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Inference in Cointegrated Models Using VAR Prewhitening to Estimate Shortrun Dynamics

Citations

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Cited by:

  1. 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).
  2. Martin Lettau & Sydney C. Ludvigson, 2014. "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
  3. van Amano, Robert A & Norden, Simon, 1998. "Exchange Rates and Oil Prices," Review of International Economics, Wiley Blackwell, vol. 6(4), pages 683-694, November.
  4. Barja, Gover, 1995. "Time Series Analysis of Macroeconomic Conditions in Open Economies," MPRA Paper 62178, University Library of Munich, Germany.
  5. Masao Ogaki & Carmen M. Reinhart, 1998. "Measuring Intertemporal Substitution: The Role of Durable Goods," Journal of Political Economy, University of Chicago Press, vol. 106(5), pages 1078-1098, October.
  6. Han, Hsiang-Ling & Ogaki, Masao, 1997. "Consumption, income and cointegration," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 107-117.
  7. Masakatsu Okubo, 2011. "The Intertemporal Elasticity of Substitution: An Analysis Based on Japanese Data," Economica, London School of Economics and Political Science, vol. 78(310), pages 367-390, April.
  8. Norrbin, Stefan C. & Reffett, Kevin L., 1995. "Trade credit in a monetary economy," Journal of Monetary Economics, Elsevier, vol. 35(3), pages 413-430, June.
  9. Ogaki, Masao & Park, Joon Y., 1997. "A cointegration approach to estimating preference parameters," Journal of Econometrics, Elsevier, vol. 82(1), pages 107-134.
  10. Phillips, Peter C B, 1994. "Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models," Econometrica, Econometric Society, vol. 62(1), pages 73-93, January.
  11. Kontana Dimitra & Fountas Stilianos, 2022. "Consumption, personal income, financial wealth, housing wealth, and long-term interest rates: a panel cointegration approach for 50 US states," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(3), pages 417-435, June.
  12. Atkeson, Andrew & Ogaki, Masao, 1996. "Wealth-varying intertemporal elasticities of substitution: Evidence from panel and aggregate data," Journal of Monetary Economics, Elsevier, vol. 38(3), pages 507-534, December.
  13. Masao Ogaki & Jonathan D. Ostry & Carmen M. Reinhart, 1996. "Saving Behavior in Low- and Middle-Income Developing Countries: A Comparison," IMF Staff Papers, Palgrave Macmillan, vol. 43(1), pages 38-71, March.
  14. Corradi, Valentina & Swanson, Norman R. & White, Halbert, 2000. "Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes," Journal of Econometrics, Elsevier, vol. 96(1), pages 39-73, May.
  15. Hirukawa, Masayuki, 2023. "Robust Covariance Matrix Estimation in Time Series: A Review," Econometrics and Statistics, Elsevier, vol. 27(C), pages 36-61.
  16. Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2016. "Monetary Policy and Asset Valuation," NBER Working Papers 22572, National Bureau of Economic Research, Inc.
  17. Norrbin, Stefan C. & Reffett, Kevin L., 1996. "A substitution test of long-run money demand," Journal of Macroeconomics, Elsevier, vol. 18(2), pages 253-270.
  18. Norrbin, Stefan C. & Reffett, Kevin L., 1995. "I(2) representations of US money demand," Economics Letters, Elsevier, vol. 49(4), pages 415-423, October.
  19. Robert Amano & Tony S. Wirjanto, "undated". "The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation," Staff Working Papers 94-6, Bank of Canada.
  20. 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.
  21. Robert Amano, "undated". "Empirical Evidence on the Cost of Adjustment and Dynamic Labour Demand," Staff Working Papers 95-3, Bank of Canada.
  22. Norrbin, S. C., 1995. "Disaggregate stochastic trends in industrial production," Economics Letters, Elsevier, vol. 47(3-4), pages 327-333, March.
  23. Qunyong Wang & Na Wu, 2012. "Long-run covariance and its applications in cointegration regression," Stata Journal, StataCorp LP, vol. 12(3), pages 525-542, September.
  24. Elena Márquez de la Cruz, 2005. "La elasticidad de sustitución intertemporal y el consumo duradero: un análisis para el caso español," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 455-481, September.
  25. Ogaki, Masao & Santaella, Julio A., 2000. "The exchange rate and the term structure of interest rates in Mexico," Journal of Development Economics, Elsevier, vol. 63(1), pages 135-155, October.
  26. 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.
  27. Peter C.B. Phillips, 1991. "Unidentified Components in Reduced Rank Regression Estimation of ECM's," Cowles Foundation Discussion Papers 1003, Cowles Foundation for Research in Economics, Yale University.
  28. Kim, In-Moo & Park, Joon Y., 2005. "Iterative Maximum Likelihood Estimation of Cointegrating Vectors," Working Papers 2005-02, Rice University, Department of Economics.
  29. Yan, Isabel K. & Kakkar, Vikas, 2010. "The equilibrium real exchange rate of China: a productivity approach," MPRA Paper 35229, University Library of Munich, Germany.
  30. 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).
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