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Citations for "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models"

by Johansen, Soren

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  1. Katsumi Shimotsu & Morten Ørregaard Nielsen, 2006. "Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach," Working Papers 1029, Queen's University, Department of Economics.
  2. N M Odhiambo, 2008. "Financial Development in Kenya: a Dynamic Test of the Finance-led Growth Hypothesis," Economic Issues Journal Articles, Economic Issues, vol. 13(2), pages 21-36, September.
  3. Johansen, Soren, 1995. "Identifying restrictions of linear equations with applications to simultaneous equations and cointegration," Journal of Econometrics, Elsevier, vol. 69(1), pages 111-132, September.
  4. John V. Duca & John Muellbauer & Anthony Murphy, 2011. "Shifting credit standards and the boom and bust in U.S. house prices," LSE Research Online Documents on Economics 58533, London School of Economics and Political Science, LSE Library.
  5. Paruolo, Paolo, 1996. "On the determination of integration indices in I(2) systems," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 313-356.
  6. Cecilia Bermúdez, 2014. "La racionalidad en la formación de expectativas. Crítica de la hipótesis de expectativas racionales," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 16(30), pages 83-97, January-J.
  7. Guillermo Calvo & Carmen Reinhart & Carlos Végh, 1994. "La tasa de cambio real como meta de política: teoría y evidencia," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 13(25), pages 7-50, Junio.
  8. Chen, Yu-chin & Turnovsky, Stephen J. & Zivot, Eric, 2014. "Forecasting inflation using commodity price aggregates," Journal of Econometrics, Elsevier, vol. 183(1), pages 117-134.
  9. Nepal, R. & Jamasb, T., 2011. "Market Integration, Efficiency, and Interconnectors: The Irish Single Electricity Market," Cambridge Working Papers in Economics 1144, Faculty of Economics, University of Cambridge.
  10. Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk, 2014. "Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Tinbergen Institute Discussion Papers 14-039/III, Tinbergen Institute.
  11. Peter Rowland, 2003. "Exchange Rate Pass-Through To Domestic Prices: The Case Of Colombia," BORRADORES DE ECONOMIA 002683, BANCO DE LA REPÚBLICA.
  12. Ahmad, Rubi & Rhee, S. Ghon & Wong, Yuen Meng, 2012. "Foreign exchange market efficiency under recent crises: Asia-Pacific focus," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1574-1592.
  13. Carmen Gloria Silva, 2010. "Forward premium puzzle and term structure of interest rates: the case of New Zealand," Working Papers Central Bank of Chile 570, Central Bank of Chile.
  14. Camarero, Mariam & Forte, Anabel & Garcia-Donato, Gonzalo & Mendoza, Yurena & Ordoñez, Javier, 2015. "Variable selection in the analysis of energy consumption–growth nexus," Energy Economics, Elsevier, vol. 52(PA), pages 207-216.
  15. Qu, Zhongjun & Perron, Pierre, 2007. "A Modified Information Criterion For Cointegration Tests Based On A Var Approximation," Econometric Theory, Cambridge University Press, vol. 23(04), pages 638-685, August.
  16. Catherine Bruno, 1995. "L'Allemagne joue-t-elle le rôle de locomotive vis-à-vis de la France ?," Revue de l'OFCE, Programme National Persée, vol. 53(1), pages 165-195.
  17. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "“Short-run and long-run effects of public debt on economic performance: Evidence from EMU countries”," IREA Working Papers 201522, University of Barcelona, Research Institute of Applied Economics, revised Sep 2015.
  18. 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.
  19. Gebka, Bartosz, 2006. "Leaders and Laggards: International Evidence on Spillovers in Returns, Variance, and Trading Volume," Working Paper Series 2006,1, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
  20. Lyhagen, Johan & Löf, Mårten, 2000. "On seasonal error correction when the processes include different numbers of unit roots," SSE/EFI Working Paper Series in Economics and Finance 0418, Stockholm School of Economics, revised 15 Mar 2001.
  21. Boswijk, H. Peter & Franses, Philip Hans & Haldrup, Niels, 1997. "Multiple unit roots in periodic autoregression," Journal of Econometrics, Elsevier, vol. 80(1), pages 167-193, September.
  22. Rangan Gupta & Alain Kabundi & Stephen M. Miller & Josine Uwilingiye, 2011. "Using Large Data Sets to Forecast Sectoral Employment," Working Papers 201101, University of Pretoria, Department of Economics.
  23. Zachariadis, Theodoros & Pashourtidou, Nicoletta, 2007. "An empirical analysis of electricity consumption in Cyprus," Energy Economics, Elsevier, vol. 29(2), pages 183-198, March.
  24. Jian Yang & Moosa M. Khan & Lucille Pointer, 2003. "Increasing Integration Between the United States and Other International Stock Markets? : A Recursive Cointegration Analysis," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 39(6), pages 39-53, November.
  25. Norman J. Morin, 2006. "Likelihood ratio tests on cointegrating vectors, disequilibrium adjustment vectors, and their orthogonal complements," Finance and Economics Discussion Series 2006-21, Board of Governors of the Federal Reserve System (U.S.).
  26. Megumi Kubota, . "Real Exchange Rate Misalignments: Theoretical Modelling and Empirical Evidence," Discussion Papers 09/24, Department of Economics, University of York.
  27. Quintos, Carmela E., 1998. "Analysis of cointegration vectors using the GMM approach," Journal of Econometrics, Elsevier, vol. 85(1), pages 155-188, July.
  28. Takala, Kari & Virén, Matti, 1995. "Bankruptcies, indebtedness and the credit cruch," Research Discussion Papers 28/1995, Bank of Finland.
  29. Leitao, Joao & Armada, Manuel Rocha & Ferreira, Joaaquim, 2012. "Corruption and Co-Movements in European Listed Sport Companies: Did Calciocaos really matter?," MPRA Paper 42474, University Library of Munich, Germany.
  30. Belke, Ansgar H. & Bordon, Ingo G. & Hendricks, Torben W., 2014. "Monetary policy, global liquidity and commodity price dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 1-16.
  31. Borek Vasícek, 2009. "Monetary policy rules and inflation process in open emerging economies: evidence for 12 new EU members," Working Papers wpdea0903, Department of Applied Economics at Universitat Autonoma of Barcelona.
  32. Tsionas, Efthymios G. & Christopoulos, Dimitris K., 2003. "Cointegration modeling of interrelated factor demands: With an application to labor-import substitution in the European Union," Journal of Macroeconomics, Elsevier, vol. 25(4), pages 509-526, December.
  33. Albuquerque, Pedro H. & Gouvea, Solange, 2009. "Canaries and vultures: A quantitative history of monetary mismanagement in Brazil," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 479-495, April.
  34. H. Peter Boswijk & Michael Jansson & Morten Ø. Nielsen, 2012. "Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model," Tinbergen Institute Discussion Papers 12-097/III, Tinbergen Institute.
  35. Reuven Glick & Michael Hutchison, 2008. "Navigating the Trilemma: Capital Flows and Monetary Policy in China," Working Papers 252008, Hong Kong Institute for Monetary Research.
  36. Indjehagopian, J. P. & Lantz, F. & Simon, V., 2000. "Dynamics of heating oil market prices in Europe," Energy Economics, Elsevier, vol. 22(2), pages 225-252, April.
  37. Kim, Iljoong & Kim, Inbae, 2008. "Interest group pressure explanations for the yen-dollar exchange rate movements: Focusing on the 1980s," Journal of the Japanese and International Economies, Elsevier, vol. 22(3), pages 364-382, September.
  38. Giulia Ghiani & Max Gillman & Michal Kejak, 2016. "Persistent Liquidity," Working Papers 1010, University of Missouri-St. Louis, Department of Economics.
  39. Kronick, Jeremy, 2015. "Do Loan-to-Value Ratio Regulation Changes Affect Canadian Mortgage Credit?," MPRA Paper 73671, University Library of Munich, Germany.
  40. Yılmaz, Engin & Süslü, Bora, 2015. "The Calculation of Weighted Price Elasticity of Tax: Turkey (1998-2013)," MPRA Paper 64417, University Library of Munich, Germany, revised 15 Apr 2015.
  41. Guillén, Osmani Teixeira & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2015. "Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 862-875.
  42. Monadjemi, Mehdi S., 1997. "International interest rates linkages: Evidence from OECD countries," International Review of Financial Analysis, Elsevier, vol. 6(3), pages 229-240.
  43. Flores, Renato Jr. & Szafarz, Ariane, 1996. "An enlarged definition of cointegration," Economics Letters, Elsevier, vol. 50(2), pages 193-195, February.
  44. Piergiorgio Alessandri, 2004. "Aggregate Consumption and the Stock Market: Should We Worry about Non-linear Wealth Effects?," Birkbeck Working Papers in Economics and Finance 0410, Birkbeck, Department of Economics, Mathematics & Statistics.
  45. Merih Uctum & Remzi Uctum, 2005. "Portfolio Flows, Foreign Direct Investment, Crises," Computing in Economics and Finance 2005 224, Society for Computational Economics.
  46. Mohamed El Hedi AROURI & Philippe Foulquier & Julien Fouquau, 2011. "Oil Prices and Stock Markets in Europe: A Sector Perspective," Recherches économiques de Louvain, De Boeck Université, vol. 77(1), pages 5-30.
  47. Patrick J. Wilson & Ralf Zurbruegg & Richard Gerlach, 2002. "Structural Breaks and Diversification: The Impact of the 1997 Asian Financial Crisis on the Integration of Asia Pacific Real Estate Markets," ERES eres2002_140, European Real Estate Society (ERES).
  48. repec:mod:depeco:0011 is not listed on IDEAS
  49. Joscha Beckmann & Robert Czudaj, 2013. "Oil and gold price dynamics in a multivariate cointegration framework," International Economics and Economic Policy, Springer, vol. 10(3), pages 453-468, September.
  50. Sarno, Lucio, 1999. "Stochastic growth: Empirical evidence from the G7 countries," Journal of Macroeconomics, Elsevier, vol. 21(4), pages 691-712.
  51. Tung Liu & Lee C. Spector, 2005. "Dynamic employment adjustments over business cycles," Empirical Economics, Springer, vol. 30(1), pages 151-169, January.
  52. Unbreen Qayyum & Zafar Mahmood, 2013. "Inter-linkage between Foreign Direct Investment and Foreign Trade in Pakistan: Are they Complements or Substitute?," PIDE-Working Papers 2013:91, Pakistan Institute of Development Economics.
  53. Dietmar Maringer & Peter Winker, 2004. "Optimal Lag Structure Selection in VEC-Models," Computing in Economics and Finance 2004 155, Society for Computational Economics.
  54. Sushil Mohan & Bill Russell, 2008. "Modelling Thirty Five Years Of Coffee Prices In Brazil, Guatemala And India," Dundee Discussion Papers in Economics 221, Economic Studies, University of Dundee.
  55. Federico S. Mandelman & Pau Rabanal & Juan F. Rubio-Ramírez & Diego Vilán, 2010. "Investment-specific technology shocks and international business cycles: an empirical assessment," FRB Atlanta Working Paper 2010-03, Federal Reserve Bank of Atlanta.
  56. Mirdala, Rajmund, 2011. "Financial Deepening and Economic Growth in the European Transition Economies," MPRA Paper 33609, University Library of Munich, Germany.
  57. Anzoategui Zapata, Juan Camilo, 2015. "Impacto de política monetaria: una revisión empírica 2000 – 2013
    [Impact of monetary policy: an empirical review 2000 - 2013]
    ," MPRA Paper 69349, University Library of Munich, Germany, revised 01 Dec 2014.
  58. Peter L. Rousseau, 2007. "Backing, the Quantity Theory, and the Transition to the U.S. Dollar, 1723-1850," NBER Working Papers 12835, National Bureau of Economic Research, Inc.
  59. Kulshreshtha, Mudit & Nag, Barnali & Kulshrestha, Mukul, 2001. "A multivariate cointegrating vector auto regressive model of freight transport demand: evidence from Indian railways," Transportation Research Part A: Policy and Practice, Elsevier, vol. 35(1), pages 29-45, January.
  60. Guillén, Osmani Teixeira de Carvalho & Issler, João Victor & Franco-Neto, Afonso Arinos de Mello, 2014. "On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 62-78.
  61. Yin-Wong Cheung & Frank Westermann, 2003. "Sectoral trends and cycles in Germany," Empirical Economics, Springer, vol. 28(1), pages 141-156, January.
  62. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers 2009-31, Department of Economics and Business Economics, Aarhus University.
  63. Mudit Kulsreshtha & Barnali Nag, 2000. "Structure and dynamics of non-suburban passenger travel demand in Indian railways," Transportation, Springer, vol. 27(2), pages 221-241, May.
  64. Abdul Rashid & Tayyaba Razzaq, 2013. "An Estimation of Structural Import Demand Function for Pakistan," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 156-175.
  65. Brada, Josef C. & Kutan, Ali M. & Zhou, Su, 2002. "Real and monetary convergence within the European Union and between the European Union and candidate countries: A rolling cointegration approach," ZEI Working Papers B 05-2002, University of Bonn, ZEI - Center for European Integration Studies.
  66. Giuseppe Ferrero & Andrea Nobili, 2008. "Short-term interest rate futures as monetary policy forecasts," Temi di discussione (Economic working papers) 681, Bank of Italy, Economic Research and International Relations Area.
  67. Minxian, Yang, 1998. "System estimators of cointegrating matrix in absence of normalising information," Journal of Econometrics, Elsevier, vol. 85(2), pages 317-337, August.
  68. Jacobson, Tor & Vredin, Anders & Warne, Anders, 1997. "Common trends and hysteresis in Scandinavian unemployment," European Economic Review, Elsevier, vol. 41(9), pages 1781-1816, December.
  69. Belke, Ansgar & Beckmann, Joscha & Verheyen, Florian, 2013. "Exchange rate pass-through into German import prices - a disaggregated perspective," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79855, Verein für Socialpolitik / German Economic Association.
  70. H. Lütkepohl & P. Saikkonen, 1997. "Testing for the Cointegrating Rank of a VAR Process with a Time Trend," SFB 373 Discussion Papers 1997,79, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  71. Panopoulou, Ekaterini & Pantelidis, Theologos, 2016. "The Fisher effect in the presence of time-varying coefficients," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 495-511.
  72. repec:zbw:iwhdps:142 is not listed on IDEAS
  73. Jeremy B. Rudd & Karl Whelan, 2002. "A note on the cointegration of consumption, income, and wealth," Finance and Economics Discussion Series 2002-53, Board of Governors of the Federal Reserve System (U.S.).
  74. Lorenza Rossi & Emilio Zanetti Chini, 2016. "Firms’ Dynamics and Business Cycle: New Disaggregated Data," DEM Working Papers Series 123, University of Pavia, Department of Economics and Management.
  75. Thomas Barnay & Olivier Damette, 2012. "What drives Health Care Expenditure in France since 1950? A time-series study with structural breaks and nonlinearity approaches," TEPP Working Paper 2012-01, TEPP.
  76. Cheng Hsiao & Yan Shen & Hiroshi Fujiki, 2002. "Aggregate vs Disaggregate Data Analysis - A Paradox in the Estimation of Money Demand Function of Japan Under the Low Interest Rate Policy," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A4-1, International Conferences on Panel Data.
  77. Chih-Chuan Yeh & Ching-Fang Chi, 2009. "The Co-Movement and Long-Run Relationship between Inflation and Stock Returns: Evidence from 12 OECD Countries," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 5(2), pages 167-186, July.
  78. Lach, Łukasz, 2010. "Application of bootstrap methods in investigation of size of the Granger causality test for integrated VAR systems," MPRA Paper 52285, University Library of Munich, Germany.
  79. Bartolomé Pascual-Fuster & Francisco Climent & Roberto Pascual, 2003. "Cross-Listing, Price Discovery And The Informativeness Of The Trading Process," Working Papers. Serie EC 2003-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  80. CZUJACK, C. & FLÔRES, R. & GINSBURGH, Jr. and V., . "On long-run price comovements between paintings and prints," CORE Discussion Papers RP 1240, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  81. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, Department of Economics and Business Economics, Aarhus University.
  82. Vuyyuri, S., 2004. "Linkages of Indian Interest Rates with US and Japanese Rates," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(2).
  83. Lim, Lee K., 2008. "A cointegration analysis of price transmission between ADRs and dually listed South Korean stocks," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 200-208.
  84. Abosedra, Salah & Dah, Abdallah & Ghosh, Sajal, 2009. "Electricity consumption and economic growth, the case of Lebanon," Applied Energy, Elsevier, vol. 86(4), pages 429-432, April.
  85. Ihle, Rico & Rubin, Ofir D., 2013. "Consequences of unintended food policies: Food price dynamics subject to the Israeli–Palestinian conflict," Food Policy, Elsevier, vol. 42(C), pages 96-105.
  86. Heejoon Kang, 2006. "Inappropriate Detrending and Spurious Cointegration," Working Papers 2006-14, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy.
  87. Atanas Christev, 2005. "The Hyperinflation Model of Money Demand (or Cagan Revisited): Some New Empirical Evidence from the 1990s," CERT Discussion Papers 0507, Centre for Economic Reform and Transformation, Heriot Watt University.
  88. Manuel Leon Navarro & Rafael Flores de Frutos, 2011. "Consumption and Housing Wealth Breakdown of the Effect of a Rise in Interest Rates," Post-Print hal-00687732, HAL.
  89. Antoni Espasa & Rebeca Albacete, 2007. "Econometric modelling for short-term inflation forecasting in the euro area," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(5), pages 303-316.
  90. Winkelried Quezada, Diego, 2004. "Tendencias comunes y análisis de la política monetaria en el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 11.
  91. Franco Neto, Afonso Arinos de Mello & Issler, João Victor & Guillen, Osmani Teixeira Carvalho, 2005. "The welfare cost of macroeconomic uncertainty in the post-war period," Economics Working Papers (Ensaios Economicos da EPGE) 605, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  92. Hanno Lustig & Stijn Van Nieuwerburg & Adrien Verdelhan, 2007. "The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models¤," Boston University - Department of Economics - Working Papers Series WP2007-030, Boston University - Department of Economics.
  93. Kent Friberg, 2007. "Intersectoral wage linkages: the case of Sweden," Empirical Economics, Springer, vol. 32(1), pages 161-184, April.
  94. Natan P. Epstein & Corrado Macchiarelli, 2010. "Estimating Poland's Potential Output; A Production Function Approach," IMF Working Papers 10/15, International Monetary Fund.
  95. Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente, 2001. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," NBER Working Papers 8601, National Bureau of Economic Research, Inc.
  96. repec:gam:jecnmx:v:4:y:2016:i:1:p:14:d:65426 is not listed on IDEAS
  97. Yao, Feng & Hosoya, Yuzo, 2000. "Inference on one-way effect and evidence in Japanese macroeconomic data," Journal of Econometrics, Elsevier, vol. 98(2), pages 225-255, October.
  98. Welsch, Heinz, 2008. "Armington elasticities for energy policy modeling: Evidence from four European countries," Energy Economics, Elsevier, vol. 30(5), pages 2252-2264, September.
  99. Philip Bodman, 1997. "The Australian Trade Balance and Current Account: a Time Series Perspective," International Economic Journal, Taylor & Francis Journals, vol. 11(2), pages 39-57.
  100. Francisco Rebelo & Ester Gomes da Silva, 2013. "Export variety, technological content and economic performance: The case of Portugal," Papers in Evolutionary Economic Geography (PEEG) 1310, Utrecht University, Section of Economic Geography, revised Jun 2013.
  101. Francisca Pérez, 2013. "Are International Market Linkages Stronger? Comparison between 1990s and 2000s," Working Papers Central Bank of Chile 687, Central Bank of Chile.
  102. Saltoglu, Burak & Yazgan, Ege, 2009. "The role of Regime Shifts in the Term Structure of Interest Rates: Further evidence from an Emerging Market," MPRA Paper 18741, University Library of Munich, Germany.
  103. Reimers, Hans-Eggert, 2002. "Analysing Divisia Aggregates for the Euro Area," Discussion Paper Series 1: Economic Studies 2002,13, Deutsche Bundesbank, Research Centre.
  104. Munehisa Kasuya & Kozo Ueda, 2000. "Testing the Purchasing Power Parity Hypothesis: Re-examination by Additional Variables, Tests with Known Cointegrating Vectors, Monte Carlo Critical Values, and Fractional Cointegration," Bank of Japan Working Paper Series Research and Statistics D, Bank of Japan.
  105. Shintani, Mototsugu, 2001. "A simple cointegrating rank test without vector autoregression," Journal of Econometrics, Elsevier, vol. 105(2), pages 337-362, December.
  106. Guglielmo Maria Caporale & Luis A. Gil‐Alana & James C. Orlando, 2016. "Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(2), pages 143-153, 04.
  107. Robert H. Rasche, 2001. "Identification of dynamic economic models from reduced form VECM structures: an application of covariance restrictions," Working Papers 2000-011, Federal Reserve Bank of St. Louis.
  108. Issler, João Victor & Guillen, Osmani Teixeira Carvalho, 2003. "On the welfare costs of business cycles in the 20th century," Economics Working Papers (Ensaios Economicos da EPGE) 481, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  109. Magda Kandil & Muhammad Shahbaz & Samia Nasreen, 2015. "The interaction between globalization and financial development: new evidence from panel cointegration and causality analysis," Empirical Economics, Springer, vol. 49(4), pages 1317-1339, December.
  110. Hammoudeh, Shawkat & Sari, Ramazan & Uzunkaya, Mehmet & Liu, Tengdong, 2013. "The dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 277-294.
  111. Nidhaleddine Ben Cheikh & Christophe Rault, 2014. "Recent Estimates of Exchange Rate Pass-Through to Import Prices in the Euro Area," William Davidson Institute Working Papers Series wp1080, William Davidson Institute at the University of Michigan.
  112. Diana Kasparova, Michael White, 2001. "The Responsiveness Of House Prices To Macroeconomic Forces: A Cross-Countr Y Comparison," European Journal of Housing Policy, Taylor and Francis Journals, vol. 1(3), pages 385-416, December.
  113. Pramod Kumar, Naik & Puja, Padhi, 2012. "The impact of Macroeconomic Fundamentals on Stock Prices revisited: An Evidence from Indian Data," MPRA Paper 38980, University Library of Munich, Germany.
  114. Kuriyama Nina, 2016. "Testing cointegration in quantile regressions with an application to the term structure of interest rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(2), pages 107-121, April.
  115. Lütkepohl, Helmut & Saikkonen, Pentti, 1997. "Order selection in testing for the cointegrating rank of a VAR process," SFB 373 Discussion Papers 1997,93, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  116. Andre Jungmittag & Paul J.J. Welfens, 2004. "Politikberatung und empirische Wirtschaftsforschung: Entwicklungen, Probleme, Optionen für mehr Rationalität in der Wirtschaftspolitik," EIIW Discussion paper disbei121, Universitätsbibliothek Wuppertal, University Library.
  117. Noriega Antonio E. & Ramos Francia Manuel & Rodríguez-Pérez Cid Alonso, 2015. "Money demand estimations in Mexico and of its stability 1986-2010, as well as some examples of its uses," Working Papers 2015-13, Banco de México.
  118. 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.
  119. Rangvid, Jesper, 2006. "Output and expected returns," Journal of Financial Economics, Elsevier, vol. 81(3), pages 595-624, September.
  120. Abo-Zaid Salem M, 2011. "The Trade-Growth Relationship in Israel Revisited: Evidence from Annual Data, 1960-2004," Review of Middle East Economics and Finance, De Gruyter, vol. 6(3), pages 63-93, February.
  121. Alizadeh, Amir H. & Nomikos, Nikos K., 2007. "Investment timing and trading strategies in the sale and purchase market for ships," Transportation Research Part B: Methodological, Elsevier, vol. 41(1), pages 126-143, January.
  122. Engsted, Tom & Tanggaard, Carsten, 1994. "Cointegration and the US term structure," Journal of Banking & Finance, Elsevier, vol. 18(1), pages 167-181, January.
  123. Bentzen, J. & Engsted, T., 1999. "A Revival of the Autoregressive Distributed Lag Model in Estimating Energy Demand Relationships," Papers 99-7, Aarhus School of Business - Department of Economics.
  124. Hassapis, Christis & Kalyvitis, Sarantis & Pittis, Nikitas, 1999. "Cointegration and joint efficiency of international commodity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(2), pages 213-231.
  125. Md. Samsul Alam & Muhammad Shahbaz & Sudharshan Reddy Paramati, 2016. "The Role of Financial Development and Economic Misery on Life Expectancy: Evidence from Post Financial Reforms in India," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 128(2), pages 481-497, September.
  126. Horrace, William C., 1998. "Submodel estimation of a structural vector error correction model under cointegration," Economics Letters, Elsevier, vol. 59(1), pages 23-29, April.
  127. Dagher, Leila & El Hariri, Sadika, 2013. "The impact of global oil price shocks on the Lebanese stock market," Energy, Elsevier, vol. 63(C), pages 366-374.
  128. Lee, Bong-Soo, 1996. "Comovements of earnings, dividends, and stock prices," Journal of Empirical Finance, Elsevier, vol. 3(4), pages 327-346, December.
  129. Yin-wong Cheung & Kon S. Lai & Michael Bergman, 2003. "Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjustments," Working Papers 102003, Hong Kong Institute for Monetary Research.
  130. Gairuzazmi Ghani, 2005. "Levels of Economic Development and the Harrod Foreign Trade," International Trade 0501008, EconWPA, revised 26 Jun 2005.
  131. Luis Eduardo Arango & Luis Fernando Melo, . "Determinantes de la elección de administradora de pensiones: primeras estimaciones a partir de agregados," Borradores de Economia 383, Banco de la Republica de Colombia.
  132. Mindy L. Mallory & Dermot J. Hayes & Scott H. Irwin, 2010. "How Market Efficiency and the Theory of Storage Link Corn and Ethanol Markets," Midwest Agribusiness Trade Research and Information Center (MATRIC) Publications 10-wp517, Midwest Agribusiness Trade Research and Information Center (MATRIC) at Iowa State University.
  133. repec:zbw:rwirep:0557 is not listed on IDEAS
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