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Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified
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Cited by:
- Edison, Hali J. & Gagnon, Joseph E. & Melick, William R., 1997.
"Understanding the empirical literature on purchasing power parity: the post-Bretton Woods era,"
Journal of International Money and Finance, Elsevier, vol. 16(1), pages 1-17, February.
- Hali J. Edison & Joseph E. Gagnon & William R. Melick, 1994. "Understanding the empirical literature on purchasing power parity: the post-Bretton Woods era," International Finance Discussion Papers 465, Board of Governors of the Federal Reserve System (U.S.).
- Cushman, David O., 2008. "Long-run PPP in a system context: No favorable evidence after all for the U.S., Germany, and Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 413-424, December.
- Elliott, Graham & Jansson, Michael, 2003.
"Testing for unit roots with stationary covariates,"
Journal of Econometrics, Elsevier, vol. 115(1), pages 75-89, July.
- Graham Elliott & Michael Jansson, "undated". "Testing for Unit Roots with Stationary Covariates," Economics Working Papers 2000-6, Department of Economics and Business Economics, Aarhus University.
- Elliott, Graham & Jansson, Michael, 2000. "Testing for Unit Roots with Stationary Covariances," Department of Economics, Working Paper Series qt47k7z69n, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Elliott, Graham & Jansson, Michael, 2002. "Testing for Unit Roots with Stationary Covariates," University of California at San Diego, Economics Working Paper Series qt4v35s2gv, Department of Economics, UC San Diego.
- Elliott, Graham & Jansson, Michael, 2000. "Testing for Unit Roots with Stationary Covariances," University of California at San Diego, Economics Working Paper Series qt47k7z69n, Department of Economics, UC San Diego.
- Elliott, Graham & Jansson, Michael, 2002. "Testing for Unit Roots with Stationary Covariates," Department of Economics, Working Paper Series qt4v35s2gv, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Econometrics 9812001, University Library of Munich, Germany.
- Christoffersen, Peter F & Diebold, Francis X, 1998.
"Cointegration and Long-Horizon Forecasting,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 450-458, October.
- Peter F. Christoffersen & Francis X. Diebold, 1997. "Cointegration and Long-Horizon Forecasting," NBER Technical Working Papers 0217, National Bureau of Economic Research, Inc.
- Peter F. Christoffersen & Francis X. Diebold, 1997. "Cointegration and long-horizon forecasting," Working Papers 97-14, Federal Reserve Bank of Philadelphia.
- Mr. Francis X. Diebold & Mr. Peter F. Christoffersen, 1997. "Cointegration and Long-Horizon Forecasting," IMF Working Papers 1997/061, International Monetary Fund.
- David Harvey & Terence Mills, 2005. "Evidence for common features in G7 macroeconomic time series," Applied Economics, Taylor & Francis Journals, vol. 37(2), pages 165-175.
- Ali Kutan & Su Zhou, 2003.
"Has the Link Between the Spot and Forward Exchange Rates Broken Down? Evidence from Rolling Cointegration Tests,"
Open Economies Review, Springer, vol. 14(4), pages 369-379, October.
- Kutan, Ali M. & Zhou, Su, 2002. "Has the link between the spot and forward exchange rates broken down? Evidence from rolling cointegration tests," ZEI Working Papers B 08-2002, University of Bonn, ZEI - Center for European Integration Studies.
- Baxter, Marianne & Jermann, Urban J. & King, Robert G., 1998. "Synthetic returns on NIPA assets: An international comparison," European Economic Review, Elsevier, vol. 42(6), pages 1141-1172, June.
- Bohl, Martin T. & Siklos, Pierre L., 2004. "The present value model of U.S. stock prices redux: a new testing strategy and some evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 208-223, May.
- Yin-Wong Cheung & Menzie D. Chinn & Eiji Fujii, 2009.
"The Illusion of Precision and the Role of the Renminbi in Regional Integration,"
Chapters, in: Koichi Hamada & Beate Reszat & Ulrich Volz (ed.), Towards Monetary and Financial Integration in East Asia, chapter 13,
Edward Elgar Publishing.
- Yin-wong Cheung & Menzie D. Chinn & Eiji Fujii, 2006. "The Illusion of Precision and the Role of the Renminbi in Regional Integration," Working Papers 182006, Hong Kong Institute for Monetary Research.
- Ming Chien Lo & Eric Zivot, 1999.
"Threshold Cointegration and Nonlinear Adjustment to the Law of One Price,"
Working Papers
0030, University of Washington, Department of Economics.
- Ming Chien Lo & Eric Zivot, 1999. "Threshold Cointegration and Nonlinear Adjustment to the Law of One Price," Discussion Papers in Economics at the University of Washington 0030, Department of Economics at the University of Washington.
- Christopher J. Neely & Lucio Sarno, 2002.
"How well do monetary fundamentals forecast exchange rates?,"
Review, Federal Reserve Bank of St. Louis, vol. 84(Sep), pages 51-74.
- Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Working Papers 2002-007, Federal Reserve Bank of St. Louis.
- Caporale, Guglielmo Maria & Girardi, Alessandro, 2013.
"Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system,"
Journal of Banking & Finance, Elsevier, vol. 37(2), pages 227-240.
- Guglielmo Maria Caporale & Alessandro Girardi, 2011. "Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System," Discussion Papers of DIW Berlin 1139, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Alessandro Girardi, 2011. "Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System," CESifo Working Paper Series 3525, CESifo.
- Richard G. Anderson & Hailong Qian & Robert H. Rasche, 2006. "Analysis of panel vector error correction models using maximum likelihood, the bootstrap, and canonical-correlation estimators," Working Papers 2006-050, Federal Reserve Bank of St. Louis.
- Bosupeng, Mpho, 2015. "The Impossible Trinity and Financial Markets – An Examination of Inflation Volatility Spillovers," MPRA Paper 77923, University Library of Munich, Germany, revised 2015.
- Chinn, Menzie D., 2000.
"Before the fall: were East Asian currencies overvalued?,"
Emerging Markets Review, Elsevier, vol. 1(2), pages 101-126, September.
- Menzie D. Chinn, 1998. "Before the Fall: Were East Asian Currencies Overvalued?," NBER Working Papers 6491, National Bureau of Economic Research, Inc.
- Canzoneri, Matthew B. & Cumby, Robert E. & Diba, Behzad, 1999.
"Relative labor productivity and the real exchange rate in the long run: evidence for a panel of OECD countries,"
Journal of International Economics, Elsevier, vol. 47(2), pages 245-266, April.
- Matthew B. Canzoneri & Robert E. Cumby & Behzad Diba, 1996. "Relative Labor Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries," NBER Working Papers 5676, National Bureau of Economic Research, Inc.
- Canzoneri, Matthew B & Cumby, Robert & Diba, Behzad, 1996. "Relative Labour Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries," CEPR Discussion Papers 1464, C.E.P.R. Discussion Papers.
- Cheung, Y. -W. & Chinn, M. D., 1998.
"Integration, cointegration and the forecast consistency of structural exchange rate models,"
Journal of International Money and Finance, Elsevier, vol. 17(5), pages 813-830, October.
- Yin-Wong Cheung & Menzie Chinn, 1995. "Integration, cointegration and the forecast consistency of structural exchange rate models," International Finance 9508002, University Library of Munich, Germany.
- Yin-Wong Cheung & Menzie D. Chinn, 1997. "Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models," NBER Working Papers 5943, National Bureau of Economic Research, Inc.
- Paolera, Gerardo Della & Taylor, Alan M., 1999.
"Economic Recovery from the Argentine Great Depression: Institutions, Expectations, and the Change of Macroeconomic Regime,"
The Journal of Economic History, Cambridge University Press, vol. 59(3), pages 567-599, September.
- Gerardo della Paolera & Alan M. Taylor, 2000. "Economic Recovery from the Argentine Great Depression: Institutions, Expectations, and the Change of Macroeconomic Regime," NBER Working Papers 6767, National Bureau of Economic Research, Inc.
- Sokbae Lee & Myung Hwan Seo & Youngki Shin, 2017.
"Correction,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(518), pages 883-883, April.
- Seo, Myunghwan, 2006. "Bootstrap testing for the null of no cointegration in a threshold vector error correction model," Journal of Econometrics, Elsevier, vol. 134(1), pages 129-150, September.
- P. Sercu, 2005. "The Exchange Rate and Purchasing Power Parity in Arbitrage-Free Models of Asset Pricing," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(5), pages 825-854.
- Sekioua, Sofiane H., 2006. "Nonlinear adjustment in the forward premium: evidence from a threshold unit root test," International Review of Economics & Finance, Elsevier, vol. 15(2), pages 164-183.
- Kellard, Neil & Sarantis, Nicholas, 2008. "Can exchange rate volatility explain persistence in the forward premium?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 714-728, September.
- Chinn, Menzie D. & Meredith, Guy, 2000.
"Testing uncovered interest parity at short and long horizons,"
HWWA Discussion Papers
102, Hamburg Institute of International Economics (HWWA).
- Chinn, Menzie D. & Meredith, Guy, 2000. "Testing Uncovered Interest Parity at Short and Long Horizons," Discussion Paper Series 26355, Hamburg Institute of International Economics.
- Guglielmo Maria Caporale & Alessandro Girardi, 2011.
"Price formation on the EuroMTS platform,"
Applied Economics Letters, Taylor & Francis Journals, vol. 18(3), pages 229-233.
- Guglielmo Maria Caporale & Alessandro Girardi, 2010. "Price Formation on the EuroMTS Platform," Discussion Papers of DIW Berlin 977, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Alessandro Girardi, 2010. "Price Formation on the EuroMTS Platform," CESifo Working Paper Series 2938, CESifo.
- Eric Zivot, 1996. "The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified," Econometrics 9612001, University Library of Munich, Germany.
- Dennis L. Hoffman & Robert H. Rasche, 1997.
"STLS/US-VECM6.1: a vector error-correction forecasting model of the U. S. economy,"
Working Papers
1997-008, Federal Reserve Bank of St. Louis.
- Richard G. Anderson & Dennis L. Hoffman & Robert H. Rasche, 2001. "A vector error correction forecasting model of the U.S. economy," Working Papers 1998-008, Federal Reserve Bank of St. Louis.
- Boswijk, H. Peter & Jansson, Michael & Nielsen, Morten Ørregaard, 2015.
"Improved likelihood ratio tests for cointegration rank in the VAR model,"
Journal of Econometrics, Elsevier, vol. 184(1), pages 97-110.
- H. Peter Boswijk & Michael Jansson & Morten Ørregaard Nielsen, 2012. "Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model," CREATES Research Papers 2012-39, Department of Economics and Business Economics, Aarhus University.
- H. Peter Boswijk & Michael Jansson & Morten Ø. Nielsen, 2012. "Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model," Tinbergen Institute Discussion Papers 12-097/III, Tinbergen Institute.
- H. Peter Boswijk & Michael Jansson & Morten Ø. Nielsen, 2012. "Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model," Working Paper 1297, Economics Department, Queen's University.
- Koustas, Zisimos & Serletis, Apostolos, 2005. "Rational bubbles or persistent deviations from market fundamentals?," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2523-2539, October.
- Paolo Paruolo, 2001.
"LR cointegration tests when some cointegrating relations are known,"
Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 10(1), pages 123-137, January.
- Paruolo Paolo, "undated". "LR cointegration tests when some cointegrating relations are known," Economics and Quantitative Methods qf0106, Department of Economics, University of Insubria.
- Neil R. Ericsson & James G. MacKinnon, 2002.
"Distributions of error correction tests for cointegration,"
Econometrics Journal, Royal Economic Society, vol. 5(2), pages 285-318, June.
- 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.).
- Neil R. Ericsson & James G. MacKinnon, 2000. "Distributions of Error Correction Tests for Cointegration," Econometric Society World Congress 2000 Contributed Papers 0561, Econometric Society.
- Ghassan, Hassan Belkacem & AlHajhoj, Hassan Rafdan, 2016.
"Long run dynamic volatilities between OPEC and non-OPEC crude oil prices,"
Applied Energy, Elsevier, vol. 169(C), pages 384-394.
- Ghassan, Hassan B. & Alhajhoj, Hassan R., 2015. "Long Run Dynamic Volatilities between OPEC and non-OPEC Crude Oil Prices," MPRA Paper 69962, University Library of Munich, Germany, revised 15 Jan 2016.
- Tillmann, Peter, 2007. "Inflation regimes in the US term structure of interest rates," Economic Modelling, Elsevier, vol. 24(2), pages 203-223, March.
- Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2014.
"Time-Varying Spot and Futures Oil Price Dynamics,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 61(1), pages 78-97, February.
- Guglielmo Maria Caporale & Davide Ciferri & Allessandro Girardi, 2010. "Time-Varying Spot and Futures Oil Price Dynamics," Discussion Papers of DIW Berlin 988, DIW Berlin, German Institute for Economic Research.
- Guglielmo Caporale & Davide Ciferri & Alessandro Girardi, 2010. "Time-varying spot and futures oil price dynamics," Quaderni del Dipartimento di Economia, Finanza e Statistica 75/2010, Università di Perugia, Dipartimento Economia.
- Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2010. "Time-Varying Spot and Futures Oil Price Dynamics," CESifo Working Paper Series 3015, CESifo.
- Apte, Prakash & Sercu, Piet & Uppal, Raman, 2004.
"The exchange rate and purchasing power parity: extending the theory and tests,"
Journal of International Money and Finance, Elsevier, vol. 23(4), pages 553-571, June.
- Uppal, Raman & Sercu, Piet & Apte, Prakesh, 2002. "The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests," CEPR Discussion Papers 3343, C.E.P.R. Discussion Papers.
- Thorsten Beck, 2009.
"The Econometrics of Finance and Growth,"
Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 25, pages 1180-1209,
Palgrave Macmillan.
- Beck, Thorsten, 2008. "The econometrics of finance and growth," Policy Research Working Paper Series 4608, The World Bank.
- Zivot, Eric, 2000. "Cointegration and forward and spot exchange rate regressions," Journal of International Money and Finance, Elsevier, vol. 19(6), pages 785-812, December.
- Zivot, Eric, 2000. "The Power Of Single Equation Tests For Cointegration When The Cointegrating Vector Is Prespecified," Econometric Theory, Cambridge University Press, vol. 16(3), pages 407-439, June.
- Barkoulas, John & Baum, Christopher F. & Chakraborty, Atreya, 2003.
"Forward premiums and market efficiency: Panel unit-root evidence from the term structure of forward premiums,"
Journal of Macroeconomics, Elsevier, vol. 25(1), pages 109-122, March.
- John T. Barkoulas & Christopher F. Baum & Atreya Chakraborty, 2000. "Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums," Boston College Working Papers in Economics 461, Boston College Department of Economics, revised 13 Jun 2001.
- Carlson, John B. & Hoffman, Dennis L. & Keen, Benjamin D. & Rasche, Robert H., 2000.
"Results of a study of the stability of cointegrating relations comprised of broad monetary aggregates,"
Journal of Monetary Economics, Elsevier, vol. 46(2), pages 345-383, October.
- John B. Carlson & Dennis L. Hoffman & Benjamin D. Keen & Robert H. Rasche, 1999. "Results of a study of the stability of cointegrating relations comprised of broad monetary aggregates," Working Papers (Old Series) 9917, Federal Reserve Bank of Cleveland.
- Sonora, Robert J., 2008.
"Bivariate relative city price convergence in the United States: 1918-1997,"
Review of Financial Economics, Elsevier, vol. 17(2), pages 92-111.
- Robert J. Sonora, 2008. "Bivariate relative city price convergence in the United States: 1918–1997," Review of Financial Economics, John Wiley & Sons, vol. 17(2), pages 92-111.
- Christev, Atanas & Noorbakhsh, Abbas, 2000. "Long-run purchasing power parity, prices and exchange rates in transition: The case of six Central and East European countries," Global Finance Journal, Elsevier, vol. 11(1-2), pages 87-108.
- Markku Lanne, 2000. "Near unit roots, cointegration, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 513-529.
- Ahmad Zubaidi Baharumshah & Raj Aggarwal & Chan Tze Haw, 2007.
"East Asian Real Exchange Rates and PPP: New Evidence from Panel-data Tests,"
Global Economic Review, Taylor & Francis Journals, vol. 36(2), pages 103-119.
- Baharumshah, Ahmad Zubaidi & Aggarwal, Raj & Chan, Tze-Haw, 2005. "East Asian Real Exchange Rates and PPP: New Evidence from panel-data tests," MPRA Paper 2023, University Library of Munich, Germany, revised 2007.
- Crowder, William J., 2012. "The liquidity effect: Evidence from the U.S," Economics Letters, Elsevier, vol. 117(1), pages 315-317.
- Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen, 2001.
"A Review Of Systems Cointegration Tests,"
Econometric Reviews, Taylor & Francis Journals, vol. 20(3), pages 247-318.
- 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.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2019.
"Priors for the Long Run,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 565-580, April.
- Primiceri, Giorgio & Giannone, Domenico & Lenza, Michele, 2016. "Priors for the Long Run," CEPR Discussion Papers 11261, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2017. "Priors for the long run," Staff Reports 832, Federal Reserve Bank of New York.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2018. "Priors for the long run," Working Paper Series 2132, European Central Bank.
- Siklos, Pierre L. & Granger, Clive W.J., 1997.
"Regime-Sensitive Cointegration With An Application To Interest-Rate Parity,"
Macroeconomic Dynamics, Cambridge University Press, vol. 1(3), pages 640-657, September.
- Siklos, P.L. & Granger, C.W.J., 1997. "Regime Sensitive Cointegration with an Application to Interest rate Parity," Working Papers 97-5, Wilfrid Laurier University, Department of Economics.
- Alan M. Taylor, 1996. "International Capital Mobility in History: Purchasing-Power Parity in the Long Run," NBER Working Papers 5742, National Bureau of Economic Research, Inc.
- Giuseppe Cavaliere & Luca Fanelli & Paolo Paruolo, 2009. "Tests for cointegration rank and choice of the alternative," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(2), pages 169-191, July.
- Tillmann, Peter, 2003.
"Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates,"
Bonn Econ Discussion Papers
27/2003, University of Bonn, Bonn Graduate School of Economics (BGSE).
- Peter Tillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates," Econometric Society 2004 North American Summer Meetings 26, Econometric Society.
- O. Miguel Villanueva, 2005. "FX Dynamics, Limited Participation, and the Forward Bias Anomaly," The Financial Review, Eastern Finance Association, vol. 40(1), pages 67-93, February.
- Alessandro Girardi & Claudio Impenna, 2013.
"Price discovery in the Italian sovereign bonds market: the role of order flow,"
Temi di discussione (Economic working papers)
906, Bank of Italy, Economic Research and International Relations Area.
- Alessandro Girardi & Claudio Impenna, 2013. "Price Discovery In The Italian Sovereign Bonds Market: The Role Of Order Flow," Working Papers LuissLab 13108, Dipartimento di Economia e Finanza, LUISS Guido Carli.
- Seo, Myung Hwan, 2008.
"Unit Root Test In A Threshold Autoregression: Asymptotic Theory And Residual-Based Block Bootstrap,"
Econometric Theory, Cambridge University Press, vol. 24(6), pages 1699-1716, December.
- Myunghwan Seo, 2004. "Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap," Econometric Society 2004 North American Summer Meetings 494, Econometric Society.
- Seo, Myung Hwan, 2005. "Unit root test in a threshold autoregression: asymptotic theory and residual-based block bootstrap," LSE Research Online Documents on Economics 6836, London School of Economics and Political Science, LSE Library.
- Myunghwan Seo, 2005. "Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap," STICERD - Econometrics Paper Series 484, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Eric Ghysels & J. Isaac Miller, 2015.
"Testing for Cointegration with Temporally Aggregated and Mixed-Frequency Time Series,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 36(6), pages 797-816, November.
- Eric Ghysels & J. Isaac Miller, 2013. "Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series," Working Papers 1307, Department of Economics, University of Missouri, revised 07 May 2014.
- Ghysels, Eric & Miller, J. Isaac, 2013. "Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series," CEPR Discussion Papers 9654, C.E.P.R. Discussion Papers.
- Huh, Hyeon-seung & Kim, David, 2013. "An empirical test of exogenous versus endogenous growth models for the G-7 countries," Economic Modelling, Elsevier, vol. 32(C), pages 262-272.
- Lau, Sau-Him Paul, 2008. "Using an error-correction model to test whether endogenous long-run growth exists," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 648-676, February.
- Engel, Charles, 2000.
"Long-run PPP may not hold after all,"
Journal of International Economics, Elsevier, vol. 51(2), pages 243-273, August.
- Charles Engel, 1996. "Long-Run PPP May Not Hold After All," NBER Working Papers 5646, National Bureau of Economic Research, Inc.
- Charles Engel, 1998. "Long-Run PPP May Not Hold After All," Working Papers 0050, University of Washington, Department of Economics.
- Engel, C., 1996. "Long-Run PPP May Not Hold After All," Working Papers 96-05, University of Washington, Department of Economics.
- Engel, C., 1996. "Long-Run PPP May Not Hold After All," Discussion Papers in Economics at the University of Washington 96-05, Department of Economics at the University of Washington.
- Charles Engel, 1998. "Long-Run PPP May Not Hold After All," Discussion Papers in Economics at the University of Washington 0050, Department of Economics at the University of Washington.
- 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.
- PeterTillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Computing in Economics and Finance 2004 53, Society for Computational Economics.
- Ahmad, Mahyudin, 2012. "Duration dependence test for rational speculative bubble: the strength and weakness," MPRA Paper 42156, University Library of Munich, Germany.
- Roger Hammersland, 2004. "Large T and small N : A three-step approach to the identification of cointegrating relationships in time series models with a small cross-sectional dimension," Working Paper 2004/15, Norges Bank.
- William Crowder & Mark Wohar, 2004. "A cointegrated structural VAR model of the Canadian economy," Applied Economics, Taylor & Francis Journals, vol. 36(3), pages 195-213.
- Chinn, Menzie David & Dooley, Michael P., 1999. "International monetary arrangements in the Asia-Pacific before and after," Journal of Asian Economics, Elsevier, vol. 10(3), pages 361-384.
- Anderson, Richard G. & Hoffman, Dennis L. & Rasche, Robert H., 2002. "A vector error-correction forecasting model of the US economy," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 569-598, December.
- Diamandis, Panayiotis F., 2003. "Market efficiency, purchasing power parity, and the official and parallel markets for foreign currency in Latin America," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 89-110.
- Saikkonen, Pentti & Lütkepohl, Helmut, 1999.
"Local Power Of Likelihood Ratio Tests For The Cointegrating Rank Of A Var Process,"
Econometric Theory, Cambridge University Press, vol. 15(1), pages 50-78, February.
- Saikkonen, Pentti & Lütkepohl, Helmut, 1997. "Local power of likelihood ratio tests for the cointegrating rank of a VAR process," SFB 373 Discussion Papers 1997,58, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Lior Menzly & Tano Santos & Pietro Veronesi, 2004. "Understanding Predictability," Journal of Political Economy, University of Chicago Press, vol. 112(1), pages 1-47, February.
- Kunst, Robert M., 2002. "Testing for Stationarity in a Cointegrated System," Economics Series 117, Institute for Advanced Studies.
- Sofiane Sekioua, 2004. "The forward unbiasedness hypothesis and the forward premium: a nonlinear analysis," Money Macro and Finance (MMF) Research Group Conference 2003 85, Money Macro and Finance Research Group.
- Markku Lanne, 2006.
"Nonlinear dynamics of interest rate and inflation,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1157-1168, December.
- Markku Lanne, 2006. "Nonlinear dynamics of interest rate and inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1157-1168.
- Lanne, Markku, 2002. "Nonlinear dynamics of interest rate and inflation," Bank of Finland Research Discussion Papers 21/2002, Bank of Finland.
- Markku Lanne, 2004. "Nonlinear dynamics of interest rate and inflation," Macroeconomics 0405014, University Library of Munich, Germany.
- Michael S. Hanson, 2004. "Monetary Factors in the Long-Run Co-movement of Consumer and Commodity Prices," Wesleyan Economics Working Papers 2004-001, Wesleyan University, Department of Economics.
- Bosupeng, Mpho, 2016. "The Effects of Chinese Interest Rates and Inflation: A Decomposition of The Fisher Effect," MPRA Paper 78160, University Library of Munich, Germany, revised 2016.
- Lucio Sarno, 2000. "Systematic sampling and real exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 136(1), pages 24-57, March.
- Chen, Shiu-Sheng & Chou, Yu-Hsi, 2015. "Revisiting the relationship between exchange rates and fundamentals," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 1-22.
- Rangvid, Jesper, 2006. "Output and expected returns," Journal of Financial Economics, Elsevier, vol. 81(3), pages 595-624, September.
- GUO, Qian, 2010. "The Balassa-Samuelson model of purchasing power parity and Chinese exchange rates," China Economic Review, Elsevier, vol. 21(2), pages 334-345, June.
- Pesavento, Elena, 2004.
"Analytical evaluation of the power of tests for the absence of cointegration,"
Journal of Econometrics, Elsevier, vol. 122(2), pages 349-384, October.
- 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.
- Peter Tillmann, 2009.
"The New Keynesian Phillips curve in Europe: does it fit or does it fail?,"
Empirical Economics, Springer, vol. 37(3), pages 463-473, December.
- Tillmann, Peter, 2005. "The New Keynesian Phillips Curve in Europe: does it fit or does it fail?," Discussion Paper Series 1: Economic Studies 2005,04, Deutsche Bundesbank.
- Cavaliere Giuseppe & Fanelli Luca & Paruolo Paolo, 2001. "Determining the number of cointegrating relations under rank constraints," Economics and Quantitative Methods qf0109, Department of Economics, University of Insubria.
- Jansson, Michael, 2004. "Stationarity Testing With Covariates," Econometric Theory, Cambridge University Press, vol. 20(1), pages 56-94, February.
- Chinn, Menzie David, 2000. "The empirical determinants of the Euro: Short and long run perspectives," SFB 373 Discussion Papers 2000,43, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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