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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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- 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.
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- Mohammad Hashem Pesaran & Richard J Smith & Yongcheol Shin, 1999. "Structural analysis of vector error correction models with exogenous I(1) variables," Edinburgh School of Economics Discussion Paper Series 38, Edinburgh School of Economics, University of Edinburgh.
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Papers in Regional Science, Wiley Blackwell, vol. 93, pages 137-165, November.
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"A fractionally cointegrated VAR analysis of economic voting and political support,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 47(4), pages 1078-1130, November.
- Maggie E. C. Jones & Morten Ørregaard Nielsen & Micha Ksawery Popiel, 2014. "A fractionally cointegrated VAR analysis of economic voting and political support," Canadian Journal of Economics, Canadian Economics Association, vol. 47(4), pages 1078-1130, November.
- Maggie Jones & Morten Ø. Nielsen & Michal Ksawery Popiel, 2014. "A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support," Working Paper 1326, Economics Department, Queen's University.
- Maggie E. C. Jones & Morten Ørregaard Nielsen & Michael Ksawery Popiel, 2014. "A fractionally cointegrated VAR analysis of economic voting and political support," CREATES Research Papers 2014-23, Department of Economics and Business Economics, Aarhus University.
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Computational Statistics, Springer, vol. 23(1), pages 19-39, January.
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Journal of Macroeconomics, Elsevier, vol. 60(C), pages 396-407.
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Journal of the European Economic Association, MIT Press, vol. 2(2-3), pages 381-395, 04/05.
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"Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies,"
Empirical Economics, Springer, vol. 39(1), pages 51-76, August.
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