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Citations for "Bootstrapping cointegrating regressions"

by Li, Hongyi & Maddala, G. S.

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  1. Focarelli, Dario, 2005. "Bootstrap bias-correction procedure in estimating long-run relationships from dynamic panels, with an application to money demand in the euro area," Economic Modelling, Elsevier, vol. 22(2), pages 305-325, March.
  2. Miguel Arranz & Alvaro Escribano, 2006. "Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 15(1), pages 179-208, June.
  3. Berkowitz, J. & Birgean, I. & Kilian, L., 1999. "On the Finite-Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series," Papers 99-01, Michigan - Center for Research on Economic & Social Theory.
  4. Gabriel Bruneau & Kevin Moran, 2017. "Exchange rate fluctuations and labour market adjustments in Canadian manufacturing industries," Canadian Journal of Economics, Canadian Economics Association, vol. 50(1), pages 72-93, February.
  5. Kelvin Balcombe & Richard Tiffin, 2002. "Bootstrap testing of the expectations hypothesis with the term structure of interest rates," Applied Economics Letters, Taylor & Francis Journals, vol. 9(9), pages 563-566.
  6. Westerlund, Joakim, 2005. "Panel Cointegration Tests of the Fisher Hypothesis," Working Papers 2005:10, Lund University, Department of Economics.
  7. Michael Melvin & Joachim Grammig & Christian Schlag, "undated". "Price Discovery in International Equity Trading," Working Papers 2133299, Department of Economics, W. P. Carey School of Business, Arizona State University.
  8. Elena Pesavento, 2007. "Residuals-based tests for the null of no-cointegration: an Analytical comparison," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(1), pages 111-137, January.
  9. Morrison, J. A. & Balcombe, K. & Bailey, A. & Klonaris, S. & Rapsomanikis, G., 2003. "Expenditure on different categories of meat in Greece: the influence of changing tastes," Agricultural Economics, Blackwell, vol. 28(2), pages 139-150, March.
  10. Alessandra Canepa & Raymond O'Brien, 2000. "The Size and Power of Bootstrap Tests for Linear Restrictions in Misspecified Cointegrating Relationships," Econometric Society World Congress 2000 Contributed Papers 1807, Econometric Society.
  11. Guglielmo Maria Caporale & Mario Cerrato, 2008. "Black Market and Official Exchange Rates: Long-run Equilibrium and Short-run Dynamics," Review of International Economics, Wiley Blackwell, vol. 16(3), pages 401-412, August.
  12. Di Iorio, Francesca & Fachin, Stefano, 2007. "Cointegration testing in dependent panels with breaks," MPRA Paper 3139, University Library of Munich, Germany.
  13. Balcombe, Kelvin & Chalak, Ali & Fraser, Iain, 2009. "Model selection for the mixed logit with Bayesian estimation," Journal of Environmental Economics and Management, Elsevier, vol. 57(2), pages 226-237, March.
  14. Anthony B. Atkinson & Peter G. Backus & John Micklewright & Cathy Pharoah & Sylke V. Schnepf, 2012. "Charitable giving for overseas development: UK trends over a quarter century," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 175(1), pages 167-190, January.
  15. García Solanes, José & Torrejón-Flores, Fernando, 2009. "The Balassa-Samuelson Hypothesis in Developed Countries and Emerging Market Economies: Different Outcomes Explained," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 3, pages 1-24.
  16. Tiffin, J. Richard & Balcombe, Kelvin George, 2003. "Testing Symmetry And Homogeneity In The Aids With Cointegrated Data Using Fully-Modified Estimation And The Bootstrap," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa 25845, International Association of Agricultural Economists.
  17. Fernandes, Marcelo & Scherrer, Cristina M., 2013. "Price discovery in dual-class shares across multiple markets," Textos para discussão 344, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  18. Juha Junttila, 2003. "Detecting speculative bubbles in an IT-intensive stock market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(2), pages 166-189, June.
  19. Grammig, Joachim & Melvin, Michael & Schlag, Christian, 2005. "Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 139-164, January.
  20. Bruggeman, Annick & Donati, Paola & Warne, Anders, 2003. "Is the demand for euro area M3 stable?," Working Paper Series 255, European Central Bank.
  21. Gervais, Jean-Philippe & Khraief, Naceur, 2007. "AJAE Appendix: Is Exchange Rate Pass-Through in Pork Meat Export Prices Constrained by the Supply of Live Hogs?," American Journal of Agricultural Economics Appendices, Agricultural and Applied Economics Association, vol. 89(4), November.
  22. Arize, Augustine C. & Malindretos, John & Ghosh, Dilip, 2015. "Purchasing power parity-symmetry and proportionality: Evidence from 116 countries," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 69-85.
  23. Kevin D. Hoover & Stephen J. Perez, 1999. "Data mining reconsidered: encompassing and the general-to-specific approach to specification search," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 167-191.
  24. Pesaran, Mohammad Hashem & Holly, Sean & Dees, Stephane & Smith, L. Vanessa, 2007. "Long Run Macroeconomic Relations in the Global Economy," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 1, pages 1-20.
  25. Psaradakis, Zacharias, 2001. "On bootstrap inference in cointegrating regressions," Economics Letters, Elsevier, vol. 72(1), pages 1-10, July.
  26. Omtzigt Pieter & Fachin Stefano, 2002. "Bootstrapping and Bartlett corrections in the cointegrated VAR model," Economics and Quantitative Methods qf0212, Department of Economics, University of Insubria.
  27. David Brownstone & Robert Valletta, 2001. "The Bootstrap and Multiple Imputations: Harnessing Increased Computing Power for Improved Statistical Tests," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 129-141, Fall.
  28. Galimberti, Jaqueson K. & Moura, Marcelo L., 2013. "Taylor rules and exchange rate predictability in emerging economies," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1008-1031.
  29. Koji Nakamura & Yumi Saita, 2007. "Land Prices and Fundamentals," Bank of Japan Working Paper Series 07-E-8, Bank of Japan.
  30. Rasmus Kattai & John Lewis, 2005. "Hooverism, Hyperstabilisation or Halfway-House? Describing Fiscal Policy in Central and Eastern European EU Members," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 5(2), pages 38-47, July.
  31. Covrig, Vicentiu & Melvin, Michael, 2002. "Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 271-285, August.
  32. Richard Tiffin & Xavier Irz, 2006. "Is agriculture the engine of growth?," Agricultural Economics, International Association of Agricultural Economists, vol. 35(1), pages 79-89, July.
  33. Bruno Larue & Jean-Philippe Gervais & Yannick Rancourt, 2010. "Exchange rate pass-through, menu costs and threshold cointegration," Empirical Economics, Springer, vol. 38(1), pages 171-192, February.
  34. Aka, F.B. & Decaluwe, B., 1999. "Causality and Comovement Between Tax Rate and Budget Deficits: Further Evidence from Developing Countries," Papers 9911, Laval - Recherche en Politique Economique.
  35. Kate Phylaktis & Long Chen, 2010. "Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 228-246.
  36. Flad, Michael & Jung, Robert C., 2008. "A common factor analysis for the US and the German stock markets during overlapping trading hours," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 498-512, December.
  37. Ince, Onur, 2014. "Forecasting exchange rates out-of-sample with panel methods and real-time data," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 1-18.
  38. Hanck, Christoph, 2007. "A meta analytic approach to testing for panel cointegration," Technical Reports 2007,02, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  39. Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza, 2015. "Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 35-48.
  40. Jeong, Jinook & Chung, Seoung, 2001. "Bootstrap tests for autocorrelation," Computational Statistics & Data Analysis, Elsevier, vol. 38(1), pages 49-69, November.
  41. Chang, Yoosoon & Park, Joon Y. & Song, Kevin, 2006. "Bootstrapping cointegrating regressions," Journal of Econometrics, Elsevier, vol. 133(2), pages 703-739, August.
  42. Nazrullaeva, Eugenia, 2010. "Modeling the relationship between investment processes and costs structure applied to Russian economic activities in 2005-2009," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 19(3), pages 38-61.
  43. Soultanaeva, Albina, 2010. "Financial Intermediation and Economic Growth: Evidence from the Baltic countries," Umeå Economic Studies 817, Umeå University, Department of Economics.
  44. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2006. "A bootstrap-corrected causality test: another look at the money–income relationship," Empirical Economics, Springer, vol. 31(1), pages 207-216, March.
  45. Fuertes, Ana-Maria, 2008. "Sieve bootstrap t-tests on long-run average parameters," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3354-3370, March.
  46. Gunnar BÃ¥rdsen & Luca Fanelli, 2015. "Frequentist Evaluation of Small DSGE Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 307-322, July.
  47. Sapp, Stephen G., 2002. "Price Leadership in the Spot Foreign Exchange Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(03), pages 425-448, September.
  48. Wesseh, Presley K. & Zoumara, Babette, 2012. "Causal independence between energy consumption and economic growth in Liberia: Evidence from a non-parametric bootstrapped causality test," Energy Policy, Elsevier, vol. 50(C), pages 518-527.
  49. 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.
  50. Pesavento, Elena, 2004. "Analytical evaluation of the power of tests for the absence of cointegration," Journal of Econometrics, Elsevier, vol. 122(2), pages 349-384, October.
  51. Jentsch, Carsten & Paparoditis, Efstathios & Politis, Dimitris N., 2014. "Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes," Working Papers 14-18, University of Mannheim, Department of Economics.
  52. Li, Hongyi & Xiao, Zhijie, 2000. "On bootstrapping regressions with unit root processes," Statistics & Probability Letters, Elsevier, vol. 48(3), pages 261-267, July.
  53. Heino Nielsen & Christopher Bowdler, 2006. "Inflation adjustment in the open economy: an I(2) analysis of UK prices," Empirical Economics, Springer, vol. 31(3), pages 569-586, September.
  54. Davidson, James, 2002. "A model of fractional cointegration, and tests for cointegration using the bootstrap," Journal of Econometrics, Elsevier, vol. 110(2), pages 187-212, October.
  55. Virmantas Kvedaras, 2005. "Explanation of Economic Growth Differences in the CEE Countries: Importance of the BOP Constraint," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 5(2), pages 48-65, July.
  56. Casalin, Fabrizio, 2016. "Size and power of tests based on Permanent-Transitory Component Models," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 142-153.
  57. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc.
  58. Yang, Zheng & Tian, Zheng & Yuan, Zixia, 2008. "Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(4), pages 507-513.
  59. Claus-Friedrich Laaser & Klaus Schrader, 2005. "Baltic Trade with Europe: Back to the Roots?," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 5(2), pages 15-37, July.
  60. Bergström, Pål, 1999. "Bootstrap Methods and Applications in Econometrics - A Brief Survey," Working Paper Series 1999:2, Uppsala University, Department of Economics.
  61. Morten Hansen, 2005. "The Irosh Growth Miracle: Can Latvia Replicate?," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 5(2), pages 3-14, July.
  62. Kilian, Lutz, 1999. "Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 491-510, Sept.-Oct.
  63. 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.
  64. Peter C.B. Phillips, 2001. "Bootstrapping Spurious Regression," Cowles Foundation Discussion Papers 1330, Cowles Foundation for Research in Economics, Yale University.
  65. Khalaf, Lynda & Urga, Giovanni, 2014. "Identification robust inference in cointegrating regressions," Journal of Econometrics, Elsevier, vol. 182(2), pages 385-396.
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