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Cointegration and Error Correction Mechanisms

Citations

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Cited by:

  1. Su Zhou, 1998. "Exchange rate systems and linkages in the pacific basin," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 26(1), pages 66-84, March.
  2. Bardsen, Gunnar, 1990. "Dynamic Modelling And The Demand For Narrow Money In Norway," Economic Research Papers 268479, University of Warwick - Department of Economics.
  3. Uwe Hassler & Jürgen Wolters, 2006. "Autoregressive distributed lag models and cointegration," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 59-74, March.
  4. Aleksander Janeš & Armand Faganel, 2015. "Managing Sustainable Profit," MIC 2015: Managing Sustainable Growth; Proceedings of the Joint International Conference, Portorož, Slovenia, 28–30 May 2015,, University of Primorska, Faculty of Management Koper.
  5. Heejoon Kang, 1999. "The Applied Cointegration Analysis for the Open Economy: A Critical Review," Open Economies Review, Springer, vol. 10(3), pages 325-346, July.
  6. Bardsen, Gunnar & Klovland, Jan Tore, 1990. "Finding The Right Nominal Anchor: The Cointegration Of Money, Credit And Nominal Income In Norway," Economic Research Papers 268385, University of Warwick - Department of Economics.
  7. Fragiskos Archontakis, 1998. "An alternative proof of Granger’s Representation Theorem forI(1) systems through Jordan matrices," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 7(2), pages 111-127, August.
  8. Ghoddusi, Hamed & Emamzadehfard, Sahar, 2017. "Optimal hedging in the US natural gas market: The effect of maturity and cointegration," Energy Economics, Elsevier, vol. 63(C), pages 92-105.
  9. Rahman, Mizanur, 2008. "The Impact of a Common Currency on East Asian Production Networks and China’s Exports Behavior," MPRA Paper 13931, University Library of Munich, Germany.
  10. Wolff, Christian & van Tol, Michel R, 2005. "Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration," CEPR Discussion Papers 4958, C.E.P.R. Discussion Papers.
  11. Escribano, Alvaro & Pfann, Gerard A., 1998. "Non-linear error correction, asymmetric adjustment and cointegration," Economic Modelling, Elsevier, vol. 15(2), pages 197-216, April.
  12. Hendry, David F. & Ericsson, Neil R., 1991. "Modeling the demand for narrow money in the United Kingdom and the United States," European Economic Review, Elsevier, vol. 35(4), pages 833-881, May.
  13. Chen, Sheng-Syan & Lee, Cheng-few & Shrestha, Keshab, 2003. "Futures hedge ratios: a review," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(3), pages 433-465.
  14. Jha, Jaya & Roe, Terry L., 2016. "U.S. Agricultural Export Competitiveness and Export Market Diversification," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 236250, Agricultural and Applied Economics Association.
  15. Podivinsky, Jan M., 1998. "Testing misspecified cointegrating relationships," Economics Letters, Elsevier, vol. 60(1), pages 1-9, July.
  16. Andrade, Isabel, 1992. "The relationship between inflation and relative price variability: A multivariate approach," Discussion Paper Series In Economics And Econometrics 9203, Economics Division, School of Social Sciences, University of Southampton.
  17. Garratt, Anthony & Koop, Gary & Mise, Emi & Vahey, Shaun P., 2009. "Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 480-491.
  18. Annika Alexius & Mikael Carlsson, 2005. "Measures of Technology and the Business Cycle," The Review of Economics and Statistics, MIT Press, vol. 87(2), pages 299-307, May.
  19. Alexius, Annika & Carlsson, Mikael, 2001. "Measures of Technology and the Business Cycle: Evidence from Sweden and the U.S," Working Paper Series 174, Trade Union Institute for Economic Research.
  20. Haldrup, Niels & Salmon, Mark, 1998. "Representations of I(2) cointegrated systems using the Smith-McMillan form," Journal of Econometrics, Elsevier, vol. 84(2), pages 303-325, June.
  21. Kumah, F.Y., 1997. "Common stochastic trends and policy shocks in the open economy : Empirical essays in international finance and monetary policy," Other publications TiSEM db2d91ec-ae4d-40f2-b72f-7, Tilburg University, School of Economics and Management.
  22. Ericsson, Neil R., 1992. "Cointegration, exogeneity, and policy analysis: An overview," Journal of Policy Modeling, Elsevier, vol. 14(3), pages 251-280, June.
  23. Yugang He & Panpan Huang, 2022. "Exploring the Forms of the Economic Effects of Renewable Energy Consumption: Evidence from China," Sustainability, MDPI, vol. 14(13), pages 1-16, July.
  24. Hendry, David F., 2000. "On detectable and non-detectable structural change," Structural Change and Economic Dynamics, Elsevier, vol. 11(1-2), pages 45-65, July.
  25. John Pippenger, 1991. "Forward rates as predictors of future spot rates in small open economies: The case of Kuwait," Open Economies Review, Springer, vol. 2(2), pages 183-201, June.
  26. Lyhagen, Johan, 1998. "Maximum likelihood estimation of the multivariate fractional cointegrating model," SSE/EFI Working Paper Series in Economics and Finance 233, Stockholm School of Economics.
  27. Podivinsky, Jan M., 1992. "Small sample properties of tests of linear restrictions on cointegrating vectors and their weights," Economics Letters, Elsevier, vol. 39(1), pages 13-18, May.
  28. David F. Hendry & Massimiliano Marcellino & Chiara Monfardini, 2008. "Foreword," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 711-714, December.
  29. 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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