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Citations for "A cointegration approach to estimating preference parameters"

by Ogaki, Masao & Park, Joon Y.

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  1. Robert A. Amano & Tony S. Wirjanto, . "The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation," Working Papers 94-6, Bank of Canada.
  2. Maxym Chaban, 2010. "Cointegration analysis with structural breaks and deterministic trends: an application to the Canadian dollar," Applied Economics, Taylor & Francis Journals, vol. 42(23), pages 3023-3037.
  3. Masao Ogaki & Jonathan David Ostry & Carmen Reinhart, 1995. "Saving Behavior in Low and Middle-Income Developing Countries; A Comparison," IMF Working Papers 95/3, International Monetary Fund.
  4. Robert A. Amano & Tony S. Wirjanto, . "A Further Analysis of Exchange Rate Targeting in Canada," Working Papers 94-2, Bank of Canada.
  5. Koo, Won W. & Cho, Guedae & Kim, MinKyoung, 2005. "Macro Effects on Agricultural Prices in Different Time Horizons," 2005 Annual meeting, July 24-27, Providence, RI 19349, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  6. Vicente Esteve, 2004. "Política fiscal y productividad del trabajo en la economía española: un análisis de series temporales," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 19(1), pages 3-29, June.
  7. Fabrizio Iacone & Peter M. Robinson, 2004. "Cointegration in fractional systems with deterministic trends," LSE Research Online Documents on Economics 2232, London School of Economics and Political Science, LSE Library.
  8. Atkeson, A. & Ogaki, M., 1991. "Wealth-Varying Intertemporal Elasticities of Substitution Evidence from Panel and Aggregate Data," RCER Working Papers 303, University of Rochester - Center for Economic Research (RCER).
  9. Martin Lettau & Sydney Ludvigson, 2003. "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," NBER Working Papers 9848, National Bureau of Economic Research, Inc.
  10. Shin-Ichi Nishiyama & Masao Ogaki, 2011. "The Cross-Euler Equation Approach in Estimating the Elasticity of Intertemporal Substitution for Food and Non-Food Consumption in Japan," TERG Discussion Papers 275, Graduate School of Economics and Management, Tohoku University.
  11. Brendan McCabe & Stephen Leybourne & David Harris, 2003. "Testing for Stochastic Cointegration and Evidence for Present Value Models," Econometrics 0311009, EconWPA.
  12. Jang, Kyungho & Ogaki, Masao, 2003. "The Effects of Japanese Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 21(1), pages 1-34, February.
  13. Robert A. Amano & Tony S. Wirjanto, 1998. "Government Expenditures and the Permanent-Income Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 1(3), pages 719-730, July.
  14. Manuel Ramos Francia & Daniel Chiquiar, 2004. "Bilateral Trade and Business Cycle Synchronization: Evidence from Mexico and United States Manufacturing Industries," Working Papers 2004-05, Banco de México.
  15. Bruno Chiarini & Elisabetta Marzano, 2006. "Market Consumption and Hidden Consumption: A Test for Substitutability," Discussion Papers 12_2006, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
  16. Auteri, Monica & Costantini, Mauro, 2010. "A panel cointegration approach to estimating substitution elasticities in consumption," Economic Modelling, Elsevier, vol. 27(3), pages 782-787, May.
  17. repec:cep:stiecm:/2004/476 is not listed on IDEAS
  18. Yoichi Arai, 2004. "Testing for Linearity in Regressions with I (1) processes," CARF F-Series CARF-F-014, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  19. Kwan, Yum K. & Leung, Charles Ka Yui & Dong, Jinyue, 2014. "Comparing Consumption-based Asset Pricing Models: The Case of an Asian City," MPRA Paper 60513, University Library of Munich, Germany.
  20. Okubo, Masakatsu, 2003. "Intratemporal substitution between private and government consumption: the case of Japan," Economics Letters, Elsevier, vol. 79(1), pages 75-81, April.
  21. Antonio E. Noriega & Daniel Ventosa-Santaularia, 2012. "The effect of structural breaks on the Engle-Granger test for cointegration," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 27(1), pages 99-132.
  22. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
  23. Emilio Fernandez-Corugedo & Simon Price & Andrew Blake, 2003. "The dynamics of consumers' expenditure: the UK consumption ECM redux," Bank of England working papers 204, Bank of England.
  24. T. Randolph Beard & John D. Jackson & David Kaserman & Hyeongwoo Kim, 2010. "A Time-Series Analysis of U.S. Kidney Transplantation and the Waiting List: Donor Substitution Effects and "Dirty Altruism"," Auburn Economics Working Paper Series auwp2010-01, Department of Economics, Auburn University.
  25. Cho, Guedae & Kim, MinKyoung & Koo, Won W., 2003. "Relative Agricultural Price Changes In Different Time Horizons," 2003 Annual meeting, July 27-30, Montreal, Canada 22249, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  26. Shin-Ichi Nishiyama, 2005. "The cross-Euler equation approach to intertemporal substitution in import demand," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 841-872.
  27. Balcombe, K. G. & Davis, J. R., 1996. "An application of cointegration theory in the estimation of the almost ideal demand system for food consumption in Bulgaria," Agricultural Economics, Blackwell, vol. 15(1), pages 47-60, September.
  28. Yum K. Kwan, 2006. "The Direct Substitution Between Government and Private Consumption in East Asia," NBER Working Papers 12431, National Bureau of Economic Research, Inc.
  29. Frank, Murray Z. & Goyal, Vidhan K., 2004. "The effect of market conditions on capital structure adjustment," Finance Research Letters, Elsevier, vol. 1(1), pages 47-55, March.
  30. Chi-Young Choi & Ling Hu & Masao Ogaki, 2005. "Structural Spurious Regressions and A Hausman-type Cointegration Test," RCER Working Papers 517, University of Rochester - Center for Economic Research (RCER).
  31. Masao Ogaki & Chi-Young Choi, 2001. "The Gauss-Markov Theorem and Spurious Regressions," Working Papers 01-13, Ohio State University, Department of Economics.
  32. Louis J. Maccini & Bartholomew Moore & Huntley Schaller, 2013. "Inventory Behavior with Permanent Sales Shocks," Fordham Economics Discussion Paper Series dp2013-03, Fordham University, Department of Economics.
  33. Okubo, Masakatsu, 2002. "Long-Run Relationship between Consumption and Income in Japan: Tests of the Deterministic Cointegration Restriction," Journal of the Japanese and International Economies, Elsevier, vol. 16(2), pages 253-278, June.
  34. Robert A. Amano & Wai-Ming Ho & Tony S. Wirjanto, 1999. "Intraperiod and Intertemporal Substitution in Import Demand," Cahiers de recherche CREFE / CREFE Working Papers 84, CREFE, Université du Québec à Montréal.
  35. Antonio Cubel & Vicente Esteve & Maria Teresa Sanchis & Juan A. Sanchis-Llopis, 2014. "The effect of foreign and domestic patents on total factor productivity during the second half of the 20th century," Working Papers 06/14, Instituto Universitario de Análisis Económico y Social.
  36. Toru Konishi & Valerie A. Ramey & Clive W.J. Granger, 1993. "Stochastic Trends and Short-Run Relationships Between Financial Variables and Real Activity," NBER Working Papers 4275, National Bureau of Economic Research, Inc.
  37. Tony Wirjanto, 2004. "Exploring consumption-based asset pricing model with stochastic-trend forcing processes," Applied Economics, Taylor & Francis Journals, vol. 36(14), pages 1591-1597.
  38. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 1305, Department of Applied Economics II, Universidad de Valencia.
  39. Yum K. Kwan, 2007. "The Direct Substitution between Government and Private Consumption in East Asia," NBER Chapters, in: Fiscal Policy and Management in East Asia, NBER-EASE, Volume 16, pages 45-58 National Bureau of Economic Research, Inc.
  40. Gundlach, Erich, 1993. "Die Dienstleistungsnachfrage als Determinante des wirtschaftlichen Strukturwandels," Open Access Publications from Kiel Institute for the World Economy 763, Kiel Institute for the World Economy (IfW).
  41. Kyungho Jang, 2001. "Impulse Response Analysis with Long Run Restrictions on Error Correction Models," Working Papers 01-04, Ohio State University, Department of Economics.
  42. Chiquiar, Daniel & Ramos-Francia, Manuel, 2005. "Trade and business-cycle synchronization: evidence from Mexican and U.S. manufacturing industries," The North American Journal of Economics and Finance, Elsevier, vol. 16(2), pages 187-216, August.
  43. Mario J. Crucini & Mototsugu Shintani, 2010. "Measuring Business Cycles by Saving for a Rainy Day," NBER Working Papers 16075, National Bureau of Economic Research, Inc.
  44. Reinhart, Carmen & Ogaki, Masao, 1998. "Intertemporal substitution and durable goods: long-run data," MPRA Paper 13683, University Library of Munich, Germany.
  45. Schindler, Felix & Voronkova, Svitlana, 2010. "Linkages between international securitized real estate markets: Further evidence from time-varying and stochastic cointegration," ZEW Discussion Papers 10-051, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  46. 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.
  47. H. Youn Kim & Junsoo Lee, 2001. "Quasi-fixed inputs and long-run equilibrium in production: a cointegration analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(1), pages 41-57.
  48. David De La Croix & Jean-Pierre Urbain, 1998. "Intertemporal substitution in import demand and habit formation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(6), pages 589-612.
  49. Masao Ogaki, 2003. "Aggregation under Complete Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 977-986, October.
  50. Bajo-Rubio, Oscar, 2012. "The balance-of-payments constraint on economic growth in a long-term perspective: Spain, 1850–2000," Explorations in Economic History, Elsevier, vol. 49(1), pages 105-117.
  51. Kong, Moon-Kee & Lee, Hoe-Kyung, 1999. "Demand for medical care, consumption and cointegration," Economics Letters, Elsevier, vol. 62(3), pages 325-330, March.
  52. Martin Lettau & Sydney C. Ludvigson, 2013. "Shocks and Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 293-354 National Bureau of Economic Research, Inc.
  53. Choi, Chi-Young & Hu, Ling & Ogaki, Masao, 2008. "Robust estimation for structural spurious regressions and a Hausman-type cointegration test," Journal of Econometrics, Elsevier, vol. 142(1), pages 327-351, January.
  54. 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.
  55. Li, Qing & Papell, David, 1999. "Convergence of international output Time series evidence for 16 OECD countries," International Review of Economics & Finance, Elsevier, vol. 8(3), pages 267-280, September.
  56. Fabrizio Iacone & Peter M Robinson, 2004. "Cointegration in Fractional Systems with Deterministic Trends," STICERD - Econometrics Paper Series 476, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  57. Jaebeom Kim & Masao Ogaki & Minseok Yang, 2003. "Structural Error Correction Models: Instrumental Variables Methods and an application to an exchange rate model," RCER Working Papers 502, University of Rochester - Center for Economic Research (RCER).
  58. Esteve, Vicente & Tamarit, Cecilio, 2012. "Is there an environmental Kuznets curve for Spain? Fresh evidence from old data," Economic Modelling, Elsevier, vol. 29(6), pages 2696-2703.
  59. Jang, Kyungho & Ogaki, Masao, 2004. "The effects of monetary policy shocks on exchange rates: A structural vector error correction model approach," Journal of the Japanese and International Economies, Elsevier, vol. 18(1), pages 99-114, March.
  60. Vicente Esteve & Francisco Requena, 2006. "A Cointegration Analysis of Car Advertising and Sales Data in the Presence of Structural Change," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 13(1), pages 111-128.
  61. Hahn, Jaehoon & Lee, Hangyong, 2006. "Interpreting the predictive power of the consumption-wealth ratio," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 183-202, March.
  62. Kakkar, Vikas, 2001. "Long run real exchange rates: evidence from Mexico," Economics Letters, Elsevier, vol. 72(1), pages 79-85, July.
  63. Chi-Young Choi; Ling Hu; Masao Ogaki, 2004. "A Spurious Regression Approach to Estimating Structural Parameters," Econometric Society 2004 Far Eastern Meetings 555, Econometric Society.
  64. Ogaki, Masao & Park, Joon Y., 1997. "A cointegration approach to estimating preference parameters," Journal of Econometrics, Elsevier, vol. 82(1), pages 107-134.
  65. M. Lucey, Brian & Voronkova, Svitlana, 2005. "Russian equity market linkages before and after the 1998 crisis: Evidence from time-varying and stochastic cointegration tests," BOFIT Discussion Papers 12/2005, Bank of Finland, Institute for Economies in Transition.
  66. Robert A. Amano & Tony S. Wirjanto, 1995. "An Empirical Investigation into Government Spending and Private Sector Behaviour," Macroeconomics 9502005, EconWPA.
  67. Kakkar, Vikas & Ogaki, Masao, 1999. "Real exchange rates and nontradables: A relative price approach," Journal of Empirical Finance, Elsevier, vol. 6(2), pages 193-215, April.
  68. Vikas Kakkar, 2003. "The Relative Price of Nontraded Goods and Sectoral Total Factor Productivity: An Empirical Investigation," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 444-452, May.
  69. James M. Nason, 1991. "The permanent income hypothesis when the bliss point is stochastic," Discussion Paper / Institute for Empirical Macroeconomics 46, Federal Reserve Bank of Minneapolis.
  70. Sadiye Baykara & Erdinç Telatar, 2012. "The Stationarity Of Consumption-Income Ratios With Nonlinear And Asymmetric Unit Root Tests: Evidence From Fourteen Transition Economies," Hacettepe University Department of Economics Working Papers 20129, Hacettepe University, Department of Economics.
  71. Amano, Robert A. & Wirjanto, Tony S., 1996. "Intertemporal substitution, imports and the permanent income model," Journal of International Economics, Elsevier, vol. 40(3-4), pages 439-457, May.
  72. Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 263-298.
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