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Statistical Inference in Regressions with Integrated Processes: Part 2

Citations

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Cited by:

  1. Francesc Marmol & Juan J. Dolado, 1999. "Asymptotic Inference for Nonstationary Fractionally Integrated Processes," Computing in Economics and Finance 1999 513, Society for Computational Economics.
  2. Nyakabawo, Wendy & Miller, Stephen M. & Balcilar, Mehmet & Das, Sonali & Gupta, Rangan, 2015. "Temporal causality between house prices and output in the US: A bootstrap rolling-window approach," The North American Journal of Economics and Finance, Elsevier, pages 55-73.
  3. Kimball, Miles S, 1993. "Standard Risk Aversion," Econometrica, Econometric Society, pages 589-611.
  4. Sequeira, John M. & McAleer, Michael & Chow, Ying-Foon, 1999. "Estimation of alternative pricing models for currency futures contracts," Mathematics and Computers in Simulation (MATCOM), Elsevier, pages 519-530.
  5. Muyambiri, Brian & Chiwira, Oscar & Enowbi Batuo, Michael & Chiranga, Ngonidzashe, 2010. "The Causal Relationship between Private and Public Investment in Zimbabwe," MPRA Paper 26671, University Library of Munich, Germany.
  6. Woon Gyu Choi & Yungsan Kim, 2001. "Monetary Policy and Corporate Liquid Asset Demand," IMF Working Papers 01/177, International Monetary Fund.
  7. Mukoyama, Toshihiko & Sahin, Aysegul, 2006. "Costs of business cycles for unskilled workers," Journal of Monetary Economics, Elsevier, pages 2179-2193.
  8. Man-Keun Kim & Kangil Lee, 2015. "Dynamic Interactions between Carbon and Energy Prices in the U.S. Regional Greenhouse Gas Initiative," International Journal of Energy Economics and Policy, Econjournals, pages 494-501.
  9. Hualde, Javier, 2014. "Estimation of long-run parameters in unbalanced cointegration," Journal of Econometrics, Elsevier, pages 761-778.
  10. Hyungsik Roger Moon & Peter C. B. Phillips, 2004. "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Econometrica, Econometric Society, pages 467-522.
  11. Meyer, Bruce D, 1995. "Natural and Quasi-experiments in Economics," Journal of Business & Economic Statistics, American Statistical Association, pages 151-161.
  12. Gomez, Nicolas & Guerrero, Victor M., 2006. "Restricted forecasting with VAR models: An analysis of a test for joint compatibility between restrictions and forecasts," International Journal of Forecasting, Elsevier, pages 751-770.
  13. Giovanni Urga & Lorenzo Trapani, 2004. "Cointegration versus Spurious Regression in Heterogeneous Panels," Econometric Society 2004 North American Summer Meetings 266, Econometric Society.
  14. Bardsen, G., 1990. "Dynamic Modelling And The Demand For Narrow Money In Norway," The Warwick Economics Research Paper Series (TWERPS) 359, University of Warwick, Department of Economics.
  15. Hanan Naser, 2015. "Can Nuclear Energy Stimulates Economic Growth? Evidence from Highly Industrialised Countries," International Journal of Energy Economics and Policy, Econjournals, pages 164-173.
  16. Entorf, Horst, 1997. "Random walks with drifts: Nonsense regression and spurious fixed-effect estimation," Journal of Econometrics, Elsevier, pages 287-296.
  17. Bernard, Andre & Warren, Paul & Yan, Beiling, 2005. "Integration and Co-integration: Do Canada-U.S. Manufacturing Prices Obey the Law of One Price?," Economic Analysis (EA) Research Paper Series 2005029e, Statistics Canada, Analytical Studies Branch.
  18. EHLERS, Lars, 2003. "In Search of Advice for Physicians in Entry-Level Medical Markets," Cahiers de recherche 2003-15, Universite de Montreal, Departement de sciences economiques.
  19. Aye, Goodness C. & Balcilar, Mehmet & Bosch, Adél & Gupta, Rangan, 2014. "Housing and the business cycle in South Africa," Journal of Policy Modeling, Elsevier, pages 471-491.
  20. Westerlund, Joakim, 2005. "Panel Cointegration Tests of the Fisher Hypothesis," Working Papers 2005:10, Lund University, Department of Economics.
  21. Phillips, P.C.B., 1990. "Time Series Regression With a Unit Root and Infinite-Variance Errors," Econometric Theory, Cambridge University Press, pages 44-62.
  22. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, pages 225-250.
  23. Fan, Yanqin & Gençay, Ramazan, 2010. "Unit Root Tests With Wavelets," Econometric Theory, Cambridge University Press, pages 1305-1331.
  24. DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," Cahiers de recherche 16-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  25. Felmingham, B. & Zhang, Q., 2000. "The Long Run Demand for Broad Money in Australia Subject to Regime Shifts," Papers 2000-07, Tasmania - Department of Economics.
  26. Peter C. B. Phillips, 2003. "Laws and Limits of Econometrics," Economic Journal, Royal Economic Society, vol. 113(486), pages 26-52, March.
  27. Pesaran, M. Hashem & Shin, Yongcheol & Smith, Richard J., 2000. "Structural analysis of vector error correction models with exogenous I(1) variables," Journal of Econometrics, Elsevier, pages 293-343.
  28. Martin Larch, 1994. "Die Analyse externer Bestimmungsfaktoren der regionalen Wirtschaftsentwicklung im Rahmen eines VARModells," Wirtschaft und Gesellschaft - WuG, Kammer für Arbeiter und Angestellte für Wien, Abteilung Wirtschaftswissenschaft und Statistik, pages 539-557.
  29. James Davidson, 2013. "Cointegration and error correction," Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 7, pages 165-188 Edward Elgar Publishing.
  30. Dr. Ordean Olson, 2013. "The Role of Productivity in Economic Growth and Equilibrium," Asian Economic and Financial Review, Asian Economic and Social Society, pages 1497-1527.
  31. Phillips, Peter C. B., 1988. "Conditional and unconditional statistical independence," Journal of Econometrics, Elsevier, pages 341-348.
  32. Phillips, P C B, 1991. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., pages 333-364.
  33. Antonio E. Noriega & Daniel Ventosa-Santaulària, 2007. "Spurious Regression and Trending Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, pages 439-444.
  34. Pol Antràs & Robert W. Staiger, 2012. "Offshoring and the Role of Trade Agreements," American Economic Review, American Economic Association, vol. 102(7), pages 3140-3183, December.
  35. Phillips, P.C.B., 1988. "Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations," Econometric Theory, Cambridge University Press, pages 528-533.
  36. Dietmar Bauer & Alex Maynard, 2010. "Persistence-robust Granger causality testing," Working Papers 1011, University of Guelph, Department of Economics and Finance.
  37. Phillips, Peter C.B. & Li, Degui & Gao, Jiti, 2017. "Estimating smooth structural change in cointegration models," Journal of Econometrics, Elsevier, pages 180-195.
  38. Werner Ploberger & Peter C. B. Phillips, 2003. "Empirical Limits for Time Series Econometric Models," Econometrica, Econometric Society, pages 627-673.
  39. Kuo, Biing-Shen, 1998. "Test for partial parameter instability in regressions with I(1) processes," Journal of Econometrics, Elsevier, pages 337-368.
  40. Chao, John C. & Phillips, Peter C. B., 1999. "Model selection in partially nonstationary vector autoregressive processes with reduced rank structure," Journal of Econometrics, Elsevier, pages 227-271.
  41. Jafari, Yaghoob & Othman, Jamal & Nor, Abu Hassan Shaari Mohd, 2012. "Energy consumption, economic growth and environmental pollutants in Indonesia," Journal of Policy Modeling, Elsevier, pages 879-889.
  42. Dolado, Juan José & Mármol, Francesc, 1998. "FM-OLS estimation of cointegrating relationships among nonstationary fractionally integrated processes," DES - Working Papers. Statistics and Econometrics. WS 4672, Universidad Carlos III de Madrid. Departamento de Estadística.
  43. Franses, Philip Hans & Kloek, Teun & Lucas, Andre, 1998. "Outlier robust analysis of long-run marketing effects for weekly scanning data," Journal of Econometrics, Elsevier, pages 293-315.
  44. Phillips, Peter C.B., 1995. "Robust Nonstationary Regression," Econometric Theory, Cambridge University Press, pages 912-951.
  45. Blangiewicz, Maria & Charemza, Wojciech W., 1999. "East European Economic Reform: Some Simulations on a Structural Vector Autoregressive Model," Journal of Policy Modeling, Elsevier, pages 535-557.
  46. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, pages 159-178.
  47. Peter C.B. Phillips & Werner Ploberger, 1992. "Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics," Cowles Foundation Discussion Papers 1038, Cowles Foundation for Research in Economics, Yale University.
  48. Susan Schneider & Patricia Garcia-Prieto Sol & Véronique Tran, "undated". "Some like it hot! the role of emotion and identity in interpreting and responding to diversity as a strategic issue," ULB Institutional Repository 2013/14659, ULB -- Universite Libre de Bruxelles.
  49. Christophe Hurlin & Alexandru Minea, 2012. "Is Public Capital Really Productive? A Methodological Reappraisal," Working Papers halshs-00773200, HAL.
  50. Antonio E. Noriega & Daniel Ventosa-Santaulària, 2011. "A Simple Test for Spurious Regressions," Working Papers 2011-05, Banco de México.
  51. Phillips, Peter C.B. & Li, Degui & Gao, Jiti, 2017. "Estimating smooth structural change in cointegration models," Journal of Econometrics, Elsevier, pages 180-195.
  52. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Chapters,in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220 National Bureau of Economic Research, Inc.
  53. Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2003. "Dynamic Seemingly Unrelated Cointegrating Regression," NBER Technical Working Papers 0292, National Bureau of Economic Research, Inc.
  54. Boswijk, H. Peter, 1995. "Efficient inference on cointegration parameters in structural error correction models," Journal of Econometrics, Elsevier, pages 133-158.
  55. Mármol, Francesc & Escribano, Álvaro & Aparicio, Felipe M., 1999. "A new instrumental variable approach for estimation and testing in fractional cointegrating regressions," DES - Working Papers. Statistics and Econometrics. WS 6292, Universidad Carlos III de Madrid. Departamento de Estadística.
  56. Stock, James H., 1994. "Deciding between I(1) and I(0)," Journal of Econometrics, Elsevier, vol. 63(1), pages 105-131, July.
  57. Hiro Y. Toda & Peter C.B. Phillips, 1991. "The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study," Cowles Foundation Discussion Papers 978, Cowles Foundation for Research in Economics, Yale University.
  58. Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric, 2006. "Short run and long run causality in time series: inference," Journal of Econometrics, Elsevier, pages 337-362.
  59. Quintos, Carmela E., 1998. "Analysis of cointegration vectors using the GMM approach," Journal of Econometrics, Elsevier, pages 155-188.
  60. Shu-Chen Chang, 2005. "The dynamic interactions among foreign direct investment, economic growth, exports and unemployment: evidence from Taiwan," Economic Change and Restructuring, Springer, pages 235-256.
  61. Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2010. "A Sieve Bootstrap Test For Cointegration In A Conditional Error Correction Model," Econometric Theory, Cambridge University Press, pages 647-681.
  62. Chris Stewart, 2011. "A note on spurious significance in regressions involving I(0) and I(1) variables," Empirical Economics, Springer, pages 565-571.
  63. Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1996. "Cointegration tests in the presence of structural breaks," Journal of Econometrics, Elsevier, pages 187-220.
  64. Shin, Dong Wan & Oh, Man-Suk, 2004. "Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors," Journal of Econometrics, Elsevier, pages 247-280.
  65. van Giersbergen, Noud P. A., 2003. "A note on bootstrapping unit root tests in the presence of a non-zero drift," Economics Letters, Elsevier, pages 259-265.
  66. Joon Y. Park & Peter C. B. Phillips, 2000. "Nonstationary Binary Choice," Econometrica, Econometric Society, pages 1249-1280.
  67. Phillips, P C B, 1991. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., pages 333-364.
  68. Bashiri Behmiri, Niaz & Pires Manso, José R., 2012. "Does Portuguese economy support crude oil conservation hypothesis?," Energy Policy, Elsevier, pages 628-634.
  69. Didier Nibbering & Richard Paap & Michel van der Wel, 2015. "What Do Professional Forecasters Actually Predict?," Tinbergen Institute Discussion Papers 15-095/III, Tinbergen Institute, revised 13 Oct 2017.
  70. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Arslanturk, Yalcin, 2010. "Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window," Energy Economics, Elsevier, pages 1398-1410.
  71. David Hendry, 1995. "On the interactions of unit roots and exogeneity," Economics Papers 7., Economics Group, Nuffield College, University of Oxford.
  72. Hassler, Uwe, 1996. "Spurious regressions when stationary regressors are included," Economics Letters, Elsevier, pages 25-31.
  73. Ghazi Shukur & Panagiotis Mantalos, 2000. "A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems," Journal of Applied Statistics, Taylor & Francis Journals, pages 1021-1031.
  74. Phillips, Peter C.B. & Ploberger, Werner, 1994. "Posterior Odds Testing for a Unit Root with Data-Based Model Selection," Econometric Theory, Cambridge University Press, pages 774-808.
  75. Peter Phillips & Hyungsik Moon, 2000. "Nonstationary panel data analysis: an overview of some recent developments," Econometric Reviews, Taylor & Francis Journals, pages 263-286.
  76. de Mello Luiz & Moccero Diego & Mogliani Matteo, 2013. "Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, pages 141-165.
  77. Phillips, Peter C.B., 1995. "Robust Nonstationary Regression," Econometric Theory, Cambridge University Press, pages 912-951.
  78. Gao, Jiti & Phillips, Peter C.B., 2013. "Semiparametric estimation in triangular system equations with nonstationarity," Journal of Econometrics, Elsevier, pages 59-79.
  79. Boswijk, H. Peter & Franses, Philip Hans & Haldrup, Niels, 1997. "Multiple unit roots in periodic autoregression," Journal of Econometrics, Elsevier, pages 167-193.
  80. Luya Wang & Zhongwen Liang & Juan Lin & Qi Li, 2015. "Local Constant Kernel Estimation of a Partially Linear Varying Coefficient Cointegration Model," Annals of Economics and Finance, Society for AEF, pages 353-369.
  81. Bernard, Andre & Warren, Paul & Yan, Beiling, 2005. "Integration et cointegration : les prix dans les secteurs canadien et americain de la fabrication obeissent-ils a la loi du prix unique?," Serie de documents de recherche sur l'analyse economique (AE) 2005029f, Statistics Canada, Direction des etudes analytiques.
  82. Greasley, David & Oxley, Les, 2000. "British Industrialization, 1815-1860: A Disaggregate Time-Series Perspective," Explorations in Economic History, Elsevier, vol. 37(1), pages 98-119, January.
  83. Brenner, Robin J. & Kroner, Kenneth F., 1995. "Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, pages 23-42.
  84. Stark, Oded & Wang, Yong, 2002. "Inducing human capital formation: migration as a substitute for subsidies," Journal of Public Economics, Elsevier, pages 29-46.
  85. Di Iorio, Francesca & Triacca, Umberto, 2013. "Testing for Granger non-causality using the autoregressive metric," Economic Modelling, Elsevier, pages 120-125.
  86. Jiti Gao & Peter C.B. Phillips, 2011. "Semiparametric Estimation in Multivariate Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 17/11, Monash University, Department of Econometrics and Business Statistics.
  87. de Mello Luiz & Moccero Diego & Mogliani Matteo, 2013. "Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, pages 141-165.
  88. Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2005. "Dynamic Seemingly Unrelated Cointegrating Regressions," Review of Economic Studies, Oxford University Press, vol. 72(3), pages 797-820.
  89. Peter C.B. Phillips & Sam Ouliaris & Joon Y. Park, 1988. "Testing for a Unit Root in the Presence of a Maintained Trend," Cowles Foundation Discussion Papers 880, Cowles Foundation for Research in Economics, Yale University.
  90. Di Iorio, Francesca & Triacca, Umberto, 2011. "Testing for non-causality by using the Autoregressive Metric," MPRA Paper 29637, University Library of Munich, Germany.
  91. Phillips, Peter C.B. & Ploberger, Werner, 1994. "Posterior Odds Testing for a Unit Root with Data-Based Model Selection," Econometric Theory, Cambridge University Press, pages 774-808.
  92. Bauer, Dietmar & Maynard, Alex, 2012. "Persistence-robust surplus-lag Granger causality testing," Journal of Econometrics, Elsevier, pages 293-300.
  93. Dufour, Jean-Marie & Jouini, Tarek, 2006. "Finite-sample simulation-based inference in VAR models with application to Granger causality testing," Journal of Econometrics, Elsevier, pages 229-254.
  94. Antonio E. Noriega & Daniel Ventosa-Santaulària, 2006. "Spurious Regression and Econometric Trends," Working Papers 2006-05, Banco de México.
  95. Zhang, Zhaoyong & Sato, Kiyotaka & McAleer, Michael, 2004. "Asian monetary integration: a structural VAR approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(3), pages 447-458.
  96. Lawford, Steve & Stamatogiannis, Michalis P., 2009. "The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators," Journal of Econometrics, Elsevier, pages 124-130.
  97. Ventosa-Santaulària, Daniel, 2008. "Spurious Regression," MPRA Paper 59008, University Library of Munich, Germany.
  98. Liu, Xiaming & Wang, Chengang & Wei, Yingqi, 2001. "Causal links between foreign direct investment and trade in China," China Economic Review, Elsevier, pages 190-202.
  99. Peter Phillips & Hyungsik Moon, 2000. "Nonstationary panel data analysis: an overview of some recent developments," Econometric Reviews, Taylor & Francis Journals, pages 263-286.
  100. Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu, 2014. "X-Differencing And Dynamic Panel Model Estimation," Econometric Theory, Cambridge University Press, pages 201-251.
  101. Robert Marti, 1995. "Spécification des préférences implicites en matière de politique économique française, 1981-1991," Économie et Prévision, Programme National Persée, pages 1-11.
  102. Elliott, Graham & Stock, James H., 1994. "Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown," Econometric Theory, Cambridge University Press, pages 672-700.
  103. M. McAleer & J. M. Sequeira, 2004. "Efficient estimation and testing of oil futures contracts in a mutual offset system," Applied Financial Economics, Taylor & Francis Journals, pages 953-962.
  104. Peter C. B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Econometrica, Econometric Society, pages 1057-1112.
  105. Niels Haldrup & Peter Lildholdt, "undated". "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Economics Working Papers 2000-1, Department of Economics and Business Economics, Aarhus University.
  106. Helmut Lütkepohl, 2013. "Vector autoregressive models," Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164 Edward Elgar Publishing.
  107. Balcombe, K. G. & Davis, J. R., 1996. "An application of cointegration theory in the estimation of the almost ideal demand system for food consumption in Bulgaria," Agricultural Economics, Blackwell, pages 47-60.
  108. Peter C.B. Phillips, 1994. "Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future," Cowles Foundation Discussion Papers 1081, Cowles Foundation for Research in Economics, Yale University.
  109. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Businesss School, revised Sep 2013.
  110. Phillips, Peter C. B., 1988. "Conditional and unconditional statistical independence," Journal of Econometrics, Elsevier, pages 341-348.
  111. Ghose, Devajyoti, 1995. "Linear aggregation in cointegrated systems," Journal of Economic Dynamics and Control, Elsevier, pages 1011-1032.
  112. Singh, Tarlok, 2008. "Testing the Saving-Investment correlations in India: An evidence from single-equation and system estimators," Economic Modelling, Elsevier, pages 1064-1079.
  113. Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu, 2014. "X-Differencing And Dynamic Panel Model Estimation," Econometric Theory, Cambridge University Press, pages 201-251.
  114. Campbell, John Y., 2001. "Why long horizons? A study of power against persistent alternatives," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 459-491, December.
  115. Emirmahmutoglu, Furkan & Kose, Nezir, 2011. "Testing for Granger causality in heterogeneous mixed panels," Economic Modelling, Elsevier, pages 870-876.
  116. White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, pages 316-330.
  117. Phillips, Peter C. B., 1998. "Impulse response and forecast error variance asymptotics in nonstationary VARs," Journal of Econometrics, Elsevier, pages 21-56.
  118. Hurlin, Christophe & Minea, Alexandru, 2013. "Is public capital really productive? A methodological reappraisal," European Journal of Operational Research, Elsevier, pages 122-130.
  119. Westerlund, Joakim, 2014. "On the choice of test for a unit root when the errors are conditionally heteroskedastic," Computational Statistics & Data Analysis, Elsevier, pages 40-53.
  120. Ye Cai & Mototsugu Shintani, 2005. "On the Long-Run Variance Ratio Test for a Unit Root," Vanderbilt University Department of Economics Working Papers 0506, Vanderbilt University Department of Economics.
  121. Aye, Goodness C. & Balcilar, Mehmet & Bosch, Adél & Gupta, Rangan, 2014. "Housing and the business cycle in South Africa," Journal of Policy Modeling, Elsevier, pages 471-491.
  122. repec:eee:phsmap:v:481:y:2017:i:c:p:284-313 is not listed on IDEAS
  123. Li, Jia & Hanrahan, Kevin F. & McErlean, Seamus, 2004. "The Efficiency Of The Futures Market For Agricultural Commodities In The Uk," 2004 Annual meeting, August 1-4, Denver, CO 20203, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  124. Julia Campos & Neil R. Ericsson & David F. Hendry, 1993. "Cointegration tests in the presence of structural breaks," International Finance Discussion Papers 440, Board of Governors of the Federal Reserve System (U.S.).
  125. Yoosoon Chang & Joon Y. Park & Peter C. B. Phillips, 2001. "Nonlinear econometric models with cointegrated and deterministically trending regressors," Econometrics Journal, Royal Economic Society, vol. 4(1), pages 1-36.
  126. Chang, Yoosoon & Park, Joon Y. & Song, Kevin, 2006. "Bootstrapping cointegrating regressions," Journal of Econometrics, Elsevier, pages 703-739.
  127. Phillips, Peter C. B., 1998. "Impulse response and forecast error variance asymptotics in nonstationary VARs," Journal of Econometrics, Elsevier, pages 21-56.
  128. Hurlin, Christophe & Minea, Alexandru, 2013. "Is public capital really productive? A methodological reappraisal," European Journal of Operational Research, Elsevier, pages 122-130.
  129. In Choi & Peter C.B. Phillips, 1997. "Regressions for Partially Identified, Cointegrated Simultaneous Equations," Cowles Foundation Discussion Papers 1162, Cowles Foundation for Research in Economics, Yale University.
  130. White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, pages 316-330.
  131. Abidin Ozdemir, Zeynel & Fisunoglu, Mahir, 2008. "On the inflation-uncertainty hypothesis in Jordan, Philippines and Turkey: A long memory approach," International Review of Economics & Finance, Elsevier, pages 1-12.
  132. den Haan, Wouter J., 2000. "The comovement between output and prices," Journal of Monetary Economics, Elsevier, pages 3-30.
  133. repec:clr:wugarc:y:1994:v:20i:4p:539 is not listed on IDEAS
  134. Theodoros Zachariadis, 2006. "On the exploration of casual relationship between energy and economy," University of Cyprus Working Papers in Economics 5-2006, University of Cyprus Department of Economics.
  135. Conrad, C. & Karanasos, M., 2005. "On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach," Japan and the World Economy, Elsevier, pages 327-343.
  136. Li, Yikang & Maddala, G. S. & Rush, Mark, 1995. "New small sample estimators for cointegration regression: Low-pass spectral filter method," Economics Letters, Elsevier, pages 123-129.
  137. Clinton Watkins & Michael McAleer, 2006. "Pricing of non-ferrous metals futures on the London Metal Exchange," Applied Financial Economics, Taylor & Francis Journals, pages 853-880.
  138. Chang, Yoosoon & Park, Joon Y. & Song, Kevin, 2006. "Bootstrapping cointegrating regressions," Journal of Econometrics, Elsevier, pages 703-739.
  139. Michael Harrison & Eric Strobl & Patrick Walsh, 1998. "The Impact of Social Security Reforms on Female Unemployment Compensation Claimants in Ireland," European Journal of Law and Economics, Springer, pages 263-284.
  140. Zachariadis, Theodoros, 2007. "Exploring the relationship between energy use and economic growth with bivariate models: New evidence from G-7 countries," Energy Economics, Elsevier, pages 1233-1253.
  141. H. Peter Boswijk & Jean-Pierre Urbain, 1997. "Lagrance-multiplier tersts for weak exogeneity: a synthesis," Econometric Reviews, Taylor & Francis Journals, pages 21-38.
  142. Biing-Shen Kuo & Su-Ling Peng, 2011. "Price Pass-Through, Household Expenditure, and Industrial Structure: The Case of Taiwan," NBER Chapters,in: Commodity Prices and Markets, East Asia Seminar on Economics, Volume 20, pages 237-255 National Bureau of Economic Research, Inc.
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