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Citations for "Testing for Cointegration in Linear Quadratic Models"

by Allan W. Gregory

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  1. Haug, A.A., 1992. "Tests for Cointegration: A Monte Carlo Comparison," Papers 93-2, York (Canada) - Department of Economics.
  2. Godbout, M.J. & Van Norden, S., 1996. "Unit-Root Test and Excess Returns," Working Papers 96-10, Bank of Canada.
  3. Francis W. Ahking & Carmelo Giaccotto & Rexford E. Santerre, 2009. "The Aggregate Demand for Private Health Insurance Coverage in the United States," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(1), pages 133-157.
  4. Arize, Augustine C., 1998. "The long-run relationship between import flows and real exchange-rate volatility: The experience of eight European economies," International Review of Economics & Finance, Elsevier, vol. 7(4), pages 417-435.
  5. Dierk Herzer, 2005. "Exportdiversifizierung und Wirtschaftswachstum in Chile, Eine ökonometrische Analyse," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 225(2), pages 163-180, March.
  6. Kawai, Masahiro & Ohara, Hidetaka, 1997. "Nonstationarity of Real Exchange Rates in the G7 Countries: Are They Cointegrated with Real Variables?," Journal of the Japanese and International Economies, Elsevier, vol. 11(4), pages 523-547, December.
  7. Allan w. Gregory & Bruce E. Hansen, 1992. "residual-Based Tests for Cointegration in Models with Regime Shifts," Working Papers 862, Queen's University, Department of Economics.
  8. Cushman, David O., 2007. "A portfolio balance approach to the Canadian-U.S. exchange rate," Review of Financial Economics, Elsevier, vol. 16(3), pages 305-320.
  9. Haug, Alfred A., 1999. "Testing linear restrictions on cointegration vectors: Sizes and powers of Wald tests in finite samples," Technical Reports 1999,04, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  10. Yunus, Nafeesa & Swanson, Peggy E., 2012. "Changing integration of EMU public property markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 194-208.
  11. Richards, Anthony J., 1995. "Comovements in national stock market returns: Evidence of predictability, but not cointegration," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 631-654, December.
  12. Jason Allen & Robert Amano & David P. Byrne & Allan W. Gregory, 2009. "Canadian city housing prices and urban market segmentation," Canadian Journal of Economics, Canadian Economics Association, vol. 42(3), pages 1132-1149, August.
  13. Hesham Alogeel & Maher Hasan, 2008. "Understanding the Inflationary Process in the GCC Region; The Case of Saudi Arabia and Kuwait," IMF Working Papers 08/193, International Monetary Fund.
  14. Gregory, Allan W. & Nason, James M. & Watt, David G., 1996. "Testing for structural breaks in cointegrated relationships," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 321-341.
  15. Marie-Josée Godbout & Simon van Norden, 1997. "Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples," Working Papers 97-1, Bank of Canada.
  16. Pål Boug & Ådne Cappelen & Anders R. Swensen, 2000. "Expectations in Export Price Formation Tests using Cointegrated VAR Models," Discussion Papers 283, Research Department of Statistics Norway.
  17. Richard Fu & Marco Pagani, 2012. "On the cointegration of international stock indices," Journal of Economics and Finance, Springer, vol. 36(2), pages 463-480, April.
  18. Robert A. Amano, . "Empirical Evidence on the Cost of Adjustment and Dynamic Labour Demand," Working Papers 95-3, Bank of Canada.
  19. Jemma Dridi & Maher Hasan, 2008. "The Impact of Oil-Related Incomeon the Equilibrium Real Exchange Rate in Syria," IMF Working Papers 08/196, International Monetary Fund.
  20. Martin Petri & Tahsin Saadi-Sedik, 2006. "The Jordanian Stock Market; Should You Invest in it for Risk Diversification or Performance?," IMF Working Papers 06/187, International Monetary Fund.
  21. Peter C.B. Phillips, 1992. "Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models," Cowles Foundation Discussion Papers 1039, Cowles Foundation for Research in Economics, Yale University.
  22. Rodolfo Helg & Massimiliano Serati, . "Does the PPP need the UIP?," Working Papers 97, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  23. 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.
  24. Rodolfo Helg & Massimiliano Serati, 2000. "The speed of adjustment to PPP: is there any puzzle?," LIUC Papers in Economics 74, Cattaneo University (LIUC).
  25. Urbain, Jean-Pierre, 1995. "Partial versus full system modelling of cointegrated systems an empirical illustration," Journal of Econometrics, Elsevier, vol. 69(1), pages 177-210, September.
  26. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2012. "Purchasing Power Parity between the UK and the Euro Area," Working papers 2012-46, University of Connecticut, Department of Economics.
  27. Allan W. Gregory & Alfred A. Haug & Nicoletta Lomuto, 2004. "Mixed signals among tests for cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 89-98.
  28. van Dijk, D.J.C. & Franses, Ph.H.B.F., 1997. "Nonlinear Error-Correction Models for Interest Rates in The Netherlands," Econometric Institute Research Papers EI 9704-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  29. Robert A. Amano & Tony S. Wirjanto, . "A Further Analysis of Exchange Rate Targeting in Canada," Working Papers 94-2, Bank of Canada.
  30. M. Imam Alam, 2003. "Manufactured Exports, Capital Good Imports, and Economic Growth: Experience of Mexico and Brazil," International Economic Journal, Taylor & Francis Journals, vol. 17(4), pages 85-105.
  31. Cushman, David O., 2008. "Long-run PPP in a system context: No favorable evidence after all for the U.S., Germany, and Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 413-424, December.
  32. Simon Stevenson & James Young, . "Capital Market Expectations and the London Office Market," Real Estate & Planning Working Papers rep-wp2011-09, Henley Business School, Reading University.
  33. Phengpis, Chanwit & Apilado, Vince P., 2004. "Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 245-263.
  34. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220 National Bureau of Economic Research, Inc.
  35. Giorgio Canarella & Stephen Miller & Stephen Pollard, 2014. "Purchasing Power Parity Between the UK and Germany: The Euro Era," Open Economies Review, Springer, vol. 25(4), pages 677-699, September.
  36. David O. Cushman, 2000. "The failure of the monetary exchange rate model for the Canadian-U.S. dollar," Canadian Journal of Economics, Canadian Economics Association, vol. 33(3), pages 591-603, August.
  37. James G. MacKinnon, 1992. "Approximate Asymptotic Distribution Functions for Unit Roots and Cointegration Tests," Working Papers 861, Queen's University, Department of Economics.
  38. Phengpis, Chanwit, 2006. "Market efficiency and cointegration of spot exchange rates during periods of economic turmoil: Another look at European and Asian currency crises," Journal of Economics and Business, Elsevier, vol. 58(4), pages 323-342.
  39. Crowder, William J. & Wohar, Mark E., 1998. "Cointegration, forecasting and international stock prices," Global Finance Journal, Elsevier, vol. 9(2), pages 181-204.
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