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Citations for "A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model"

by Soren Johansen

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  1. Elias Oikarinen & Janne Engblom, 2014. "Regional differences in housing price dynamics: Panel data evidence," Discussion Papers 94, Aboa Centre for Economics.
  2. Hoesli, Martin & Oikarinen, Elias, 2012. "Are REITs real estate? Evidence from international sector level data," ERES eres2012_232, European Real Estate Society (ERES).
  3. Streb, Jochen & Wallusch, Jacek & Yin, Shuxi, 2007. "Knowledge spill-over from new to old industries: The case of German synthetic dyes and textiles (1878-1913)," Explorations in Economic History, Elsevier, vol. 44(2), pages 203-223, April.
  4. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
  5. Rita Duarte & Carlos Robalo Marques, 2009. "The dynamic effects of shocks to wages and prices in the United States and the Euro Area," Working Papers w200915, Banco de Portugal, Economics and Research Department.
  6. David Bernstein & Bent Nielsen, 2014. "Asymptotic theory for cointegration analysis when the cointegration rank is deficient," Economics Papers 2014-W06, Economics Group, Nuffield College, University of Oxford.
  7. 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.
  8. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2012. "Purchasing Power Parity between the UK and the Euro Area," Working Papers 1208, University of Nevada, Las Vegas , Department of Economics.
  9. Niklas Ahlgren & Jan Antell, 2013. "The power of bootstrap tests of cointegration rank," Computational Statistics, Springer, vol. 28(6), pages 2719-2748, December.
  10. Keblowski, Piotr & Welfe, Aleksander, 2010. "Estimation of the equilibrium exchange rate: The CHEER approach," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1385-1397, November.
  11. Joseph P. Byrne & Norbert Fiess & Ronald MacDonald, 2008. "The Global Dimension to Fiscal Sustainability," Working Papers 2008_10, Business School - Economics, University of Glasgow.
  12. Kębłowski, Piotr & Welfe, Aleksander, 2012. "A risk-driven approach to exchange rate modelling," Economic Modelling, Elsevier, vol. 29(4), pages 1473-1482.
  13. Theologos Dergiades & Lefteris Tsoulfidis, 2011. "Revisiting residential demand for electricity in Greece: new evidence from the ARDL approach to cointegration analysis," Empirical Economics, Springer, vol. 41(2), pages 511-531, October.
  14. Søren Johansen, 2014. "Times Series: Cointegration," CREATES Research Papers 2014-38, School of Economics and Management, University of Aarhus.
  15. Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2013. "Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion," Econometric Reviews, Taylor & Francis Journals, vol. 32(7), pages 814-847, October.
  16. Girardi, Riccardo & Paruolo, Paolo, 2013. "Wages and prices in Europe before and after the onset of the Monetary Union," Economic Modelling, Elsevier, vol. 35(C), pages 643-653.
  17. Singh, Tarlok, 2010. "Does domestic saving cause economic growth? A time-series evidence from India," Journal of Policy Modeling, Elsevier, vol. 32(2), pages 231-253, March.
  18. Michael KUEHL, . "Strong Comovements of Exchange Rates: Theoretical and Empirical Cases when Currencies Become the Same Asset," EcoMod2008 23800071, EcoMod.
  19. Fiess, Norbert M. & Fugazza, Marco & Maloney, William F., 2008. "Informality and Macroeconomic Fluctuations," IZA Discussion Papers 3519, Institute for the Study of Labor (IZA).
  20. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2005. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Trinity Economics Papers tep20021, Trinity College Dublin, Department of Economics.
  21. Ibarra, Carlos A., 2011. "Import elasticities and the external constraint in Mexico," Economic Systems, Elsevier, vol. 35(3), pages 363-377, September.
  22. Elias Oikarinen & Eero Valtonen, 2014. "Regional variation in the elasticity of supply of housing, and its determinants: The case of a small sparsely populated country," ERSA conference papers ersa14p1261, European Regional Science Association.
  23. Khalaf, Lynda & Urga, Giovanni, 2014. "Identification robust inference in cointegrating regressions," Journal of Econometrics, Elsevier, vol. 182(2), pages 385-396.
  24. Ahlgren, N. & Antell, J., 2008. "Bootstrap and fast double bootstrap tests of cointegration rank with financial time series," Computational Statistics & Data Analysis, Elsevier, vol. 52(10), pages 4754-4767, June.
  25. Chevillon, Guillaume, 2013. "Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming," ESSEC Working Papers WP1320, ESSEC Research Center, ESSEC Business School.
  26. Schreiber, Sven, 2013. "(When) does money growth help to predict Euro-area inflation at low frequencies?," Discussion Papers 2013/10, Free University Berlin, School of Business & Economics.
  27. Oikarinen, Elias & Hoesli, Martin & Serrano, Camilo, 2013. "Do Public Real Estate Returns Really Lead Private Returns?," ERES eres2013_145, European Real Estate Society (ERES).
  28. Ferreira, Alex Luiz & de Almeida Prado, Fernando Pigeard & da Silveira, Jaylson Jair, 2009. "Flex cars and the alcohol price," Energy Economics, Elsevier, vol. 31(3), pages 382-394, May.
  29. Ahlgren, Niklas & Antell, Jan, 2009. "The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series," Working Papers 541, Hanken School of Economics.
  30. van Tilburg, Aad & Kuiper, W. Erno & Swinkels, Rob, 2006. "Market Performance of Potato Auctions in Bhutan," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25520, International Association of Agricultural Economists.
  31. In Choi, 2013. "Panel Cointegration," Working Papers 1208, Research Institute for Market Economy, Sogang University.
  32. Ross Guest & Robyn Swift, 2008. "Fertility, income inequality, and labour productivity," Oxford Economic Papers, Oxford University Press, vol. 60(4), pages 597-618, October.
  33. Francesca Pancotto & Filippo Pericoli, 2014. "Till labor cost do us part," International Economics and Economic Policy, Springer, vol. 11(3), pages 371-395, September.
  34. Gaetano D’Adamo, 2011. "Wage spillovers across sectors in Eastern Europe," Working Papers 1122, Department of Applied Economics II, Universidad de Valencia.
  35. Gunnar Bårdsen & Luca Fanelli, 2013. "Frequentist evaluation of small DSGE models," Working Paper Series 14113, Department of Economics, Norwegian University of Science and Technology.
  36. Hernandis, Lucía & Torró, Hipòlit, 2013. "The information content of Eonia swap rates before and during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5316-5328.
  37. Kia, Amir, 2013. "Determinants of the real exchange rate in a small open economy: Evidence from Canada," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 163-178.
  38. Kascha, Christian & Trenkler, Carsten, 2011. "Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order," Computational Statistics & Data Analysis, Elsevier, vol. 55(2), pages 1008-1017, February.
  39. Hasanov, Fakhri & Huseynov, Fariz, 2009. "Real Exchange Rate Misalignment in Azerbaijan," MPRA Paper 29561, University Library of Munich, Germany.
  40. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," Discussion Papers 08-34, University of Copenhagen. Department of Economics.
  41. Wilson Luiz Rotatori Correa, 2009. "Dynamic Structural Models and the High Ination Period in Brazil: Modelling the Monetary System," Economia, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 10(1), pages 69-100.
  42. Oikarinen, Elias, 2012. "Empirical evidence on the reaction speeds of housing prices and sales to demand shocks," Journal of Housing Economics, Elsevier, vol. 21(1), pages 41-54.
  43. Hasanov, Fakhri & Huseynov, Fariz, 2013. "Bank credits and non-oil economic growth: Evidence from Azerbaijan," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 597-610.
  44. J James Reade & Ulrich Volz, 2010. "Too Much to Lose, or More to Gain? Should Sweden Join the Euro?," Discussion Papers 10-13, Department of Economics, University of Birmingham.
  45. Francesca Pancotto & Filippo Pericoli, 2011. "Till Labor Cost Do Us Part A Vecm Model of Unit Labor Cost Convergence in the Euro Area," Working Papers 14, Doctoral School of Economics, Sapienza University of Rome, revised 2011.
  46. Burak Saltoglu & M. Ege Yazgan, 2012. "The Role of Regime Shifts in the Term Structure of Interest Rates: Further Evidence from an Emerging Market," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 48(S5), pages 48-63, November.
  47. Tang, Chor Foon & Tan, Bee Wah, 2014. "A revalidation of the savings–growth nexus in Pakistan," Economic Modelling, Elsevier, vol. 36(C), pages 370-377.
  48. Christian Dreger & Jürgen Wolters, 2014. "Unconventional Monetary Policy and Money Demand," Discussion Papers of DIW Berlin 1382, DIW Berlin, German Institute for Economic Research.
  49. Sun, Zhuowei & Dunne, Peter G. & Li, Youwei, 2015. "Price Discovery in the Dual-Platform US Treasury Market," MPRA Paper 61440, University Library of Munich, Germany.
  50. Nakashima, Kiyotaka & Saito, Makoto, 2012. "On the comparison of alternative specifications for money demand: The case of extremely low interest rate regimes in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 26(3), pages 454-471.
  51. Joanna Bęza-Bojanowska, 2009. "Behavioral and Permanent Zloty/Euro Equilibrium," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 1(1), pages 35-55, March.
  52. Smoluk, H.J. & Voyer, John, 2014. "The spirit of capitalism among the income classes," Review of Financial Economics, Elsevier, vol. 23(1), pages 1-9.
  53. Márquez, Elena & Martínez-Cañete, Ana R. & Pérez-Soba, Inés, 2013. "Wealth shocks, credit conditions and asymmetric consumption response: Empirical evidence for the UK," Economic Modelling, Elsevier, vol. 33(C), pages 357-366.
  54. Niels Møller & Paul Sharp, 2014. "Malthus in cointegration space: evidence of a post-Malthusian pre-industrial England," Journal of Economic Growth, Springer, vol. 19(1), pages 105-140, March.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.