the Argentine growth paradox: new evidence applying cointegration techniques," Kiel Working Papers 506, Kiel Institute for the World Economy (IfW).
  50. Qian, Ying, 1990. "Do steel prices move together? : a cointegration test," Policy Research Working Paper Series 453, The World Bank.
  51. Zulfiqar Bashir, 2003. "The Impacts of Economic Reforms and Trade Liberalisation on Agricultural Export Performance in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 42(4), pages 941-960.
  52. Moazzami, Bakhtiar & Gupta, Kanhaya L., 1995. "The quantity theory of money and its long-run implications," Journal of Macroeconomics, Elsevier, vol. 17(4), pages 667-682.
  53. Ahmad, Mahyudin & Marwan, Nur Fakhzan, 2012. "Purchasing power parity theory in three East Asian economies: New evidence," MPRA Paper 42159, University Library of Munich, Germany.
  54. Kalim Hyder & Qazi Masood Ahmed, 2004. "Why Private Investment In Pakistan Has Collapsed And How It Can Be Restored," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 9(1), pages 107-125, Jan-June.
  55. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period," MERIT Working Papers 012, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
  56. Tambi, N. Emmanuel, 1999. "Co-integration and error-correction modelling of agricultural export supply in Cameroon," Agricultural Economics, Blackwell, vol. 20(1), pages 57-67, January.
  57. Siklos, Pierre L. & Wohar, Mark E., 1996. "Cointegration and the term structure: A multicountry comparison," International Review of Economics & Finance, Elsevier, vol. 5(1), pages 21-34.
  58. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
  59. Palaskas, Theodosios & Varangis, Panos, 1989. "Primary commodity prices and macroeconomic variables : a long run relationship," Policy Research Working Paper Series 314, The World Bank.
  60. Gundlach, Erich, 1993. "Die Dienstleistungsnachfrage als Determinante des wirtschaftlichen Strukturwandels," Open Access Publications from Kiel Institute for the World Economy 763, Kiel Institute for the World Economy (IfW).
  61. Armour, J. & Atta-Mensah, J. & Engert, W. & Hendry, S., 1996. "A Distant-Early-Warning Model of Inflation Based on M1 Disequilibria," Staff Working Papers 96-5, Bank of Canada.
  62. Patricio Arrau & Jorge Quiroz & Rómulo Chumacero, 1992. "Ahorro Fiscal y Tipo de Cambio Real," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 29(88), pages 349-386.
  63. Stéphane Capet & Philippe Gudin de Vallerin, 1993. "Fonctions d'importations et d'exportations : l'apport de la théorie économétrique récente," Économie et Prévision, Programme National Persée, vol. 107(1), pages 15-36.
  64. Jin, Jang C. & Choi, Jai-Young & Yu, Eden S.H., 2009. "Energy prices, energy conservation, and economic growth: Evidence from the postwar United States," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 691-699, October.
  65. Geoffrey M. B. Tootell, 1992. "Purchasing power parity within the United States," New England Economic Review, Federal Reserve Bank of Boston, issue Jul, pages 15-24.
  66. Cheng, Benjamin S., 1999. "Beyond the purchasing power parity: testing for cointegration and causality between exchange rates, prices, and interest rates," Journal of International Money and Finance, Elsevier, vol. 18(6), pages 911-924, December.
  67. Wadud, Zia, 2015. "Decomposing the drivers of aviation fuel demand using simultaneous equation models," Energy, Elsevier, vol. 83(C), pages 551-559.
  68. Shafik, Nemat & Jalali, Jalaleddin, 1991. "Are high real interest rates bad for world economic growth?," Policy Research Working Paper Series 669, The World Bank.
  69. E. Milner-Gulland, 1993. "An econometric analysis of consumer demand for ivory and rhino horn," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 3(1), pages 73-95, February.
  70. Martin, Will & Warr, Peter G., 1991. "Agriculture's decline in Indonesia : supply or demand determined," Policy Research Working Paper Series 798, The World Bank.
  71. Sengupta, Ushree & Roy, Saikat Sinha, 2011. "Behaviour of India’s Horticultural Exports: Does Price Competitiveness Play a Determining Role?," Indian Journal of Agricultural Economics, Indian Society of Agricultural Economics, vol. 66(2).
  72. Stefania Villa, 2005. "Determinants of growth in Italy. A time series analysis," Quaderni DSEMS 24-2005, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
  73. Foders, Federico & Glismann, Hans H., 1992. "Explaining the Argentine growth paradox: new evidence applying cointegration techniques," Kiel Working Papers 506, Kiel Institute for the World Economy.
  74. Arshanapalli, Bala & Doukas, John, 1994. "Common stochastic trends in a system of Eurocurrency rates," Journal of Banking & Finance, Elsevier, vol. 18(6), pages 1047-1061, December.
  75. jose ramos pires manso, 2004. "Economical Versus Political Cycles In An Iberian Manufacturing Sector," Industrial Organization 0404003, EconWPA.
  76. Austria, Myrna S., 1998. "Productivity Growth in the Philippines After the Industrial Reforms," Discussion Papers DP 1998-26, Philippine Institute for Development Studies.
  77. repec:kap:iaecre:v:4:y:1998:i:2:p:128-143 is not listed on IDEAS
  78. Alif Darrat, 1999. "Are Financial Deepening and Economic Growth Causally Related? Another Look at the Evidence," International Economic Journal, Taylor & Francis Journals, vol. 13(3), pages 19-35.
  79. Julia Campos & Neil R. Ericsson & David F. Hendry, 1987. "An analogue model of phase-averaging procedures," International Finance Discussion Papers 303, Board of Governors of the Federal Reserve System (U.S.).
  80. Niemi, Jyrki S. & Huan-Niemi, Ellen & Ledebur, Oliver von & Salamon, Petra, 2005. "Expansion of Mercosur's Agricultural Exports to the EU: An Empirical Assessment of the Trade Flows," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24606, European Association of Agricultural Economists.
  81. Masih, Abul M. M. & Masih, Rumi, 1996. "Empirical tests to discern the dynamic causal chain in macroeconomic activity: new evidence from Thailand and Malaysia based on a multivariate cointegration/vector error-correction modeling approach," Journal of Policy Modeling, Elsevier, vol. 18(5), pages 531-560, October.
  82. Mohammad Nor, Karina & Masih, Mansur, 2016. "Do spot and future palm oil prices influence the stock market prices of a major palm oil producer? the Malaysian experience," MPRA Paper 69777, University Library of Munich, Germany.
  83. Chung, Chanjin & Kaiser, Harry M., 1998. "Determinants of Temporal Variations in Advertising Effectiveness," Research Bulletins 122689, Cornell University, Department of Applied Economics and Management.
  84. Silk, Julian I. & Joutz, Frederick L., 1997. "Short and long-run elasticities in US residential electricity demand: a co-integration approach," Energy Economics, Elsevier, vol. 19(4), pages 493-513, October.
  85. Byun, Jong-Cook & Chen, Son-Nan, 1996. "International real interest rate parity with error correction models," Global Finance Journal, Elsevier, vol. 7(2), pages 129-151.
  86. Babula, Ronald A. & Newman, Douglas & Rogowsky, Robert A., 2006. "A Dynamic Model of U.S. Sugar-Related Markets: A Cointegrated Vector Autoregression Approach," Journal of Food Distribution Research, Food Distribution Research Society, vol. 37(02), July.
  87. Masih, A. Mansur M. & Masih, Rumi, 2002. "Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period," Global Finance Journal, Elsevier, vol. 13(1), pages 63-91.
  88. C. Carter & S. Mohapatra, 2013. "Inventories and antidumping: the case of orange juice trade," Empirical Economics, Springer, vol. 45(1), pages 247-266, August.
  89. Auguste Mpacko Priso, 1998. "Une évaluation de l'importance des anticipations boursières des experts," Économie et Prévision, Programme National Persée, vol. 136(5), pages 49-61.
  90. Tyrväinen, Timo, 1991. "Unions, wages and employment : evidence from Finland," Research Discussion Papers 16/1991, Bank of Finland.
  91. Arnold, Stephan & Auer, Benjamin R., 2015. "What do scientists know about inflation hedging?," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 187-214.
  92. Filip Abraham & Hilde Leliaert, 1991. "Foreign dependence of individual stock prices: The role of aggregate product market developments," Open Economies Review, Springer, vol. 2(1), pages 1-26, February.
  93. Malik, Nadeem, 2007. "Pakistan Agricultural Export Performance in the Light of Trade Liberalization and Economic Reforms," Working Papers 45854, University of Balochistan, Commerce Department.
  94. Arshanapalli, Bala & Doukas, John & Lang, Larry H. P., 1995. "Pre and post-October 1987 stock market linkages between U.S. and Asian markets," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 57-73, May.
  95. Arize, A. C. & Shwiff, Steven S., 1998. "The appropriate exchange-rate variable in the money demand of 25 countries: an empirical investigation," The North American Journal of Economics and Finance, Elsevier, vol. 9(2), pages 169-185, December.
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