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Citations for "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's"

by Peter C.B. Phillips

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  1. Ogawa, Kazuo, 2000. "Monetary Policy, Credit, and Real Activity: Evidence from the Balance Sheet of Japanese Firms," Journal of the Japanese and International Economies, Elsevier, vol. 14(4), pages 385-407, December.
  2. Starr, Martha A., 2005. "Does money matter in the CIS? Effects of monetary policy on output and prices," Journal of Comparative Economics, Elsevier, vol. 33(3), pages 441-461, September.
  3. Phillips, Peter C.B., 2005. "Automated Discovery In Econometrics," Econometric Theory, Cambridge University Press, vol. 21(01), pages 3-20, February.
  4. Bilgili, Faik, 2006. "Random walk, excess smoothness or excess sensitivity? Evidence from literature and an application for Turkish economy," MPRA Paper 24086, University Library of Munich, Germany, revised 14 Jul 2010.
  5. Vetlov, Igor & Ferdinandusse, Marien & de Jong, Jasper & Funda, Josip, 2017. "The effect of public investment in Europe: a model-based assessment," Working Paper Series 2021, European Central Bank.
  6. Haug, Alfred A. & Karagedikli, Ozer & Ranchhod, Satish, 2005. "Monetary policy transmission mechanisms and currency unions: A vector error correction approach to a Trans-Tasman currency union," Journal of Policy Modeling, Elsevier, vol. 27(1), pages 55-74, February.
  7. Gonzalo, Jesus & Ng, Serena, 2001. "A systematic framework for analyzing the dynamic effects of permanent and transitory shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1527-1546, October.
  8. Paul Beaudry & Franck Portier, 2014. "News-Driven Business Cycles: Insights and Challenges," Journal of Economic Literature, American Economic Association, vol. 52(4), pages 993-1074, December.
  9. Pesavento, Elena & Rossi, Barbara, 2007. "Impulse response confidence intervals for persistent data: What have we learned?," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2398-2412, July.
  10. Paul Fenton & Alain Paquet, 1997. "International Interest Rate Differentials: The Interaction with Fiscal and Monetary Variables, and the Business Cycle," Cahiers de recherche CREFE / CREFE Working Papers 56, CREFE, Université du Québec à Montréal, revised Jan 1998.
  11. John L. Turner, 2004. "Local to unity, long-horizon forecasting thresholds for model selection in the AR(1)," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(7), pages 513-539.
  12. Ricardo Reis, 2009. "The Time-Series Properties of Aggregate Consumption: Implications for the Costs of Fluctuations," Journal of the European Economic Association, MIT Press, vol. 7(4), pages 722-753, 06.
  13. Hyungsik Roger Moon & Frank Schorfheide & Eleonora Granziera & Mihye Lee, 2011. "Inference for VARs Identified with Sign Restrictions," NBER Working Papers 17140, National Bureau of Economic Research, Inc.
  14. Ericsson, Neil R & Hendry, David F & Mizon, Grayham E, 1998. "Exogeneity, Cointegration, and Economic Policy Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 370-387, October.
  15. Claus, I., 1997. "A Measure of Underlying Inflation in the United States," Staff Working Papers 97-20, Bank of Canada.
  16. J.-B. Bernard & G. Cléaud, 2013. "Oil price: the nature of the shocks and the impact on the French economy," Documents de Travail de la DESE - Working Papers of the DESE g2013-09, Institut National de la Statistique et des Etudes Economiques, DESE.
  17. Christophe Kamps, 2005. "The Dynamic Effects of Public Capital: VAR Evidence for 22 OECD Countries," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 12(4), pages 533-558, August.
  18. Yang, Jian & Bessler, David A. & Leatham, David J., 2000. "The Law Of One Price: Developed And Developing Country Market Integration," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 32(03), December.
  19. Adam Elbourne & Jakob de Haan, 2009. "Modeling Monetary Policy Transmission in Acceding Countries: Vector Autoregression Versus Structural Vector Autoregression," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 45(2), pages 4-20, March.
  20. Stefano Puddu, 2013. "Real Sector and Banking System: Real and Feedback Effects. A Non-Linear VAR Approach," IRENE Working Papers 13-01, IRENE Institute of Economic Research.
  21. Alfred A. Haug & Christie Smith, 2012. "Local Linear Impulse Responses for a Small Open Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(3), pages 470-492, 06.
  22. Mounir Ben Mbarek & Samia Nasreen & Rochdi Feki, 2017. "The contribution of nuclear energy to economic growth in France: short and long run," Quality & Quantity: International Journal of Methodology, Springer, vol. 51(1), pages 219-238, January.
  23. Jonathan H. Wright, 2000. "Exact confidence intervals for impulse responses in a Gaussian vector autoregression," International Finance Discussion Papers 682, Board of Governors of the Federal Reserve System (U.S.).
  24. Fernando Lorenzo & Alfonso Capurro & Guillermo Carlomagno & Paula Garda & Bibiana Lanzilotta & Gonzalo Zunino, 2010. "El canal de crédito, evidencias para Uruguay desde una perspectiva macroeconómica," Documentos de trabajo 2010021, Banco Central del Uruguay.
  25. Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2012. "Oil prices, exchange rates and emerging stock markets," Energy Economics, Elsevier, vol. 34(1), pages 227-240.
  26. Karen Davtyan, 2014. "“Interrelation among Economic Growth, Income Inequality, and Fiscal Performance: Evidence from Anglo-Saxon Countries”," AQR Working Papers 201403, University of Barcelona, Regional Quantitative Analysis Group, revised Feb 2014.
  27. Pierre St-Amant & David Tessier, 2000. "Résultats empiriques multi-pays relatifs à l'impact des cibles d'inflation sur la crédibilité de la politique monétaire," Canadian Public Policy, University of Toronto Press, vol. 26(3), pages 295-310, September.
  28. Oscar Jorda, 2003. "Model-Free Impulse Responses," Working Papers 38, University of California, Davis, Department of Economics.
  29. Alfred A.Haug & Tomasz Jędrzejowicz & Anna Sznajderska, 2013. "Combining monetary and fiscal policy in an SVAR for a small open economy," National Bank of Poland Working Papers 168, National Bank of Poland, Economic Institute.
  30. Héctor F. Bravo & Carlos J. García & Verónica Mies & Matías Tapia, 2003. "Heterogeneity in Monetary Transmission: Sectoral and Regional Effects," Working Papers Central Bank of Chile 235, Central Bank of Chile.
  31. Gospodinov, Nikolay, 2002. "Median unbiased forecasts for highly persistent autoregressive processes," Journal of Econometrics, Elsevier, vol. 111(1), pages 85-101, November.
  32. Rossi, Barbara, 2005. "Confidence Intervals for Half-Life Deviations From Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 432-442, October.
  33. Serena Ng & Timothy Vogelsang, 1999. "Forecasting Dynamic Time Series in the Presence of Deterministic Components," Boston College Working Papers in Economics 445, Boston College Department of Economics.
  34. Omtzigt, Pieter & Paruolo, Paolo, 2005. "Impact factors," Journal of Econometrics, Elsevier, vol. 128(1), pages 31-68, September.
  35. Robledo, Carlos W. & Zapata, Hector O., 1999. "Dynamic Analysis With Time Series Models: Simulation And Empirical Evidence," 1999 Annual meeting, August 8-11, Nashville, TN 21526, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  36. Michael S. Haigh & Nikos K. Nomikos & David A. Bessler, 2004. "Integration and Causality in International Freight Markets: Modeling with Error Correction and Directed Acyclic Graphs," Southern Economic Journal, Southern Economic Association, vol. 71(1), pages 145-162, July.
  37. Puonti, Päivi, 2016. "Fiscal multipliers in a structural VEC model with mixed normal errors," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 144-154.
  38. George Georgopoulos, 2008. "The J-curve Revisited: An Empirical Analysis for Canada," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 36(3), pages 315-332, September.
  39. Henryk Gurgul & Łukasz Lach, 2011. "The Nexus between Improvements in Economic Freedom and Growth: Evidence from CEE Countries in Transition," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 3(3), pages 133-168, September.
  40. Theologos Pantelidis & Nikitas Pittis, 2009. "Estimation and forecasting in first-order vector autoregressions with near to unit roots and conditional heteroscedasticity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 612-630.
  41. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2014. "Dynamic Factor Models, Cointegration and Error Correction Mechanisms," Working Papers ECARES ECARES 2014-14, ULB -- Universite Libre de Bruxelles.
  42. Montes, Gabriel Caldas, 2013. "Credibility and monetary transmission channels under inflation targeting: An econometric analysis from a developing country," Economic Modelling, Elsevier, vol. 30(C), pages 670-684.
  43. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April.
  44. David Dupuis & David Tessier, 2003. "The U.S. Stock Market and Fundamentals: A Historical Decomposition," Staff Working Papers 03-20, Bank of Canada.
  45. Narayan, Seema & Smyth, Russell, 2015. "The financial econometrics of price discovery and predictability," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 380-393.
  46. Hyunjoon Lim & Sangho Kim, 2004. "Does the Solow Residual for Korea Reflect Pure Technology Shocks?," Econometric Society 2004 Far Eastern Meetings 777, Econometric Society.
  47. Steven Morling, 2002. "Output Adjustment in Developing Countries: a Structural Var Approach," Discussion Papers Series 307, School of Economics, University of Queensland, Australia.
  48. David Dupuis & David Tessier, 2004. "The U.S. Stock Market and Fundamentals: A Historical Decomposition," Money Macro and Finance (MMF) Research Group Conference 2004 73, Money Macro and Finance Research Group.
  49. Tam, Pui Sun, 2014. "A spatial–temporal analysis of East Asian equity market linkages," Journal of Comparative Economics, Elsevier, vol. 42(2), pages 304-327.
  50. Peter Pedroni & David Canning, 2004. "The Effect of Infrastructure on Long Run Economic Growth," Department of Economics Working Papers 2004-04, Department of Economics, Williams College.
  51. Alexandre Manuel Angelo da Silva & José Oswaldo Cândido Júnior, 2009. "Impactos Macroeconômicos dos Gastos Públicos na América Latina," Discussion Papers 1434, Instituto de Pesquisa Econômica Aplicada - IPEA.
  52. Xiaojie Xu, 2017. "Contemporaneous causal orderings of US corn cash prices through directed acyclic graphs," Empirical Economics, Springer, vol. 52(2), pages 731-758, March.
  53. Arai, Yoichi & Yamamoto, Taku, 2000. "Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems," Economics Letters, Elsevier, vol. 67(3), pages 261-271, June.
  54. Chao, John C. & Phillips, Peter C. B., 1999. "Model selection in partially nonstationary vector autoregressive processes with reduced rank structure," Journal of Econometrics, Elsevier, vol. 91(2), pages 227-271, August.
  55. Rosemary Rossiter, 2002. "Structural Cointegration Analysis of Private and Public Investment," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 1(1), pages 59-68, April.
  56. Daniel S Kanda, 2008. "Spillovers to Ireland," IMF Working Papers 08/2, International Monetary Fund.
  57. Joshua Hall & John Levendis, 2017. "The Efficient Corruption Hypothesis and the Dynamics between Economic Freedom, Corruption, and National Income," Working Papers 17-06, Department of Economics, West Virginia University.
  58. Khalaf, Lynda & Saunders, Charles J., 2017. "Monte Carlo forecast evaluation with persistent data," International Journal of Forecasting, Elsevier, vol. 33(1), pages 1-10.
  59. Michael S. Haigh & David A. Bessler, 2004. "Causality and Price Discovery: An Application of Directed Acyclic Graphs," The Journal of Business, University of Chicago Press, vol. 77(4), pages 1099-1121, October.
  60. Sakellaris, Plutarchos & Spilimbergo, Antonio, 2000. "Business cycles and investment in human capital: international evidence on higher education," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 52(1), pages 221-256, June.
  61. Yvon Fauvel & Alain Paquet & Christian Zimmermann, 1999. "A Survey on Interest Rate Forecasting," Cahiers de recherche CREFE / CREFE Working Papers 87, CREFE, Université du Québec à Montréal.
  62. Dekle, Robert & Hsiao, Cheng & Wang, Siyan, 2001. " Do High Interest Rates Appreciate Exchange Rates during Crisis? The Korean Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(3), pages 359-380, July.
  63. St-Amant, P. & Tessier, D., 1998. "A Discussion of the Reliability of Results Obtained with Long-Run Identifying Restrictions," Staff Working Papers 98-4, Bank of Canada.
  64. Choi, Sangyup & Loungani, Prakash, 2015. "Uncertainty and unemployment: The effects of aggregate and sectoral channels," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 344-358.
  65. Michael Donadelli, 2015. "Google search-based metrics, policy-related uncertainty and macroeconomic conditions," Applied Economics Letters, Taylor & Francis Journals, vol. 22(10), pages 801-807, July.
  66. Valter Di Giacinto & Giacinto Micucci & Pasqualino Montanaro, 2010. "Dynamic Macroeconomic Effects of Public Capital: Evidence from Regional Italian Data," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 69(1), pages 29-66, April.
  67. Adugna Olani, 2016. "Dynamic Capital inflow transmission of monetary policy to emerging markets," Working Papers 1358, Queen's University, Department of Economics.
  68. Ward Romp & Jakob de Haan, 2007. "Public Capital and Economic Growth: A Critical Survey," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 8(s1), pages 6-52, 04.
  69. Awokuse, Titus O., 2002. "Relative Price Dynamics And Monetary Policy: Evidence From Directed Graphs," 2002 Annual meeting, July 28-31, Long Beach, CA 19794, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  70. Tenhofen Jörn & Wolff Guntram B. & Heppke-Falk Kirsten H., 2010. "The Macroeconomic Effects of Exogenous Fiscal Policy Shocks in Germany: A Disaggregated SVAR Analysis," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 230(3), pages 328-355, June.
  71. Linzert Tobias, 2004. "Sources of German Unemployment: Evidence from a Structural VAR Model / Die Hintergründe deutscher Arbeitslosigkeit: Evidenz von einem Strukturellen VAR," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(3), pages 317-336, June.
  72. Elbourne, Adam, 2008. "The UK housing market and the monetary policy transmission mechanism: An SVAR approach," Journal of Housing Economics, Elsevier, vol. 17(1), pages 65-87, March.
  73. Sangyup Choi & Prakash Loungani, 2015. "Uncertainty and Unemployment; The Effects of Aggregate and Sectoral Channels," IMF Working Papers 15/36, International Monetary Fund.
  74. Wu, Jyh-Lin & Lee, Chingnun & Wang, Tzu-Wei, 2011. "A re-examination on dissecting the purchasing power parity puzzle," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 572-586, April.
  75. Hjelm, Göran & Stockhammar, Pär, 2016. "Short Run Effects of Fiscal Policy on GDP and Employment: Swedish Evidence," Working Papers 147, National Institute of Economic Research.
  76. Iris Claus, 1999. "Estimating potential output for New Zealand: a structural VAR approach," Reserve Bank of New Zealand Discussion Paper Series DP2000/03, Reserve Bank of New Zealand.
  77. Imke Brüggemann, 2003. "Measuring Monetary Policy in Germany: A Structural Vector Error Correction Approach," German Economic Review, Verein für Socialpolitik, vol. 4, pages 307-339, 08.
  78. Lalonde, René & Page, Jennifer & St-Amant, Pierre, 1998. "Une nouvelle méthode d'estimation de l'écart de production et son application aux États-Unis, au Canada et à l'Allemagne," Staff Working Papers 98-21, Bank of Canada.
  79. Mario Lefebvre, 1997. "Les marchés du travail régionaux : une comparaison entre le Canada et les États-Unis," Staff Working Papers 97-17, Bank of Canada.
  80. Ralf Brüggemann, 2006. "Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions," SFB 649 Discussion Papers SFB649DP2006-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  81. repec:pri:wwseco:dp233 is not listed on IDEAS
  82. Aznar, A. & Domingo, C., 2006. "Determining long-run neutrality in a partially nonstationary model," Economics Letters, Elsevier, vol. 91(2), pages 236-242, May.
  83. BATTISTI,Michele, 2006. "Assessing persistence in the Italian rate of unemployment in presence of structural breaks and regional asymmetries, 1977 to 2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3).
  84. Héctor Bravo L. & Carlos García T. & Verónica Mies M. & Matías Tapia G., 2003. "Heterogeneidad de la Transmisión Monetaria: Efectos Sectoriales y Regionales," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 6(3), pages 5-26, December.
  85. Karen Davtyan, 2016. "Interrelation among Economic Growth, Income Inequality, and Fiscal Performance: Evidence from Anglo-Saxon Countries," Hacienda Pública Española, IEF, vol. 217(2), pages 37-66, June.
  86. Çatik, A. Nazif & Önder, Özlem, 2013. "An asymmetric analysis of the relationship between oil prices and output: The case of Turkey," Economic Modelling, Elsevier, vol. 33(C), pages 884-892.
  87. Jasper de Jong & Marien Ferdinandusse & Josip Funda, 2017. "Public capital in the 21st century: As productive as ever?," DNB Working Papers 542, Netherlands Central Bank, Research Department.
  88. Awokuse, Titus O., 2005. "Impact of Macroeconomic Policies on Agricultural Prices," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 34(2), October.
  89. Ozdemir, Zeynel Abidin & Gokmenoglu, Korhan & Ekinci, Cagdas, 2013. "Persistence in crude oil spot and futures prices," Energy, Elsevier, vol. 59(C), pages 29-37.
  90. repec:ira:wpaper:201405 is not listed on IDEAS
  91. Dutt, Amitava Krishna & Mukhopadhyay, Kajal, 2005. "Globalization and the inequality among nations: A VAR approach," Economics Letters, Elsevier, vol. 88(3), pages 295-299, September.
  92. St-Amant, P. & Tessier, D., 1998. "Tendance des dépenses publiques et de l'inflation et évolution comparative du taux de chômage au Canada et aux États-Unis," Staff Working Papers 98-3, Bank of Canada.
  93. Renata Grzeda Latocha & Gernot Nerb, 2004. "Modelling Short-term Interest Rates in the Euro Area Using Business Survey Data," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2004(1), pages 43-69.
  94. Barbara Rossi, 2007. "Expectations hypotheses tests at Long Horizons," Econometrics Journal, Royal Economic Society, vol. 10(3), pages 554-579, November.
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