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Citations for "Statistical Inference in Instrumental Variables"

by Peter C.B. Phillips & Bruce E. Hansen

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  1. Helle Bunzel, 2004. "Fixed Bandwidth Asymptotics in Single Equation Models of Cointegration with an Application to Money Demand," Econometric Society 2004 North American Summer Meetings 219, Econometric Society.
  2. Robert A. Amano & Tony S. Wirjanto, 1995. "An Empirical Investigation into Government Spending and Private Sector Behaviour," Macroeconomics 9502005, EconWPA.
  3. Robert A. Amano, . "Empirical Evidence on the Cost of Adjustment and Dynamic Labour Demand," Staff Working Papers 95-3, Bank of Canada.
  4. Oscar Bajo-Rubio & Sosvilla-Rivero Simon, 2001. "A Quantitative Analysis of the Effects of Capital Controls: Spain, 1986-1990," International Economic Journal, Taylor & Francis Journals, vol. 15(3), pages 129-146.
  5. Lavan Mahadeva & Katerina Smidkova, 2004. "Modelling transmission mechanism of monetary policy in the Czech Republic," Macroeconomics 0402032, EconWPA.
  6. Chihwa Kao & Min-Hsien Chiang, 1997. "On the Estimation and Inference of a Cointegrated Regression in Panel Data," Econometrics 9703001, EconWPA.
  7. Carstensen, Kai, 2004. "Is European Money Demand Still Stable?," Kiel Working Papers 1179, Kiel Institute for the World Economy (IfW).
  8. David Barlow & Roxana Radulescu, 2002. "Purchasing Power Parity in the Transition: The Case of the Romanian Leu Against the Dollar," Post-Communist Economies, Taylor & Francis Journals, vol. 14(1), pages 123-135.
  9. Phillips, P.C.B., 1990. "Time Series Regression With a Unit Root and Infinite-Variance Errors," Econometric Theory, Cambridge University Press, vol. 6(01), pages 44-62, March.
  10. Peter C.B. Phillips & Bruce E. Hansen, 1988. "Estimation and Inference in Models of Cointegration: A Simulation Study," Cowles Foundation Discussion Papers 881, Cowles Foundation for Research in Economics, Yale University.
  11. Oscar Bajo-Rubio & M. Dolores Montávez-Garcés, 2002. "Was there Monetary Autonomy in Europe on the eve of EMU? The German Dominance Hypothesis Re-Examined," Journal of Applied Economics, Universidad del CEMA, vol. 5, pages 185-207, November.
  12. Sushanta Mallick, 2004. "A dynamic macroeconometric model for short-run stabilization in India," Applied Economics, Taylor & Francis Journals, vol. 36(3), pages 261-276.
  13. Park, Joon & Chung, Heetaik, 2005. "Nonstationary Nonlinear Heteroskedasticity in Regression," Working Papers 2004-02, Rice University, Department of Economics.
  14. James H. Stock & Mark W. Watson, 1989. "A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems," NBER Technical Working Papers 0083, National Bureau of Economic Research, Inc.
  15. Tony Wirjanto, 2004. "Exploring consumption-based asset pricing model with stochastic-trend forcing processes," Applied Economics, Taylor & Francis Journals, vol. 36(14), pages 1591-1597.
  16. 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.
  17. Michael D. Bordo & Ronald MacDonald, 1997. "Violations of the `Rules of the Game' and the Credibility of the Classical Gold Standard, 1880-1914," NBER Working Papers 6115, National Bureau of Economic Research, Inc.
  18. Martin Wagner & Georg Müller-Fürstenberger, 2004. "The Carbon Kuznets Curve: A Cloudy Picture Emitted by Bad Econometrics?," Diskussionsschriften dp0418, Universitaet Bern, Departement Volkswirtschaft.
  19. Bigsten, Arne & Durevall, Dick, 2004. "Kenya’s Development Path and Factor Prices 1964-2000," Working Papers in Economics 142, University of Gothenburg, Department of Economics.
  20. Katsimi, Margarita & Moutos, Thomas, 2011. "Inequality and the US import demand function," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 492-506, April.
  21. Michael J. Dueker, 1993. "Hypothesis testing with near-unit roots: the case of long-run purchasing-power parity," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 37-48.
  22. Phillips, Peter C B & McFarland, James W & McMahon, Patrick C, 1996. "Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 1-22, Jan.-Feb..
  23. Kevin Nell, 2003. "A 'Generalised' Version of the Balance-of-Payments Growth Model: An application to neighbouring regions," International Review of Applied Economics, Taylor & Francis Journals, vol. 17(3), pages 249-267.
  24. Martin Wagner & Jaroslava Hlouskova, 2004. "What's Really the Story with this Balassa-Samuelson Effect in the CEECs?," Diskussionsschriften dp0416, Universitaet Bern, Departement Volkswirtschaft.
  25. Masao Ogaki & Nelson Mark & Donggyu Sul, 2004. "Dynamic Seemingly Unrelated Cointegrating Regression," Working Papers 04-02, Ohio State University, Department of Economics.
  26. JORDAN, Alwyn & STANFORD, Sunielle, 2006. "A Derivation Of The Optimal Current Account Balance For Barbados, Jamaica And Trinidad And Tobago," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(1).
  27. Antonio MontanÈs & Marcos Sanso-Navarro, . "Another look at long-horizon uncovered interest parity," Studies on the Spanish Economy 221, FEDEA.
  28. Warren, Paul & Yan, Beiling & Bernard, Andre, 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.
  29. Robert A. Amano & Tony S. Wirjanto, 1998. "Government Expenditures and the Permanent-Income Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 1(3), pages 719-730, July.
  30. B. Bhaskara Rao & Rup Singh, 2007. "Estimating export equations," Applied Economics Letters, Taylor & Francis Journals, vol. 14(11), pages 799-802.
  31. Stefan Gerlach & Katrin Assenmacher-Wesche, 2006. "Interpreting Euro area inflation at high and low frequencies," BIS Working Papers 195, Bank for International Settlements.
  32. Warren, Paul & Yan, Beiling & Bernard, Andre, 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.
  33. Holmes, M, 2004. "Nominal Exchange Rates Adjustment and Long-Run Competitiveness in Less Developed Countries," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(3).
  34. Yuichi Kitamura & Peter C.B. Phillips, 1994. "Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments," Cowles Foundation Discussion Papers 1082, Cowles Foundation for Research in Economics, Yale University.
  35. Peter C.B. Phillips, 1995. "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's," Cowles Foundation Discussion Papers 1102, Cowles Foundation for Research in Economics, Yale University.
  36. Eleni Constantinou & Avo Kazandjian & George Kouretas & Vera Tahmazian, 2005. "Common Stochastic Trends among the Cyprus Stock Exchange and the ASE, LSE and NYSE," Working Papers 0520, University of Crete, Department of Economics.
  37. M. Dolores Gadea & Eva Pardos & Claudia Perez-Fornies, 2004. "A Long-Run Analysis Of Defence Spending In The Nato Countries (1960-99)," Defence and Peace Economics, Taylor & Francis Journals, vol. 15(3), pages 231-249.
  38. Robert de Jong, 2004. "Nonlinear estimators with integrated regressors but without exogeneity," Econometric Society 2004 North American Winter Meetings 324, Econometric Society.
  39. MoonJoong Tcha & Jae H. Kim, 2003. "Exchange Rate Pass-Through and Market Response: The Case of the US Steel Market," Economics Discussion / Working Papers 03-02, The University of Western Australia, Department of Economics.
  40. Mustapha Baghli, 2004. "Modelling the FF/MM rate by threshold cointegration analysis," Applied Economics, Taylor & Francis Journals, vol. 36(6), pages 533-548.
  41. 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.
  42. de la Croix, David & Palm, Franz & Urbain, Jean-Pierre, 1996. "Labor market dynamics when effort depends on wage growth comparisons," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1996019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Sep 1996.
  43. Fève, Patrick & Hénin, Pierre-Yves, 1998. "Assessing effective sustainability of fiscal policy within the G-7," CEPREMAP Working Papers (Couverture Orange) 9815, CEPREMAP.
  44. Vasco De & A. Gabriel & Artur C. B. Da Silva Lopes & Luis Nunes, 2003. "Instability in cointegration regressions: a brief review with an application to money demand in Portugal," Applied Economics, Taylor & Francis Journals, vol. 35(8), pages 893-900.
  45. Peter C.B. Phillips, 1988. "Optimal Inference in Cointegrated Systems," Cowles Foundation Discussion Papers 866R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
  46. Phillips, Peter C B, 1994. "Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models," Econometrica, Econometric Society, vol. 62(1), pages 73-93, January.
  47. Werner Bonte, 2003. "Does federally financed business R&D matter for US productivity growth?," Applied Economics, Taylor & Francis Journals, vol. 35(15), pages 1619-1625.
  48. Peijie Wang & Colin Lizieri & George Matysiak, 1997. "Information asymmetry, long-run relationship and price discovery in property investment markets," The European Journal of Finance, Taylor & Francis Journals, vol. 3(3), pages 261-275.
  49. David E. Rapach & Jack K. Strauss, 2006. "The long-run relationship between consumption and housing wealth in the Eighth District states," Regional Economic Development, Federal Reserve Bank of St. Louis, issue Oct, pages 140-147.
  50. Phillips, Peter C.B., 1995. "Robust Nonstationary Regression," Econometric Theory, Cambridge University Press, vol. 11(05), pages 912-951, October.
  51. Hjalmarsson, Erik, 2005. "Predictive regressions with panel data," Working Papers in Economics 160, University of Gothenburg, Department of Economics.
  52. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
  53. Westerlund, Joakim, 2005. "Panel Cointegration Tests of the Fisher Hypothesis," Working Papers 2005:10, Lund University, Department of Economics.
  54. Bunzel, Helle, 2006. "FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS," Econometric Theory, Cambridge University Press, vol. 22(04), pages 743-755, August.
  55. Zeshan Atique & Mohsin Hasnain Ahmad & Usman Azhar, 2004. "The Impact of FDI on Economic Growth under Foreign Trade Regimes: A Case Study of Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 43(4), pages 707-718.
  56. Massimiliano Marcellino, . "Further Results on MSFE Encompassing," Working Papers 143, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  57. Lindblad, Hans & Sellin, Peter, 2003. "The Equilibrium Rate of Unemployment and the Real Exchange Rate: An Unobserved Components System Approach," Working Paper Series 152, Sveriges Riksbank (Central Bank of Sweden).
  58. Croix,David,de la & Urbain,Jean-Pierre, 1996. "Intertemporal substitution in import demand and habit formation ," Research Memorandum 003, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  59. Gabriel Pons Rotger, 2000. "Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions," Econometric Society World Congress 2000 Contributed Papers 1317, Econometric Society.
  60. A. C. Arize & Malindretos John, 2000. "Does Inflation Variability Affect the Demand for Money in China? Evidence from Error-Correction Models," International Economic Journal, Taylor & Francis Journals, vol. 14(1), pages 47-60.
  61. Ansgar Belke & Thorsten Polleit, 2005. "(How) Do Stock Market Returns React to Monetary Policy? - An ARDL Cointegration Analysis for Germany," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 253/2005, Department of Economics, University of Hohenheim, Germany.
  62. Yum K. Kwan, 2006. "The Direct Substitution Between Government and Private Consumption in East Asia," NBER Working Papers 12431, National Bureau of Economic Research, Inc.
  63. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, University of Gothenburg, Department of Economics.
  64. Carl Bonham & Byron Gangnes & Ari Van Assche, 2007. "Fragmentation and East Asia's information technology trade," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 215-228.
  65. Robert A. Amano & Tony S. Wirjanto, 1994. "The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation," Econometrics 9406002, EconWPA.
  66. Masano Aoki & Riccardo Fiorito, 1992. "Analysis of U.S. Real GNP and Unemployment Interactions: State Space Approach," UCLA Economics Working Papers 647, UCLA Department of Economics.
  67. Ramzi Issa & Robert Lafrance & John Murray, 2006. "The Turning Black Tide: Energy Prices and the Canadian Dollar," Staff Working Papers 06-29, Bank of Canada.
  68. Peter C.B. Phillips, 1991. "The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence," Cowles Foundation Discussion Papers 1000, Cowles Foundation for Research in Economics, Yale University.
  69. Oscar Bajo-Rubio & M. Dolores Mont·vez-GarcÈs, . "There was monetary autonomy in Europe on the eve of EMU?. The German dominance hypothesis re-examined," Studies on the Spanish Economy 52, FEDEA.
  70. Nielsen M.O., 2004. "Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 331-345, July.
  71. Robert A. Amano & Simon van Norden, 1995. "Exchange Rates and Oil Prices," International Finance 9509001, EconWPA.
  72. Andrés González & Luis Fernando Melo & Carlos Esteban Posada, 2006. "Inflación y dinero en Colombia: otro modelo P-estrella," BORRADORES DE ECONOMIA 002851, BANCO DE LA REPÚBLICA.
  73. Oscar Bajo & Maria Montero Mu–oz, 1999. "Foreign Direct Investment and Trade: A Causality Analysis," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 9902, Departamento de Economía - Universidad Pública de Navarra.
  74. Peter C.B. Phillips, 1993. "Fully Modified Least Squares and Vector Autoregression," Cowles Foundation Discussion Papers 1047, Cowles Foundation for Research in Economics, Yale University.
  75. Donald W. K. Andrews & C. John McDermott, 1995. "Nonlinear Econometric Models with Deterministically Trending Variables," Review of Economic Studies, Oxford University Press, vol. 62(3), pages 343-360.
  76. Maria-Helena A. Dias & Joilson Dias & Charles L. Evans, 2004. "Estimation Of The Cyclical Component Of Economic Time Series," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32th Brazilian Economics Meeting] 104, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  77. Oscar Bajo & MarÌa Montero, . "Foreign direct investment and trade: A causality analysis," Studies on the Spanish Economy 06, FEDEA.
  78. Antonio Montañes Bernal & Marcos Sanso Frago, 1996. "Una estimación de la función de importaciones españolas de manufacturas tras la integración en la Union Europea," Investigaciones Economicas, Fundación SEPI, vol. 20(2), pages 195-215, May.
  79. Alexius, Annika, 2000. "Supply Shocks and Real Exchange Rates," Working Paper Series 117, Sveriges Riksbank (Central Bank of Sweden).
  80. Francisco de Castro & José M. González-Páramo & Pablo Hernández de Cos, 2001. "Evaluating the dynamics of fiscal policy in Spain: patterns of interdependence and consistency of public expenditure and revenues," Working Papers 0103, Banco de España;Working Papers Homepage.
  81. Jushan Bai & Chihwa Kao, 2005. "On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence," Center for Policy Research Working Papers 75, Center for Policy Research, Maxwell School, Syracuse University.
  82. Robert A. Amano & Wai-Ming Ho & Tony S. Wirjanto, 1999. "Intraperiod and Intertemporal Substitution in Import Demand," Cahiers de recherche CREFE / CREFE Working Papers 84, CREFE, Université du Québec à Montréal.
  83. Martin D. Evans & Karen K. Lewis, 1990. "Do Stationary Risk Premia Explain It All? Evidence from the Term Struct," NBER Working Papers 3451, National Bureau of Economic Research, Inc.
  84. Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Nonstationary Panel Data Analysis: An Overview of Some Recent Developments," Cowles Foundation Discussion Papers 1221, Cowles Foundation for Research in Economics, Yale University.
  85. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, Department of Economics and Business Economics, Aarhus University.
  86. Peter C.B. Phillips, 1991. "Unit Roots," Cowles Foundation Discussion Papers 998, Cowles Foundation for Research in Economics, Yale University.
  87. Michael Reutter, 2000. "Hysteresis in West German Unemployment Reconsidered," CESifo Working Paper Series 240, CESifo Group Munich.
  88. Joakim Westerlund, 2006. "Testing for Panel Cointegration with Multiple Structural Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(1), pages 101-132, 02.
  89. Erdal Ozmen & Kağan Parmaksiz, 2003. "Exchange rate regimes and the Feldstein-Horioka puzzle: the French evidence," Applied Economics, Taylor & Francis Journals, vol. 35(2), pages 217-222.
  90. Anne-Marie Brook & David Hargreaves, 2001. "PPP-based analysis of New Zealand's equilibrium exchange rate," Reserve Bank of New Zealand Discussion Paper Series DP2001/01, Reserve Bank of New Zealand.
  91. Agnès Bénassy-Quéré & Pascale Duran-Vigneron & Amina Lahrèche-Revil & Mignon, Valerie, 2004. "Burden Sharing and Exchange-Rate Misalignments within the Group of Twenty," Working Papers 2004-13, CEPII research center.
  92. Martin Wagner & Jaroslava Hlouskova, 2010. "The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study," Econometric Reviews, Taylor & Francis Journals, vol. 29(2), pages 182-223, April.
  93. SimÛn Sosvilla-Rivero & Irene Olloqui, . "Instability in cointegration regressions:Evidence from inflation rate convergence in EU countries," Studies on the Spanish Economy 53, FEDEA.
  94. Fève, Patrick & Hénin, Pierre-Yves & Jolivaldt, Philippe, 1998. "Feedback covariates unit root tests : an application to the sustainability of fiscal policy," CEPREMAP Working Papers (Couverture Orange) 9810, CEPREMAP.
  95. Pilegaard, Rasmus & Durré, Alain & Evjen, Snorre, 2003. "Estimating risk premia in money market rates," Working Paper Series 0221, European Central Bank.
  96. Erik Hjalmarsson, 2006. "New methods for inference in long-run predictive regressions," International Finance Discussion Papers 853, Board of Governors of the Federal Reserve System (U.S.).
  97. Jonathan H. Wright, 1999. "A simple approach to robust inference in a cointegrating system," International Finance Discussion Papers 654, Board of Governors of the Federal Reserve System (U.S.).
  98. Lonnie K. Stevans & David N. Sessions, 2005. "The Relationship Between Poverty, Economic Growth, and Inequality Revisited," GE, Growth, Math methods 0502002, EconWPA.
  99. Norah Al-Ballaa, 2005. "Test for cointegration based on two-stage least squares," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(7), pages 707-713.
  100. Hasan Bakhshi & Anthony Yates, 1998. "Are UK inflation expectations rational?," Bank of England working papers 81, Bank of England.
  101. Giuseppe Nicoletti, 1991. "Consommation privée et endettement public en Italie et en Belgique : existe-t-il une relation stable ?," Revue de l'OFCE, Programme National Persée, vol. 37(1), pages 79-121.
  102. Michael T. K. Horvath & Mark W. Watson, 1994. "Testing for Cointegration When Some of the Contributing Vectors are Known," NBER Technical Working Papers 0171, National Bureau of Economic Research, Inc.
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