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Statistical Inference in Instrumental Variables

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Cited by:

  1. 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.
  2. Sushanta Mallick, 2004. "A dynamic macroeconometric model for short-run stabilization in India," Applied Economics, Taylor & Francis Journals, vol. 36(3), pages 261-276.
  3. Massimiliano Marcellino, "undated". "Further Results on MSFE Encompassing," Working Papers 143, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  4. 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.
  5. 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.
  6. 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.
  7. Westerlund, Joakim, 2005. "Panel Cointegration Tests of the Fisher Hypothesis," Working Papers 2005:10, Lund University, Department of Economics.
  8. van Amano, Robert A & Norden, Simon, 1998. "Exchange Rates and Oil Prices," Review of International Economics, Wiley Blackwell, vol. 6(4), pages 683-694, November.
  9. 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.
  10. Michael Reutter, 2000. "Hysteresis in West German Unemployment Reconsidered," CESifo Working Paper Series 240, CESifo.
  11. 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.
  12. Agnès Bénassy-Quéré & Pascale Duran-Vigneron & Amina Lahrèche-Révil & Valérie Mignon, 2004. "Burden sharing and exchange rate misalignments within the Group of Twenty," Post-Print hal-03550853, HAL.
  13. 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.
  14. 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.
  15. 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.
  16. Antonis Adam & Margarita Katsimi & Thomas Moutos, 2012. "Inequality and the import demand function," Oxford Economic Papers, Oxford University Press, vol. 64(4), pages 675-701, October.
  17. 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.
  18. 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.
  19. 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.
  20. Kitamura, Yuichi & Phillips, Peter C. B., 1997. "Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments," Journal of Econometrics, Elsevier, vol. 80(1), pages 85-123, September.
  21. Bunzel, Helle, 2006. "FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS," Econometric Theory, Cambridge University Press, vol. 22(4), pages 743-755, August.
  22. Oscar Bajo-Rubio & María Montero-Muñoz, 2001. "Foreign Direct Investment and Trade: A Causality Analysis," Open Economies Review, Springer, vol. 12(3), pages 305-323, July.
  23. 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, February.
  24. Lavan Mahadeva & Katerina Smidkova, 2004. "Modelling transmission mechanism of monetary policy in the Czech Republic," Macroeconomics 0402032, University Library of Munich, Germany.
  25. Hjalmarsson, Erik, 2005. "Predictive regressions with panel data," Working Papers in Economics 160, University of Gothenburg, Department of Economics.
  26. Donald W. K. Andrews & C. John McDermott, 1995. "Nonlinear Econometric Models with Deterministically Trending Variables," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 62(3), pages 343-360.
  27. Durré, Alain & Evjen, Snorre & Pilegaard, Rasmus, 2003. "Estimating risk premia in money market rates," Working Paper Series 221, European Central Bank.
  28. Simón Sosvilla-Rivero & Irene Olloqui, "undated". "Instability in cointegration regressions:Evidence from inflation rate convergence in EU countries," Studies on the Spanish Economy 53, FEDEA.
  29. 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.
  30. 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.
  31. 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.
  32. 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.
  33. 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.
  34. Robert Amano & Tony S. Wirjanto, "undated". "An Empirical Investigation into Government Spending and Private Sector Behaviour," Staff Working Papers 94-8, Bank of Canada.
  35. Lonnie K. Stevans & David N. Sessions, 2005. "The Relationship Between Poverty, Economic Growth, and Inequality Revisited," GE, Growth, Math methods 0502002, University Library of Munich, Germany.
  36. Wagner, Martin, 2008. "The carbon Kuznets curve: A cloudy picture emitted by bad econometrics?," Resource and Energy Economics, Elsevier, vol. 30(3), pages 388-408, August.
  37. Peter C.B. Phillips, 1991. "Unit Roots," Cowles Foundation Discussion Papers 998, Cowles Foundation for Research in Economics, Yale University.
  38. 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..
  39. 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 32nd Brazilian Economics Meeting] 104, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  40. Eleni Constantinou & Avo Kazandjian & Georgios P. Kouretas & Vera Tahmazian, 2008. "Common Stochastic Trends Among The Cyprus Stock Exchange And The Ase, Lse And Nyse," Bulletin of Economic Research, Wiley Blackwell, vol. 60(4), pages 327-349, October.
  41. Phillips, P.C.B., 1990. "Time Series Regression With a Unit Root and Infinite-Variance Errors," Econometric Theory, Cambridge University Press, vol. 6(1), pages 44-62, March.
  42. 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.
  43. Robert de Jong, 2004. "Nonlinear estimators with integrated regressors but without exogeneity," Econometric Society 2004 North American Winter Meetings 324, Econometric Society.
  44. Antonio Montanés & Marcos Sanso-Navarro, "undated". "Another look at long-horizon uncovered interest parity," Studies on the Spanish Economy 221, FEDEA.
  45. Phillips, Peter C.B., 1995. "Robust Nonstationary Regression," Econometric Theory, Cambridge University Press, vol. 11(5), pages 912-951, October.
  46. 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.
  47. Chung, Heetaik & Park, Joon Y., 2007. "Nonstationary nonlinear heteroskedasticity in regression," Journal of Econometrics, Elsevier, vol. 137(1), pages 230-259, March.
  48. Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2005. "Dynamic Seemingly Unrelated Cointegrating Regressions," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 797-820.
  49. Mustapha Baghli, 2004. "Modelling the FF/MM rate by threshold cointegration analysis," Applied Economics, Taylor & Francis Journals, vol. 36(6), pages 533-548.
  50. B. Bhaskara Rao & Rup Singh, 2007. "Estimating export equations," Applied Economics Letters, Taylor & Francis Journals, vol. 14(11), pages 799-802.
  51. Robert Amano & Tony S. Wirjanto, "undated". "The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation," Staff Working Papers 94-6, Bank of Canada.
  52. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
  53. 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.
  54. Andrés González & Luis Fernando Melo & Carlos Esteban Posada, 2006. "Inflación y dinero en Colombia: otro modelo P-estrella," Borradores de Economia 418, Banco de la Republica de Colombia.
  55. 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.
  56. 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, Taylor & Francis Journals, vol. 5(2), pages 185-207, November.
  57. Gairuzazmi Ghani, 2006. "Balance of payments constrained growth model: an examination of Thirlwall's Hypothesis using McCombie's Individual Country Method," Applied Economics Letters, Taylor & Francis Journals, vol. 13(12), pages 763-768.
  58. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, Department of Economics and Business Economics, Aarhus University.
  59. 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.
  60. 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.
  61. Jean-Pierre Urbain & Franz Palm & David de la Croix, 2000. "Labor market dynamics when effort depends on wage growth comparisons," Empirical Economics, Springer, vol. 25(3), pages 393-419.
  62. Robert Amano, "undated". "Empirical Evidence on the Cost of Adjustment and Dynamic Labour Demand," Staff Working Papers 95-3, Bank of Canada.
  63. 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.
  64. 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.
  65. 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.
  66. Alexius, Annika, 2000. "Supply Shocks and Real Exchange Rates," Working Paper Series 117, Sveriges Riksbank (Central Bank of Sweden).
  67. 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.
  68. 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.
  69. Gabriel Pons Rotger, 2000. "Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions," Econometric Society World Congress 2000 Contributed Papers 1317, Econometric Society.
  70. 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.
  71. 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).
  72. 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).
  73. 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.
  74. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008. "Interpreting euro area inflation at high and low frequencies," European Economic Review, Elsevier, vol. 52(6), pages 964-986, August.
  75. Peter Phillips & Hyungsik Moon, 2000. "Nonstationary panel data analysis: an overview of some recent developments," Econometric Reviews, Taylor & Francis Journals, vol. 19(3), pages 263-286.
  76. 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.
  77. 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.
  78. Aoki, Masanao & Fiorito, Riccardo, 1993. "Analysis of US real GNP and unemployment interactions : State space approach," Journal of Economic Dynamics and Control, Elsevier, vol. 17(3), pages 385-399, May.
  79. Erik Hjalmarsson, 2006. "Inference in Long-Horizon Regressions," International Finance Discussion Papers 853, Board of Governors of the Federal Reserve System (U.S.).
  80. Phillips, Peter C. B., 1998. "Impulse response and forecast error variance asymptotics in nonstationary VARs," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 21-56.
  81. Phillips, Peter C B, 1995. "Fully Modified Least Squares and Vector Autoregression," Econometrica, Econometric Society, vol. 63(5), pages 1023-1078, September.
  82. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, University of Gothenburg, Department of Economics.
  83. 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.
  84. 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.
  85. Chihwa Kao & Min-Hsien Chiang, 1997. "On the Estimation and Inference of a Cointegrated Regression in Panel Data," Econometrics 9703001, University Library of Munich, Germany.
  86. Bernard, André 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.
  87. David De La Croix & Jean-Pierre Urbain, 1998. "Intertemporal substitution in import demand and habit formation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(6), pages 589-612.
  88. Martin Wagner & Jaroslava Hlouskova, 2004. "What's Really the Story with this Balassa-Samuelson Effect in the CEECs?," Diskussionsschriften dp0416, Universitaet Bern, Departement Volkswirtschaft.
  89. 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.
  90. 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.
  91. Oscar Bajo-Rubio & M. Dolores Montávez-Garcés, "undated". "There was monetary autonomy in Europe on the eve of EMU?. The German dominance hypothesis re-examined," Studies on the Spanish Economy 52, FEDEA.
  92. Bernard, André Warren, Paul Yan, Beiling, 2005. "Intégration et coïntégration : les prix dans les secteurs canadien et américain de la fabrication obéissent-ils à la loi du prix unique?," Série de documents de recherche sur l'analyse économique (AE) 2005029f, Statistics Canada, Direction des études analytiques.
  93. 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.).
  94. Hasan Bakhshi & Anthony Yates, 1998. "Are UK inflation expectations rational?," Bank of England working papers 81, Bank of England.
  95. 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.
  96. 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.
  97. 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).
  98. 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.
  99. 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.
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