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Citations for "Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks in Vector Autoregressions"

by Toda, Hiro Y.

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  1. Lutkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten, 2003. "Comparison of tests for the cointegrating rank of a VAR process with a structural shift," Journal of Econometrics, Elsevier, vol. 113(2), pages 201-229, April.
  2. Niklas Ahlgren & Mikael Juselius, 2012. "Tests for cointegration rank and the initial condition," Empirical Economics, Springer, vol. 42(3), pages 667-691, June.
  3. Deniz Dilan Karaman Örsal, 2008. "Comparison of Panel Cointegration Tests," Economics Bulletin, AccessEcon, vol. 3(6), pages 1-20.
  4. Carsten Trenkler, 2006. "Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms," SFB 649 Discussion Papers SFB649DP2006-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  5. Yoichi Matsubayashi & Shigeyuki Hamori, 2003. "Some international evidence on the stability of aggregate import demand function," Applied Economics, Taylor & Francis Journals, vol. 35(13), pages 1497-1504.
  6. Grewal, Rajdeep & Mills, Jeffrey A. & Mehta, Raj & Mujumdar, Sudesh, 2001. "Using cointegration analysis for modeling marketing interactions in dynamic environments: methodological issues and an empirical illustration," Journal of Business Research, Elsevier, vol. 51(2), pages 127-144, February.
  7. Lutkepohl, Helmut & Saikkonen, Pentti, 2000. "Testing for the cointegrating rank of a VAR process with a time trend," Journal of Econometrics, Elsevier, vol. 95(1), pages 177-198, March.
  8. Horowitz, Joel L. & Savin, N. E., 2000. "Empirically relevant critical values for hypothesis tests: A bootstrap approach," Journal of Econometrics, Elsevier, vol. 95(2), pages 375-389, April.
  9. C.K. Folkertsma & K. Hubrich, 2000. "Performance of core inflation measures," WO Research Memoranda (discontinued) 639, Netherlands Central Bank, Research Department.
  10. Weidenmier, Marc D., 2000. "The Market for Confederate Cotton Bonds," Explorations in Economic History, Elsevier, vol. 37(1), pages 76-97, January.
  11. Hubrich, Kirstin & Lütkepohl, Helmut & Saikkonen, Pentti, 1998. "A review of systemscointegration tests," SFB 373 Discussion Papers 1998,101, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  12. Tronzano, Marco, 2011. "“Finance and Growth: A Reassessment of the Empirical Evidence for the Indian Economy” - Finanza e crescita: un riesame dell’evidenza empirica nel caso dell’India," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 64(3), pages 329-364.
  13. Saikkonen, Pentti & L tkepohl, Helmut, 2000. "Testing For The Cointegrating Rank Of A Var Process With An Intercept," Econometric Theory, Cambridge University Press, vol. 16(03), pages 373-406, June.
  14. Antonia Arsova & Deniz Dilan Karaman Oersal, 2013. "Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence," Working Paper Series in Economics 280, University of Lüneburg, Institute of Economics.
  15. 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.
  16. Tuck Cheong Tang, 2003. "Cointegration analysis for Japanese import demand: revisited," Applied Economics Letters, Taylor & Francis Journals, vol. 10(14), pages 905-908.
  17. Saikkonen, Pentti & Lütkepohl, Helmut, 1997. "Trend adjustment prior to testing for the cointegrating rank of a VAR process," SFB 373 Discussion Papers 1997,84, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  18. Shintani, Mototsugu, 2001. "A simple cointegrating rank test without vector autoregression," Journal of Econometrics, Elsevier, vol. 105(2), pages 337-362, December.
  19. Bernd Droge & Deniz Dilan Karaman Örsal, 2009. "Panel Cointegration Testing in the Presence of a Time Trend," SFB 649 Discussion Papers SFB649DP2009-005, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  20. Matsubayashi, Yoichi, 2005. "Are US current account deficits unsustainable?: Testing for the private and government intertemporal budget constraints," Japan and the World Economy, Elsevier, vol. 17(2), pages 223-237, April.
  21. Allan W. Gregory & Alfred A. Haug & Nicoletta Lomuto, 2004. "Mixed signals among tests for cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 89-98.
  22. Muhammad, Anees & Ishfaq, Ahmed, 2011. "Industrial development, agricultural growth, urbanization and environmental Kuznets curve in Pakistan," MPRA Paper 33469, University Library of Munich, Germany.
  23. Gonzalo, Jesus & Lee, Tae-Hwy, 1998. "Pitfalls in testing for long run relationships," Journal of Econometrics, Elsevier, vol. 86(1), pages 129-154, June.
  24. Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
  25. Marie-Josée Godbout & Simon van Norden, 1997. "Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples," Working Papers 97-1, Bank of Canada.
  26. Jafari, Yaghoob & Othman, Jamal & Nor, Abu Hassan Shaari Mohd, 2012. "Energy consumption, economic growth and environmental pollutants in Indonesia," Journal of Policy Modeling, Elsevier, vol. 34(6), pages 879-889.
  27. Hayat, Aziz & Ganiev, Bahodir & Tang, Xueli, 2013. "Expectations of future income and real exchange rate movements," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1274-1285.
  28. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
  29. Tiwari, Aviral, 2010. "On the dynamics of energy consumption and employment in public and private sector," MPRA Paper 24076, University Library of Munich, Germany.
  30. Masih, Rumi & Masih, Abul M. M., 2001. "Long and short term dynamic causal transmission amongst international stock markets," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 563-587, August.
  31. Boyer, M. Martin & van Norden, Simon, 2006. "Exchange rates and order flow in the long run," Finance Research Letters, Elsevier, vol. 3(4), pages 235-243, December.
  32. Bruns, Stephan B. & Gross, Christian, 2013. "What if Energy Time Series are not Independent? Implications for Energy-GDP Causality Analysis," FCN Working Papers 10/2013, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
  33. Carsten Trenkler*, 2005. "The Effects of Ignoring Level Shifts on Systems Cointegration Tests," AStA Advances in Statistical Analysis, Springer, vol. 89(3), pages 281-301, August.
  34. Christian Kascha & Carsten Trenkler, 2009. "Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order," Working Paper 2009/12, Norges Bank.
  35. Tronzano, Marco, 2010. "Reassessing the Dynamic Links between Trade and Growth: New Empirical Evidence from India - Un riesame delle relazioni tra commercio estero e crescita economica:nuova evidenza empirica per l’India," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 63(2), pages 217-244.
  36. Javier Gomez-Biscarri & Javier Hualde, 2014. "Regression-based analysis of cointegration systems," Working Papers 780, Barcelona Graduate School of Economics.
  37. Wagner, Martin, 1999. "VAR Cointegration in VARMA Models," Economics Series 65, Institute for Advanced Studies.
  38. Ahlgren, Niklas & Nyblom, Jukka, 2003. "A General Test for the Cointegrating Rank in Vector Autoregressive Models," Working Papers 499, Hanken School of Economics.
  39. Vishal Jaunky, 2013. "Democracy and economic growth in Sub-Saharan Africa: a panel data approach," Empirical Economics, Springer, vol. 45(2), pages 987-1008, October.
  40. Jaunky, Vishal Chandr, 2013. "A cointegration and causality analysis of copper consumption and economic growth in rich countries," Resources Policy, Elsevier, vol. 38(4), pages 628-639.
  41. Zhang, Xing-Ping & Cheng, Xiao-Mei, 2009. "Energy consumption, carbon emissions, and economic growth in China," Ecological Economics, Elsevier, vol. 68(10), pages 2706-2712, August.
  42. Tang, Tuck Cheong, 2004. "Demand for broad money and expenditure components in Japan: an empirical study," Japan and the World Economy, Elsevier, vol. 16(4), pages 487-502, December.
  43. Erten, Bilge & Ocampo, José Antonio, 2013. "Super Cycles of Commodity Prices Since the Mid-Nineteenth Century," World Development, Elsevier, vol. 44(C), pages 14-30.
  44. repec:ebl:ecbull:v:3:y:2008:i:6:p:1-20 is not listed on IDEAS
  45. Sakata, Kei, 2002. "Sectoral Shifts and Cyclical Unemployment in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 16(2), pages 227-252, June.
  46. Godbout, M.J. & Van Norden, S., 1996. "Unit-Root Test and Excess Returns," Working Papers 96-10, Bank of Canada.
  47. Yamada, Hiroshi & Toda, Hiro Y., 1998. "Inference in possibly integrated vector autoregressive models: some finite sample evidence," Journal of Econometrics, Elsevier, vol. 86(1), pages 55-95, June.
  48. Bryant, Henry L. & Outlaw, Joe L. & Anderson, David P., 2005. "Rice World Market Prices," 2005 Annual meeting, July 24-27, Providence, RI 19178, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  49. Hamori, Shigeyuki & Matsubayashi, Yoichi, 2001. "An empirical analysis on the stability of Japan's aggregate import demand function," Japan and the World Economy, Elsevier, vol. 13(2), pages 135-144, April.
  50. Aziz Hayat & Bahodir Ganiev & Xueli Tang, 2012. "Expectations of future income and real exchange rate movements," Financial Econometics Series 2012_05, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  51. Richard Fu & Marco Pagani, 2012. "On the cointegration of international stock indices," Journal of Economics and Finance, Springer, vol. 36(2), pages 463-480, April.
  52. Haug, Alfred A., 1999. "Testing linear restrictions on cointegration vectors: Sizes and powers of Wald tests in finite samples," Technical Reports 1999,04, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  53. Judith A. Giles & Sadaf Mirza, 1999. "Some Pretesting Issues on Testing for Granger Noncausality," Econometrics Working Papers 9914, Department of Economics, University of Victoria.
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