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Efficient inference on cointegration parameters in structural error correction models

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  1. Pesaran, M. Hashem & Shin, Yongcheol & Smith, Richard J., 2000. "Structural analysis of vector error correction models with exogenous I(1) variables," Journal of Econometrics, Elsevier, vol. 97(2), pages 293-343, August.
  2. Nathaniel Solomon Prince, 2021. "Natural Resources, Urbanisation, Economic Growth and the Ecological Footprint in South Africa: The Moderating Role of Human Capital," Quaestiones Geographicae, Sciendo, vol. 40(2), pages 63-76, June.
  3. Chebbi, Houssem Eddine & Lachaal, Lassaad, 2007. "Agricultural Sector and Economic Growth in Tunisia: Evidence from Co-integration and Error Correction Mechanism," 103rd Seminar, April 23-25, 2007, Barcelona, Spain 9416, European Association of Agricultural Economists.
  4. 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.
  5. Jaebeom Kim & Masao Ogaki & Minseok Yang, 2007. "Structural Error Correction Models: A System Method for Linear Rational Expectations Models and an Application to an Exchange Rate Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(8), pages 2057-2075, December.
  6. Accolley, Delali, 2018. "Accounting for Busines Cycles in Canada: II. The Role of Money," MPRA Paper 85481, University Library of Munich, Germany.
  7. K Alec Chrystal & Paul Mizen, 2001. "Consumption, money and lending: a joint model for the UK household sector," Bank of England working papers 134, Bank of England.
  8. Norman Gemmell & Richard Kneller & Ismael Sanz, 2016. "Does the Composition of Government Expenditure Matter for Long-Run GDP Levels?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(4), pages 522-547, August.
  9. Avishek Khanal, 2021. "Does Energy Consumption Impact The Environment? Evidence from Australia Using the JJ Bayer-Hanck Cointegration Technique and the Autoregressive Distributed Lag Test," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 185-194.
  10. Bierens, Herman J., 1997. "Nonparametric cointegration analysis," Journal of Econometrics, Elsevier, vol. 77(2), pages 379-404, April.
  11. Okoro, Emmanuel E. & Adeleye, Bosede N. & Okoye, Lawrence U. & Maxwell, Omeje, 2021. "Gas flaring, ineffective utilization of energy resource and associated economic impact in Nigeria: Evidence from ARDL and Bayer-Hanck cointegration techniques," Energy Policy, Elsevier, vol. 153(C).
  12. 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.
  13. Solarin, Sakiru Adebola & Shahbaz, Muhammad, 2015. "Natural gas consumption and economic growth: The role of foreign direct investment, capital formation and trade openness in Malaysia," Renewable and Sustainable Energy Reviews, Elsevier, vol. 42(C), pages 835-845.
  14. Sanghyun Kim & Juhyung Kim & Jaejun Kim, 2016. "Structural Changes in the Korean Housing Market before and after Macroeconomic Fluctuations," Sustainability, MDPI, vol. 8(5), pages 1-20, April.
  15. Mary O. Agboola & Festus V. Bekun, 2019. "Does Agricultural Value Added Induce Environmental Degradation? Empirical Evidence from an Agrarian Country," CEREDEC Working Papers 19/040, Centre de Recherche pour le Développement Economique (CEREDEC).
  16. Adewale Samuel Hassan, 2023. "Modeling the linkage between coal mining and ecological footprint in South Africa: does technological innovation matter?," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 36(1), pages 123-138, January.
  17. David Hendry, 1995. "On the interactions of unit roots and exogeneity," Economics Papers 7., Economics Group, Nuffield College, University of Oxford.
  18. Akram,Q.F. & Nymoen,R., 2001. "Employment behaviour in slack and tight labour markets," Memorandum 27/2001, Oslo University, Department of Economics.
  19. Balsalobre-Lorente, Daniel & Bekun, Festus Victor & Etokakpan, Mfonobong Udom & Driha, Oana M., 2019. "A road to enhancements in natural gas use in Iran: A multivariate modelling approach," Resources Policy, Elsevier, vol. 64(C).
  20. Bertelli, Stefano & Vacca, Gianmarco & Zoia, Maria, 2022. "Bootstrap cointegration tests in ARDL models," Economic Modelling, Elsevier, vol. 116(C).
  21. Avishek Khanal & Mohammad Mafizur Rahman & Rasheda Khanam & Eswaran Velayutham, 2021. "Are Tourism and Energy Consumption Linked? Evidence from Australia," Sustainability, MDPI, vol. 13(19), pages 1-20, September.
  22. Helmut Herwartz & Hans-Eggert Reimers, 2006. "Long-Run Links among Money, Prices and Output: Worldwide Evidence," German Economic Review, Verein für Socialpolitik, vol. 7, pages 65-86, February.
  23. Lindback, Morten & Osmundsen, Petter & Øglend, Atle, 2013. "Shale Gas and the Relationship between U.S. Natural Gas, Liquified Petroleum Gases and Oil Market," UiS Working Papers in Economics and Finance 2013/5, University of Stavanger.
  24. de Brouwer, Gordon & Ericsson, Neil R, 1998. "Modeling Inflation in Australia," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 433-449, October.
  25. Md Samsul Alam & Md Shahidul Islam & Syed Jawad Hussain Shahzad & Shazia Bilal, 2021. "Rapid rise of life expectancy in Bangladesh: Does financial development matter?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 4918-4931, October.
  26. Lütkepohl, Helmut, 1999. "Vector autoregressions," SFB 373 Discussion Papers 1999,4, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  27. Yang, Yao & Karali, Berna, 2024. "A Multivariate Quantile Approach for Testing Asymmetric Price Transmission in a Joint Production Process," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 0(Preprint), January.
  28. Solomon P. Nathaniel & Festus V. Bekun, 2020. "Electricity Consumption, Urbanization and Economic Growth in Nigeria: New Insights from Combined Cointegration amidst Structural Breaks," Working Papers 20/013, European Xtramile Centre of African Studies (EXCAS).
  29. Ryland Thomas, 1997. "The Demand for M4: A Sectoral Analysis. Part 1 - The Personal Sector," Bank of England working papers 61, Bank of England.
  30. Herwartz, Helmut & Reimers, Hans-Eggert, 2002. "Testing the purchasing power parity in pooled systems of error correction models," Japan and the World Economy, Elsevier, vol. 14(1), pages 45-62, January.
  31. Ericsson, Neil R & Hendry, David F & Mizon, Grayham E, 1998. "Exogeneity, Cointegration, and Economic Policy Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 370-387, October.
  32. Giordano, Claire & Marinucci, Marco & Silvestrini, Andrea, 2019. "The macro determinants of firms' and households' investment: Evidence from Italy," Economic Modelling, Elsevier, vol. 78(C), pages 118-133.
  33. Rault, Christophe, 2005. "Further Results on Weak Exogeneity in Vector Error Correction Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 25(2), November.
  34. G. Coenen & J.-L. Vega, 2001. "The demand for M3 in the euro area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 727-748.
  35. George Mavrotas, 2002. "Aid and Growth in India: Some Evidence from Disaggregated Aid Data," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 3(1), pages 19-48, March.
  36. Ericsson, Neil R., 1995. "Conditional and structural error correction models," Journal of Econometrics, Elsevier, vol. 69(1), pages 159-171, September.
  37. Breitung, Jörg & Pesaran, Mohammad Hashem, 2005. "Unit roots and cointegration in panels," Discussion Paper Series 1: Economic Studies 2005,42, Deutsche Bundesbank.
  38. H. Peter Boswijk & Jean-Pierre Urbain, 1997. "Lagrance-multiplier tersts for weak exogeneity: a synthesis," Econometric Reviews, Taylor & Francis Journals, vol. 16(1), pages 21-38.
  39. Hamisu S. Ali & Solomon P. Nathaniel & Gizem Uzuner & Festus V. Bekun & Samuel A. Sarkodie, 2020. "Trivariate Modelling of the Nexus between Electricity Consumption, Urbanization and Economic Growth in Nigeria: Fresh Insights from Maki Cointegration and Causality Tests," Research Africa Network Working Papers 20/010, Research Africa Network (RAN).
  40. Urbain, Jean-Pierre, 1995. "Partial versus full system modelling of cointegrated systems an empirical illustration," Journal of Econometrics, Elsevier, vol. 69(1), pages 177-210, September.
  41. Sanghyo Lee & Yonghan Ahn & Sungwoo Shin, 2016. "The Impact of Multinational Business Diversification on the Financial Sustainability of Construction Firms in Korea," Sustainability, MDPI, vol. 8(10), pages 1-14, October.
  42. César Calderón & Enrique Moral‐Benito & Luis Servén, 2015. "Is infrastructure capital productive? A dynamic heterogeneous approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 177-198, March.
  43. Matteo Manera, 2006. "Modelling factor demands with SEM and VAR: an empirical comparison," Journal of Productivity Analysis, Springer, vol. 26(2), pages 121-146, October.
  44. Brücker, Herbert & Fachin, Stefano & Venturini, Alessandra, 2011. "Do foreigners replace native immigrants? A panel cointegration analysis of internal migration in Italy," Economic Modelling, Elsevier, vol. 28(3), pages 1078-1089, May.
  45. Enrique Moral-Benito & Luis Serv鮠, 2015. "Testing weak exogeneity in cointegrated panels," Applied Economics, Taylor & Francis Journals, vol. 47(30), pages 3216-3228, June.
  46. Agboola, Mary Oluwatoyin, 2021. "Female Labour Force Participation in Saudi Arabia and its Determinants," Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, vol. 2021(1), March.
  47. Mr. Santiago Acosta Ormaechea, 2012. "Tax Composition and Growth: A Broad Cross-Country Perspective," IMF Working Papers 2012/257, International Monetary Fund.
  48. Mohammad Hashem Pesaran & Yongcheol Shin & Richard J Smith, 1999. "Bounds Testing Approaches to the Analysis of Long Run Relationships," Edinburgh School of Economics Discussion Paper Series 46, Edinburgh School of Economics, University of Edinburgh.
  49. Dervis Kirikkaleli & Tomiwa Sunday Adebayo, 2021. "Do renewable energy consumption and financial development matter for environmental sustainability? New global evidence," Sustainable Development, John Wiley & Sons, Ltd., vol. 29(4), pages 583-594, July.
  50. Herwartz, Helmut & Neumann, Michael H., 2005. "Bootstrap inference in systems of single equation error correction models," Journal of Econometrics, Elsevier, vol. 128(1), pages 165-193, September.
  51. Christophe Rault, 2007. "Une synthèse de l'exogénéité dans les modèles vectoriels à correction d'erreurs," Post-Print halshs-00202651, HAL.
  52. Solomon Prince Nathaniel & Festus Bekun & Alimshan Faizulayev, 2021. "Modelling the Impact of Energy Consumption, Natural Resources, and Urbanization on Ecological Footprint in South Africa: Assessing the Moderating Role of Human Capital," International Journal of Energy Economics and Policy, Econjournals, vol. 11(3), pages 130-139.
  53. Paruolo, Paolo & Rahbek, Anders, 1999. "Weak exogeneity in I(2) VAR systems," Journal of Econometrics, Elsevier, vol. 93(2), pages 281-308, December.
  54. David Aristei & Luca Pieroni, 2005. "Estimating the Role of Government Expenditure in Long-run Consumption," Quaderni del Dipartimento di Economia, Finanza e Statistica 13/2005, Università di Perugia, Dipartimento Economia.
  55. Taghipour Anoshirvan, 2009. "Financial Restraint and Financial Development in Iran: The Conditional Co-Integration Approach," Review of Middle East Economics and Finance, De Gruyter, vol. 5(2), pages 88-106, September.
  56. Luca Pieroni, 2007. "How Strong is the Relationship between Defence Expenditure and Private Consumption? Evidence from the United States," Working Papers 0705, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
  57. Chrystal, Alec & Mizen, Paul, 2002. "Modelling credit in the transmission mechanism of the United Kingdom," Journal of Banking & Finance, Elsevier, vol. 26(11), pages 2131-2154, November.
  58. Younghoon Lee & Sanghyo Lee & Jaejun Kim, 2017. "Analysis of the Dynamic Relationship between Fluctuations in the Korean Housing Market and the Occurrence of Unsold New Housing Stocks," Sustainability, MDPI, vol. 9(1), pages 1-23, January.
  59. Jiang, Shi-jie & Nieh, Chien-Chung, 2012. "Dynamics of underwriting profits: Evidence from the U.S. insurance market," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 1-15.
  60. Ayhan Orhan & Tomiwa Sunday Adebayo & Sema Yılmaz Genç & Dervis Kirikkaleli, 2021. "Investigating the Linkage between Economic Growth and Environmental Sustainability in India: Do Agriculture and Trade Openness Matter?," Sustainability, MDPI, vol. 13(9), pages 1-20, April.
  61. Muhamad, Suriyani & Che Sulaiman, Nor Fatimah & Saputra, Jumadil, 2018. "The Role of Human Capital and Innovation Capacity on Economic Growth in ASEAN-3," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 52(1), pages 257-268.
  62. Insoo Baek & Sanghyo Lee & Joosung Lee & Jaejun Kim, 2021. "Analysis of Housing Market Dynamics Considering the Structural Characteristics of Mortgage Interest," Sustainability, MDPI, vol. 13(19), pages 1-15, September.
  63. Sakiru Adebola Solarin & Muhammad Shahbaz & Syed Jawad Hussain Shahzad, 2016. "Revisiting the Electricity Consumption-Economic Growth Nexus in Angola: The Role of Exports, Imports and Urbanization," International Journal of Energy Economics and Policy, Econjournals, vol. 6(3), pages 501-512.
  64. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
  65. Frankel, Jeffrey & Schmukler, Sergio L. & Serven, Luis, 2004. "Global transmission of interest rates: monetary independence and currency regime," Journal of International Money and Finance, Elsevier, vol. 23(5), pages 701-733, September.
  66. Johansen, Soren, 2002. "A small sample correction for tests of hypotheses on the cointegrating vectors," Journal of Econometrics, Elsevier, vol. 111(2), pages 195-221, December.
  67. G. Coenen & J.-L. Vega, 2001. "The demand for M3 in the euro area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 727-748.
  68. Avishek Khanal, 2021. "The Role of ICT and Energy Consumption on Carbon Emissions: An Australian Evidence Using Cointegration Test and ARDL Long-run and Short-run Methodology," International Journal of Energy Economics and Policy, Econjournals, vol. 11(5), pages 441-449.
  69. Feuerstein, Switgard, 2002. "Do coffee roasters benefit from high prices of green coffee?," International Journal of Industrial Organization, Elsevier, vol. 20(1), pages 89-118, January.
  70. Haffar, Adlane & Le Fur, Eric, 2021. "Structural vector error correction modelling of Bitcoin price," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 170-178.
  71. Atle Oglend, Morten E. Lindbäck, and Petter Osmundsen, 2015. "Shale Gas Boom Affecting the Relationship Between LPG and Oil Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
  72. Helmut Herwartz & Hans‐Eggert Reimers, 2006. "Long‐Run Links among Money, Prices and Output: Worldwide Evidence," German Economic Review, Verein für Socialpolitik, vol. 7(1), pages 65-86, February.
  73. Andrew Brigden & Paul Mizen, 1999. "Money, credit and investment in UK corporate sector," Bank of England working papers 100, Bank of England.
  74. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871.
  75. Mary Oluwatoyin Agboola, 2021. "Female Labour Force Participation in Saudi Arabia and its Determinants," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 1, pages 135-152.
  76. SOLOMON PRINCE Nathaniel, 2020. "Does Exchange Rate Have Asymmetric Impact On Trade Balance? Fresh Insights From Combined Cointegration," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 15(1), pages 259-269, April.
  77. Takamitsu Kurita & Bent Nielsen, 2019. "Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms," Econometrics, MDPI, vol. 7(4), pages 1-35, October.
  78. Ryland Thomas, 1997. "The Demand for M4: A Sectoral Analysis Part 2 The Corporate Sector," Bank of England working papers 62, Bank of England.
  79. Jacqueline Pradel & Christophe Rault, 2003. "Exogeneity in Vector Error Correction Models with Purely Exogenous Long‐Run Paths," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(5), pages 629-653, December.
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  81. Md. Qamruzzaman, 2023. "Does Environmental Degradation-Led Remittances Flow? Nexus between Environmental Degradation, Uncertainty, Financial Inclusion and Remittances Inflows in India and China," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 9-26, March.
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  85. K. Alec Chrystal & Paul Mizen, 2005. "Other financial corporations: Cinderella or ugly sister of empirical monetary economics?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 63-80.
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  97. Norman Gemmell & Richard Kneller & Ismael Sanz, 2016. "Does the Composition of Government Expenditure Matter for Long-Run GDP Levels?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(4), pages 522-547, August.
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