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Non-Stationary Time Series Analysis and Cointegration

Citations

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Cited by:

  1. Ralf Brüggemann & Helmut Lütkepohl, 2005. "Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(5), pages 673-690, October.
  2. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
  3. Geoffrey Shuetrim & Christopher Thompson, 2003. "The Implications of Uncertainty for Monetary Policy," The Economic Record, The Economic Society of Australia, vol. 79(246), pages 370-379, September.
  4. Vasco Gabriel, 2003. "Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison," Econometric Reviews, Taylor & Francis Journals, vol. 22(4), pages 411-435.
  5. Badri Narayan Rath & Purna Chandra Parida, 2014. "Did Openness and Human Capital Affect Total Factor Productivity? Evidence from the South Asian Region," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 6(2), pages 103-118, May.
  6. Gutierrez, Luciano & Erickson, Kenneth W. & Westerlund, Joakim, 2005. "The Present Value Model, Farmland Prices and Structural Breaks," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24702, European Association of Agricultural Economists.
  7. Cheung, Y. -W. & Chinn, M. D., 1998. "Integration, cointegration and the forecast consistency of structural exchange rate models," Journal of International Money and Finance, Elsevier, vol. 17(5), pages 813-830, October.
  8. repec:zbw:rwirep:0427 is not listed on IDEAS
  9. G. Everaert, 2007. "Estimating Long-Run Relationships between Observed Integrated Variables by Unobserved Component Methods," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/452, Ghent University, Faculty of Economics and Business Administration.
  10. repec:zbw:rwirep:0134 is not listed on IDEAS
  11. Vasco Gabriel & Luis Martins, 2011. "Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship," Empirical Economics, Springer, vol. 41(3), pages 639-662, December.
  12. Hooker, Mark A., 2000. "Misspecification versus bubbles in hyperinflation data: Monte Carlo and interwar European evidence," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 583-600, August.
  13. Tronzano, Marco, 2017. "Testing Fiscal Sustainability In The Transition Economies Of Eastern Europe: The Case Of Poland (1999-2015)," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 70(1), pages 103-132.
  14. Beckmann, Joscha & Belke, Ansgar & Kühl, Michael, 2009. "How Stable Are Monetary Models of the Dollar-Euro Exchange Rate? - A Time-varying Coefficient Approach," Ruhr Economic Papers 134, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  15. Arize, Augustine C. & Osang, Thomas & Slottje, Daniel J., 2008. "Exchange-rate volatility in Latin America and its impact on foreign trade," International Review of Economics & Finance, Elsevier, vol. 17(1), pages 33-44.
  16. Belke, Ansgar & Beckmann, Joscha & Verheyen, Florian, 2013. "Interest rate pass-through in the EMU – New evidence from nonlinear cointegration techniques for fully harmonized data," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 1-24.
  17. Juthathip Jongwanich, 2010. "Determinants of Export Performance in East and Southeast Asia," The World Economy, Wiley Blackwell, vol. 33(1), pages 20-41, January.
  18. Hammoudeh, Shawkat & Choi, Kyongwook, 2006. "Behavior of GCC stock markets and impacts of US oil and financial markets," Research in International Business and Finance, Elsevier, vol. 20(1), pages 22-44, March.
  19. Raimundo Soto, "undated". "El Tipo de Cambio Real de Equilibrio: Un modelo no lineal de Series de Tiempo," ILADES-UAH Working Papers inv094, Universidad Alberto Hurtado/School of Economics and Business.
  20. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2009. "How Stable Are Monetary Models of the Dollar-Euro Exchange Rate? - A Time-varying Coefficient Approach," Ruhr Economic Papers 0134, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  21. Chi, Junwook & Baek, Jungho, 2011. "Demand Analysis for Coal on the United States Inland Waterway System: Fully‐Modified Cointegration (FM‐OLS) Approach," Journal of the Transportation Research Forum, Transportation Research Forum, vol. 50(1).
  22. Tilak Abeysinghe & Tan Khay Boon, 1999. "Small sample estimation of a cointegrating vector: an empirical evaluation of six estimation techniques," Applied Economics Letters, Taylor & Francis Journals, vol. 6(10), pages 645-648.
  23. Ansgar Belke & Joscha Beckmann & Florian Verheyen, 2012. "Interest Rate Pass-Through in the EMU – New Evidence from Nonlinear Cointegration Techniques for Fully Harmonized Data," Ruhr Economic Papers 0350, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  24. Felipe Morandé & Raimundo Soto, "undated". "El Mercado de Clientes No Regulados en la Industria Eléctrica," ILADES-UAH Working Papers inv100, Universidad Alberto Hurtado/School of Economics and Business.
  25. Pulina, M. & O'Brien, R.J., 2002. "Monthly, annual and quarterly frequencies: a comparison of models for tourism in Sardinia and bounded rationality," Discussion Paper Series In Economics And Econometrics 206, Economics Division, School of Social Sciences, University of Southampton.
  26. Vasco J. Gabriel & Luis F. Martins, 2000. "The Properties of Cointegration Tests in Models with Structural Change," NIPE Working Papers 1/2000, NIPE - Universidade do Minho.
  27. Joscha Beckmann & Ansgar Belke & Florian Verheyen, 2013. "Exchange Rate Pass-through into German Import Prices – A Disaggregated Perspective," Ruhr Economic Papers 0427, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  28. Vittorio Corbo, 1998. "Reaching One-Digit Inflation: The Chilean Experience," Journal of Applied Economics, Universidad del CEMA, vol. 1, pages 123-163, November.
  29. Yudong Wang & Chongfeng Wu & Li Yang, 2015. "Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?," Management Science, INFORMS, vol. 61(12), pages 2870-2889, December.
  30. 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.
  31. Álvarez-Díaz, Marcos & González-Gómez, Manuel & Otero-Giráldez, María Soledad, 2018. "Main determinants of export-oriented bleached eucalyptus kraft pulp (BEKP) demand from the north-western regions of Spain," Forest Policy and Economics, Elsevier, vol. 96(C), pages 112-119.
  32. Okunade, Albert A. & Murthy, Vasudeva N. R., 2002. "Technology as a 'major driver' of health care costs: a cointegration analysis of the Newhouse conjecture," Journal of Health Economics, Elsevier, vol. 21(1), pages 147-159, January.
  33. Suzanne McCoskey & Chihwa Kao, 1999. "Testing the Stability of a Production Function with Urbanization as a Shift Factor: An Application of Non-Stationary Panel Data Techniques," Center for Policy Research Working Papers 5, Center for Policy Research, Maxwell School, Syracuse University.
  34. KHAN, Muhammad Arshad, 2008. "Long-Run And Short-Run Dynamics Of Foreign Exchange Reserves Flows And Domestic Credit In Pakistan," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 5(1), pages 61-78.
  35. Khediri, S. & Ncibi, N., 2005. "L’impact de l’infrastructure sur la croissance economique de long terme dans les pays de MENA : analyse de les secteurs d´electricite et des telephones en dix pays, 1975-1999," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, vol. 5(2).
  36. Rodrigo Cubero-Brealey, "undated". "FDI, Foreign Affiliate Operations, and the Transfer Process: Macroeconomic Adjustment to FDI Inflows in the Case of Costa Rica," QEH Working Papers qehwps87, Queen Elizabeth House, University of Oxford.
  37. Tilak Abeysinghe & Tan Lin Yeok, 1998. "Exchange rate appreciation and export competitiveness. The case of Singapore," Applied Economics, Taylor & Francis Journals, vol. 30(1), pages 51-55.
  38. Andrea Beccarini, 2017. "Verifying time inconsistency of the ECB monetary policy by means of a regime-switching approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 44(2), pages 203-227, May.
  39. Bilgili, Faik, 1998. "Stationarity and cointegration tests: Comparison of Engle - Granger and Johansen methodologies," MPRA Paper 75967, University Library of Munich, Germany.
  40. Mohammad Hasan, 2006. "A century of Purchasing Power Parity: evidence from Canada and Australia," Applied Financial Economics, Taylor & Francis Journals, vol. 16(1-2), pages 145-156.
  41. Joscha Beckmann & Ansgar Belke & Florian Verheyen, 2014. "Exchange rate pass-through into German import prices - a disaggregated perspective," Applied Economics, Taylor & Francis Journals, vol. 46(34), pages 4164-4177, December.
  42. Ioannis Litsios & Keith Pilbeam, 2019. "The Role Of National Debts In The Determination Of The Yen‐Dollar Exchange Rate," Economic Inquiry, Western Economic Association International, vol. 57(2), pages 1182-1195, April.
  43. Martin Wagner, 2004. "A Comparison of Johansen's, Bierens’ and the Subspace Algorithm Method for Cointegration Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(3), pages 399-424, July.
  44. repec:zbw:rwirep:0350 is not listed on IDEAS
  45. Elbadawi, Ibrahim A & Soto, Raimundo, 1997. "Real Exchange Rates and Macroeconomic Adjustment in Sub-Saharan Africa and Other Developing Countries," Journal of African Economies, Centre for the Study of African Economies, vol. 6(3), pages 74-120, Supplemen.
  46. Robert Witt & Ann Dryden Witte, 1998. "Crime, Imprisonment, and Female Labor Force Participation: A Time-Series Approach," NBER Working Papers 6786, National Bureau of Economic Research, Inc.
  47. David Tennant & Marlon Tracey, 2013. "Explaining related party transactions in commercial banking: looted lending and information-based investments," Applied Financial Economics, Taylor & Francis Journals, vol. 23(19), pages 1509-1530, October.
  48. Insang Hwang, 1998. "Long-run determinant of Korean economic growth: empirical evidence from manufacturing," Applied Economics, Taylor & Francis Journals, vol. 30(3), pages 391-405.
  49. Isabel Cortés-Jiménez & Ramesh Durbarry & Manuela Pulina, 2009. "Estimation of Outbound Italian Tourism Demand: A Monthly Dynamic EC-LAIDS Model," Tourism Economics, , vol. 15(3), pages 547-565, September.
  50. Magalhães, Matheus Albergaria de & Picchetti, Paulo, 2005. "Regress and Progress! An Econometric Characterization of the Short-Run Relationship between Productivity and Labor Input in Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 25(2), November.
  51. Joscha Beckmann & Michael Kühl, 2017. "The Role for Long-run Target Values of the Exchange Rate in the Bank of Japan's Policy Reaction Function," The World Economy, Wiley Blackwell, vol. 40(9), pages 1836-1865, September.
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