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Citations for "Nonparametric cointegration analysis"

by Bierens, Herman J.

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  1. Sonali Das & Rangan Gupta & Patrick T. Kanda & Monique Reid & Christian K. Tipoy & Mulatu F. Zerihun, 2012. "Real Interest Rate Persistence in South Africa: Evidence and Implications," Working Papers 201204, University of Pretoria, Department of Economics.
  2. Barry E. Jones & Travis D. Nesmith, 2006. "Linear cointegration of nonlinear time series with an application to interest rate dynamics," Finance and Economics Discussion Series 2007-03, Board of Governors of the Federal Reserve System (U.S.).
  3. Calza, Alessandro & Zaghini, Andrea, 2009. "Nonlinearities In The Dynamics Of The Euro Area Demand For M1," Macroeconomic Dynamics, Cambridge University Press, vol. 13(01), pages 1-19, February.
  4. Mark J. Holmes, 2010. "An Alternative Perspective on Tobin's Q and Aggregate Investment Expenditure," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 9(1), pages 23-28, April.
  5. Morten Ørregaard Nielsen, 2008. "Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders," Working Papers 1174, Queen's University, Department of Economics.
  6. Taylor, A. M. Robert, 2005. "Variance ratio tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, vol. 124(1), pages 33-54, January.
  7. Tang, Chor Foon, 2010. "Savings-led growth theories: A time series analysis for Malaysia using the bootstrapping and time-varying causality techniques," MPRA Paper 27299, University Library of Munich, Germany.
  8. Ulrich Mueller & Mark W. Watson, 2006. "Testing Models of Low-Frequency Variability," NBER Working Papers 12671, National Bureau of Economic Research, Inc.
  9. Wagner, Martin, 1999. "VAR Cointegration in VARMA Models," Economics Series 65, Institute for Advanced Studies.
  10. Chor Foon Tang & Soo Y. Chua, 2012. "The savings-growth nexus for the Malaysian economy: a view through rolling sub-samples," Applied Economics, Taylor & Francis Journals, vol. 44(32), pages 4173-4185, November.
  11. Maki, Daiki, 2003. "Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate," Economics Letters, Elsevier, vol. 81(3), pages 349-354, December.
  12. Kian-Ping Lim & Hock-Ann Lee & Venus Khim-Sen Liew, 2003. "International Diversification Benefits in ASEAN Stock Markets: a Revisit," Finance 0308003, EconWPA.
  13. Lutkepohl, Helmut & Saikkonen, Pentti, 2000. "Testing for the cointegrating rank of a VAR process with a time trend," Journal of Econometrics, Elsevier, vol. 95(1), pages 177-198, March.
  14. Emerson Fernandes Marçal & Priscila Fernandes Ribeiro, 2011. "Levado pelos Fundamentos? Estimando o Desalinhamento Cambial Norte-Americano a partir de Técnicas de Cointegração," Discussion Papers 1674, Instituto de Pesquisa Econômica Aplicada - IPEA.
  15. Mototsugu Shintani, 2000. "A Simple Cointegrating Rank Test Without Vector Autoregression," Vanderbilt University Department of Economics Working Papers 0044, Vanderbilt University Department of Economics.
  16. Tsangyao Chang & Wen-Chi Liu, 2008. "Rational Bubbles in the Korea Stock Market? Further Evidence based on Nonlinear and Nonparametric Cointegration Tests," Economics Bulletin, AccessEcon, vol. 3(34), pages 1-12.
  17. Martin Wagner, 2010. "Cointegration analysis with state space models," AStA Advances in Statistical Analysis, Springer, vol. 94(3), pages 273-305, September.
  18. Kleopatra Nikolaou & Lucio Sarno, 2006. "New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(7), pages 627-656, 07.
  19. Hock-Ann Lee & Kian-Ping Lim & Venus Khim-Sen Liew, 2009. "Is There Any International Diversification Benefits in ASEAN Stock Markets?," Economics Bulletin, AccessEcon, vol. 29(1), pages 392-406.
  20. H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute.
  21. Gomez-Biscarri, Javier & Hualde, Javier, 2015. "Regression-based analysis of cointegration systems," Journal of Econometrics, Elsevier, vol. 186(1), pages 32-50.
  22. Mark J. Holmes & Xin Shen, 2012. "An Alternative Nonlinear Perspective on the Consumption, Income and Wealth Relationship," Economics Bulletin, AccessEcon, vol. 32(1), pages 766-777.
  23. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Péguin-feissolle, 2010. "Fractional integration and cointegration in stock prices and exchange rates," Economics Bulletin, AccessEcon, vol. 30(1), pages 115-129.
  24. repec:rwi:repape:0048 is not listed on IDEAS
  25. Smith, Richard J., 2005. "Automatic Positive Semidefinite Hac Covariance Matrix And Gmm Estimation," Econometric Theory, Cambridge University Press, vol. 21(01), pages 158-170, February.
  26. HOLMES, Mark J, 2008. "Non-Linear Trend Stationarity And Co-Trending In Latin American Real Exchange Rates," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(1), pages 107-118.
  27. Thomas Lagoarde-Segot & Brian M. Lucey, 2007. "Capital Market Integration in the Middle East and North Africa," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 43(3), pages 34-57, June.
  28. Maximo Camacho & Gabriel Perez-Quiros, 2013. "Commodity prices and the business cycle in Latin America: Living and dying by commodities," Banco de Espa�a Working Papers 1304, Banco de Espa�a.
  29. Mauro Costantini & Roy Cerqueti, 2007. "Non parametric Fractional Cointegration Analysis," ISAE Working Papers 78, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  30. Francisco J. Climent & Vicente Meneu, 2001. "Has 1997 Asian Crisis increased Information Flows between International Markets?," Working Papers 01-01, Asociación Española de Economía y Finanzas Internacionales.
  31. Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor & Francis Journals, vol. 20(3), pages 247-318.
  32. Paolo Zagaglia, 2010. "Informed Trading in the Euro Money Market for Term Lending," Working Paper Series 02_10, The Rimini Centre for Economic Analysis.
  33. Maximo Camacho, 2002. "Nonlinear stochastic trends and economic fluctuations," Computing in Economics and Finance 2002 274, Society for Computational Economics.
  34. Nan-Kuang Chen & Yu-Hsi Chou & Jyh-Lin Wu, 2013. "Credit Constraint and the Asymmetric Monetary Policy Effect on House Prices," Pacific Economic Review, Wiley Blackwell, vol. 18(4), pages 431-455, October.
  35. Emmanuel Davradakis, 2005. "Macroeconomic fundamentals and exchange rates: a non-parametric cointegration analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 15(7), pages 439-446.
  36. Claude Diebolt & Catherine Kyrtsou, 2006. "Non-Linear Perspectives for Population and Output Dynamics: New Evidence for Cliometrics," Working Papers 06-02, Association Française de Cliométrie (AFC).
  37. Kim Hiang Liow, 2008. "Financial Crisis and Asian Real Estate Securities Market Interdependence: Some Additional Evidence," Journal of Property Research, Taylor & Francis Journals, vol. 25(2), pages 127-155, November.
  38. Kim Hiang Liow & James R. Webb, 2008. "Nonlinear Return Dependence in Major Real Estate Markets," Journal of Property Research, Taylor & Francis Journals, vol. 25(4), pages 285-319, December.
  39. repec:ebl:ecbull:v:3:y:2005:i:41:p:1-9 is not listed on IDEAS
  40. Martin Wagner, 2002. "A Comparison of Johansen's, Bierens and the Subspace Algorithm Method for Cointegration Analysis," Diskussionsschriften dp0210, Universitaet Bern, Departement Volkswirtschaft.
  41. Kyrtsou, Catherine & Labys, Walter C., 2006. "Evidence for chaotic dependence between US inflation and commodity prices," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 256-266, March.
  42. Ata Assaf, 2006. "Nonlinear Trend Stationarity in Real Exchange Rates: Evidence from Nonlinear ADF tests," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 283-294, November.
  43. Urban, Dieter M., 2007. "Terms of trade, catch-up, and home-market effect: The example of Japan," Journal of the Japanese and International Economies, Elsevier, vol. 21(4), pages 470-488, December.
  44. Manolis Kavussanos & Ilias Visvikis & David Menachof, 2005. "The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests," Review of Derivatives Research, Springer, vol. 7(3), pages 241-266, October.
  45. Aktham Maghyereh, 2006. "The long-run relationship between stock returns and inflation in developing countries: further evidence from a nonparametric cointegration test," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(4), pages 265-273, July.
  46. repec:ebl:ecbull:v:3:y:2008:i:34:p:1-12 is not listed on IDEAS
  47. Tsangyao Chang & Chi-Wei Su & Hsiao-Ping Chu & Hsu-Ling Chang, 2005. "Does Rational Bubbles Exist in the Taiwan Stock Market? Evidence from a Nonparametric Cointegration Test," Economics Bulletin, AccessEcon, vol. 3(41), pages 1-9.
  48. Cerqueti, Roy & Costantini, Mauro, 2005. "Generalization of a nonparametric co-integration analysis for multivariate integrated processes of an integer order," Economics & Statistics Discussion Papers esdp05026, University of Molise, Dept. EGSeI.
  49. Kian-Ping Lim & Venus Khim-Sen Liew, 2003. "Testing for Non-Linearity in ASEAN Financial Markets," Finance 0308002, EconWPA.
  50. David O. Cushman, 2003. "Further evidence on the size and power of the Bierens and Johansen cointegration procedures," Economics Bulletin, AccessEcon, vol. 3(25), pages 1-7.
  51. Dietmar Bauer & Martin Wagner, 2000. "Estimating Cointegrated Systems Using Subspace Algorithms," Econometric Society World Congress 2000 Contributed Papers 0293, Econometric Society.
  52. Bouoiyour, Jamal & Marimoutou, Velayoudoum & Rey, Serge, 2003. "Trends non linéaires et co-trending dans le taux de change réel effectif du dinar tunisien
    [Nonlinear trend and co-trending in the Tunisian real effective exchange rate]
    ," MPRA Paper 30249, University Library of Munich, Germany.
  53. repec:ebl:ecbull:v:3:y:2003:i:25:p:1-7 is not listed on IDEAS
  54. Zhong, Ming & Chang,Tsangyao & Tzeng, Han-Wen, 2014. "International Equity Diversification Between the United States and Brics Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 123-138, March.
  55. Ma, Yue & Kanas, Angelos, 2000. "Testing for a nonlinear relationship among fundamentals and exchange rates in the ERM," Journal of International Money and Finance, Elsevier, vol. 19(1), pages 135-152, February.
  56. Cerqueti, Roy & Costantini, Mauro, 2005. "Asymptotic convergence of weighted random matrices: nonparametric cointegration analysis for I(2) processes," Economics & Statistics Discussion Papers esdp05027, University of Molise, Dept. EGSeI.
  57. Breitung, Jorg, 2002. "Nonparametric tests for unit roots and cointegration," Journal of Econometrics, Elsevier, vol. 108(2), pages 343-363, June.
  58. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta, 2011. "Long- and Short-Run Relationships between House and Stock Prices in South Africa: A Nonparametric Approach," Working Papers 201136, University of Pretoria, Department of Economics.
  59. Jaime Andrés Collazos & Pedro Luis Rosero, 2010. "¿Posee el Valle del Cauca una economía transformadora de importaciones orientadas a la Exportación?," DOCUMENTOS DE POLÍTICAS PÚBLICAS 006880, UNIVERSIDAD ICESI.
  60. repec:ebl:ecbull:v:30:y:2010:i:1:p:115-129 is not listed on IDEAS
  61. Cerqueti, Roy & Costantini, Mauro, 2008. "On the asymptotic behaviour of random matrices in a multivariate statistical model," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2039-2045, October.
  62. John Gallo & Ying Zhang, 2010. "Global Property Market Diversification," The Journal of Real Estate Finance and Economics, Springer, vol. 41(4), pages 458-485, November.
  63. repec:ebl:ecbull:v:7:y:2006:i:4:p:1-7 is not listed on IDEAS
  64. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, School of Economics and Management, University of Aarhus.
  65. Camacho, Maximo, 2005. "Markov-switching stochastic trends and economic fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 135-158, January.
  66. Lucey, Brian M. & Voronkova, Svitlana, 2008. "Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1303-1324, December.
  67. Tsangyao Chang & Yang-Cheng Lu, 2006. "Equity Diversification in Two Chinese Share Markets: Old Wine and New Bottle," Economics Bulletin, AccessEcon, vol. 7(4), pages 1-7.
  68. Kian-Ping Lim & M. Azali & M.S. Habibullah & Venus Khim-Sen Liew, 2003. "Are Non-Linear Dynamics a Universal Occurrence? Further Evidence From Asian Stock Markets," Finance 0308001, EconWPA.
  69. Anita Staneva, 2008. "Analysis of the Labour Market in Bulgaria through a Error Correction Model," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 90-106.
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