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Citations of
Soren Johansen

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Working papers

  1. Søren Johansen & Bent Nielsen, 2008. "An analysis of the indicator saturation estimator as a robust regression estimator," Economics Papers 2008-W03, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:

    Cited by:

    1. Neil R. Ericsson & Steven B. Kamin, 2008. "Constructive data mining: modeling argentine broad money demand," International Finance Discussion Papers 943, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  2. Kevin D. Hoover & Katarina Juselius & Søren Johansen, 2007. "Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression," Discussion Papers 07-35, University of Copenhagen. Department of Economics. [Downloadable!]
    Published as:

    Cited by:

    1. Katarina Juselius, 2007. "The PPP Puzzle: What the Data Tell when Allowed to Speak Freely," Discussion Papers 07-33, University of Copenhagen. Department of Economics, revised Dec 2007. [Downloadable!]
    2. Framroze Moller, Niels, 2008. "Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model," Economics Discussion Papers 2008-21, Kiel Institute for the World Economy. [Downloadable!]
    3. Tovar, Camilo Ernesto, 2008. "DSGE Models and Central Banks," Economics Discussion Papers 2008-30, Kiel Institute for the World Economy. [Downloadable!]
    4. Neil R. Ericsson & Steven B. Kamin, 2008. "Constructive data mining: modeling argentine broad money demand," International Finance Discussion Papers 943, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    5. Camilo E Tovar, 2008. "DSGE models and central banks," BIS Working Papers 258, Bank for International Settlements. [Downloadable!]

  3. Søren Johansen & Morten Ørregaard Nielsen, 2007. "Likelihood Inference for a Nonstationary Fractional Autoregressive Model," Discussion Papers 07-27, University of Copenhagen. Department of Economics. [Downloadable!]
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    Cited by:

    1. Morten Ørregaard Nielsen, 2008. "Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders," Working Papers 1174, Queen's University, Department of Economics. [Downloadable!]

  4. Katarina Juselius & Søren Johansen, 2005. "Extracting Information from the Data: A Popperian View on Empirical Macro," Discussion Papers 05-05, University of Copenhagen. Department of Economics. [Downloadable!]

    Cited by:

    1. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period," UNU-MERIT Working Paper Series 012, United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology. [Downloadable!]
    2. Gunnar Bårdsen & Kjersti-Gro Lindquist & Dimitrios P. Tsomocos, 2006. "Evaluation of macroeconomic models for financial stability analysis," Working Paper 2006/01, Norges Bank. [Downloadable!]
      Other versions:
    3. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period," UNU-MERIT Working Paper Series 016, United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology. [Downloadable!]

  5. Soren Johansen & Katarina Juselius, 2001. "Controlling Inflation in a Cointegrated Vector Autoregressive Model with an Application to US Data," Discussion Papers 01-03, University of Copenhagen. Department of Economics. [Downloadable!]
    Other versions:

    Cited by:

    1. Giuliana Passamani & Roberto Tamborini, 2006. "Monetary policy through the “credit-cost channel”. Italy and Germany," Department of Economics Working Papers 0609, Department of Economics, University of Trento, Italia. [Downloadable!]
    2. Anders Møller Christensen & Heino Bohn Nielsen, 2005. "US Monetary Police 1988-2004: An Empirical Analysis," FRU Working Papers 2005/01, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
    3. Fabrizio Coricelli & Boštjan Jazbec & Igor Masten, 2004. "Exchange Rate Policy and Inflation in Acceding Countries: The Role of Pass-through," William Davidson Institute Working Papers Series 2004-674, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    4. Reimers, Hans-Eggert, 2002. "Analysing Divisia Aggregates for the Euro Area," Discussion Paper Series 1: Economic Studies 2002,13, Deutsche Bundesbank, Research Centre. [Downloadable!]
    5. Nuno Cassola & Claudio Morana, 2002. "Monetary policy and the stock market in the Euro area," Working Paper Series 119, European Central Bank. [Downloadable!]
    6. Katarina Juselius, 2001. "European integration and monetary transmission mechanisms: the case of Italy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 341-358. [Downloadable!]

  6. Soren JOHANSEN, 2001. "The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model," Economics Working Papers ECO2001/01, European University Institute. [Downloadable!]
    Published as:

    Cited by:

    1. Bent Nielsen & Heino Bohn Nielsen, 2008. "Properties of Estimated Characteristic Roots," Discussion Papers 08-13, University of Copenhagen. Department of Economics. [Downloadable!]
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    2. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features," Econometric Reviews, Taylor and Francis Journals, vol. 21(3), pages 273-307. [Downloadable!] (restricted)
      Other versions:

  7. Johansen, S., 2000. "A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model," Economics Working Papers eco2000/15, European University Institute.

    Cited by:

    1. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249. [Downloadable!]
      Other versions:
    2. Mark Taylor & Lucio Sarno, 2001. "Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 5(3), pages 1077-1077. [Downloadable!] (restricted)
    3. Katarina Juselius & David F. Hendry, 2000. "Explaining Cointegration Analysis: Part II," Discussion Papers 00-20, University of Copenhagen. Department of Economics. [Downloadable!]
    4. Sugita, Katsuhiro, 2002. "Testing For Cointegration Rank Using Bayes Factors," The Warwick Economics Research Paper Series (TWERPS) 654, University of Warwick, Department of Economics. [Downloadable!]

  8. Johansen, S., 1999. "A Bartlett Correction Factor for Tests on the Cointegrating Relations," Economics Working Papers eco99/10, European University Institute.

    Cited by:

    1. Jan Overgaard Olesen, . "A Simple Explanation of Stock Price Behavior in the Long Run: Evidence for Denmark," EPRU Working Paper Series 00-09, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]
    2. Michael Bergman & Yin-Wong Cheung & Kon S. Lai, 2005. "The Common-Trend and Transitory Dynamics in Real Exchange Rate Fluctuations," FRU Working Papers 2005/05, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]

  9. Johansen, S., 1999. "A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors," Economics Working Papers eco99/9, European University Institute.
    Published as:

    Cited by:

    1. Chevillon, Guillaume, 2007. "Inference in the Presence of Stochastic and Deterministic Trends," ESSEC Working Papers DR 07021, ESSEC Research Center, ESSEC Business School. [Downloadable!]
    2. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249. [Downloadable!]
      Other versions:
    3. Alessandra Canepa & Raymond O'Brien, 2000. "The Size and Power of Bootstrap Tests for Linear Restrictions in Misspecified Cointegrating Relationships," Econometric Society World Congress 2000 Contributed Papers 1807, Econometric Society. [Downloadable!]

  10. Johansen, S. & Schaumburg, E., 1997. "Likelihood Analysis of Seasonal Cointegration," Economics Working Papers eco97/16, European University Institute.
    Published as:

    Cited by:

    1. Dietmar Bauer & Martin Wagner, 2003. "On Polynomial Cointegration in the State Space Framework," Diskussionsschriften dp0313, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
    2. Cubadda, Gianluca & Omtzigt, Pieter, 2003. "Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems," Economics & Statistics Discussion Papers esdp03012, University of Molise, Dept. SEGeS. [Downloadable!]
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    3. Raimundo Soto & Matías Tapia, 2001. "Seasonal cointegration and the stability of the demand for money," Working Papers Central Bank of Chile 103, Central Bank of Chile. [Downloadable!]
    4. Peter Hansen, 2000. "The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes," University of California at San Diego, Economics Working Paper Series 2000-17, Department of Economics, UC San Diego. [Downloadable!]
    5. Dietmar Bauer & Martin Wagner, 2003. "A Canonical Form for Unit Root Processes in the State Space Framework," Diskussionsschriften dp0312, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
      Other versions:
    6. Raimundo Soto, 2000. "Ajuste Estacional e Integración en Variables Macroeconómicas," Working Papers Central Bank of Chile 73, Central Bank of Chile. [Downloadable!]
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    7. Gianluca Cubadda, 2001. "Common Features In Time Series With Both Deterministic And Stochastic Seasonality," Econometric Reviews, Taylor and Francis Journals, vol. 20(2), pages 201-216. [Downloadable!] (restricted)
    8. Bent Nielsen, 2005. "Analysis of co-explosive processes," Economics Papers 2005-W08, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    9. Gustavsson, Patrik & Nordström, Jonas, 1999. "The Impact of Seasonal Unit Roots and Vector ARMA Modeling on Forecasting Monthly Tourism Flows," Working Paper Series 150, Trade Union Institute for Economic Research, revised 01 Jul 2000. [Downloadable!]
    10. Dietmar Bauer & Martin Wagner, 2002. "Asymptotic Properties of Pseudo Maximum Likelihood Estimates for Multiple Frequency I(1) Processes," Diskussionsschriften dp0205, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
    11. Johan Lyhagen, 2006. "The seasonal KPSS statistic," Economics Bulletin, Economics Bulletin, vol. 3(13), pages 1-9. [Downloadable!]
      Other versions:
    12. Pami Dua & Lokendra Kumawat, 2005. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working papers 136, Centre for Development Economics, Delhi School of Economics. [Downloadable!]
    13. Peter Reinhard Hansen, . "The Johansen-Granger Representation Theorem: A Closed Form Expression for I(1)Processes Creation-Date: 2000," Working Papers 2000-19, Brown University, Department of Economics. [Downloadable!]
    14. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, EconWPA. [Downloadable!]
    15. Gianluca Cubadda, 2000. "Complex Reduced Rank Models for Seasonally Cointegrated Time Series," Econometric Society World Congress 2000 Contributed Papers 0092, Econometric Society. [Downloadable!]
      Other versions:
    16. H. Peter Boswijk & Jurgen Doornik, 2003. "Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview," Economics Papers 2003-W10, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:

  11. Søren Johansen and Anders Rygh Swensen, 1994. "Testing Rational Expectations in Vector Autoregressive Models," Discussion Papers 129, Research Department of Statistics Norway.

    Cited by:

    1. Katarina Juselius & Søren Johansen, 2005. "Extracting Information from the Data: A Popperian View on Empirical Macro," Discussion Papers 05-05, University of Copenhagen. Department of Economics. [Downloadable!]

  12. Søren Johansen & Katarina Juselius, 1992. "Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model," Discussion Papers 92-04, University of Copenhagen. Department of Economics.
    Published as:

    Cited by:

    1. Funding la Cour, Lisbeth & Møllegaard, H. Peter, 2000. "TESTS OF (ABUSE OF) DOMINATION: The Danish cement industry," Working Papers 10-2000, Copenhagen Business School, Department of Economics. [Downloadable!]
    2. Cerqueti, Roy & Costantini, Mauro, 2005. "Asymptotic convergence of weighted random matrices: nonparametric cointegration analysis for I(2) processes," Economics & Statistics Discussion Papers esdp05027, University of Molise, Dept. SEGeS. [Downloadable!]
    3. Norbert Fiess & Marco fugazza & William Maloney, 2002. "Exchange Rate Appreciations, Labor Market Rigidities, and Informality," Working Papers 2005_15, Department of Economics, University of Glasgow. [Downloadable!]
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    4. Dimitris Hatzinikolaou & Metodey Polasek, 2005. "The commodity-currency view of the Australian dollar: A multivariate cointegration approach," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 81-99, May. [Downloadable!]
    5. Yavapolkul, Navin & Gopinath, Munisamy & Gulati, Ashok, 2004. "Post-Uruguay Round price linkages between developed and developing countries," MTID discussion papers 76, International Food Policy Research Institute (IFPRI). [Downloadable!]
    6. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]
    7. Regt,E.R.,de, 2004. "Hourly wages and working time in the Dutch market sector 1962-1995," Research Memoranda 028, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    8. Kalyoncu, Huseyin, 2006. "An aggregate import demand function for Turkey: a cointegration analysis," MPRA Paper 4260, University Library of Munich, Germany. [Downloadable!]
    9. Hubert Strauß, 2001. "Cointegration Analysis in an Inflationary Environment: What Can We Learn from Ukraine's Nominal Exports?," Kiel Working Papers 1084, Kiel Institute for the World Economy. [Downloadable!]
    10. Jesus Otero & Manuel Ramirez, 2002. "On the determinants of the inflation rate in Colombia: a disequilibrium market approach," BORRADORES DE INVESTIGACIÓN 003296, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
    11. Dilip Dutta & Nasiruddin Ahmed, . "An Aggregate Import Demand Function for India: A Cointegration Analysis," Working Papers 2001-3, University of Sydney, Department of Economics. [Downloadable!]
    12. Martin B. Schmidt, 2003. "Money and prices: evidence from the G7 countries," Applied Economics, Taylor and Francis Journals, vol. 35(17), pages 1799-1809, November. [Downloadable!] (restricted)
    13. Panayiotis Diamantis & Dimitris Georgoutsos & George Kouretas, 2001. "The Monetary Approach in the Presence of I(2) Components: A Cointegration Analysis of the Official and Black Market for Foreign Currency in Latin America," Working Papers 0108, University of Crete, Department of Economics. [Downloadable!]
    14. Frank Kleibergen & Herman van Dijk & Jean-Pierre Urbain, 1999. "Oil Price Shocks and Long Run Price and Import Demand Behavior," Annals of the Institute of Statistical Mathematics, Springer, vol. 51(3), pages 399-417, September. [Downloadable!] (restricted)
      Other versions:
    15. J. Dufour, . "Some Impossibility Theorems in Econometrics with Applications to Instrumental Variables, Dynamic Models and Cointegration," Sonderforschungsbereich 373 1995-27, Humboldt Universitaet Berlin.
      Other versions:
    16. Michael D. Bordo & Ronald MacDonald, 1997. "Violations of the `Rules of the Game' and the Credibility of the Classical Gold Standard, 1880-1914," NBER Working Papers 6115, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    17. Funding la Cour, Lisbeth, 1999. "A Component-Based Analysis Of The Danish Long-Run Money Demand Relation," Working Papers 06-1999, Copenhagen Business School, Department of Economics. [Downloadable!]
    18. David Hendry & Maozu Lu & Grayham E. Mizon, 2001. "Model Identification and Non-unique Structure," Economics Papers 2002-W10, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    19. Gerd Hansen, 1996. "The domestic term structure and international interest rate linkages: A cointegration analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 132(4), pages 675-689, December. [Downloadable!] (restricted)
    20. ben Kaabia, Monia & Gil, Jose M., 2005. "Asymetric Price Transmission in the Spanish Lamb Sector," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24631, European Association of Agricultural Economists. [Downloadable!]
    21. H. Levent Korap, 2007. "Multirank Cointegration Analysis Of Turkish M1 Money Demand (1987q1-2006q3)," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 6(1), pages 1-28, May. [Downloadable!]
    22. Binner, Jane & Elger, Thomas, 2002. "The UK Personal Sector Demand for Risky Money," Working Papers 2002:9, Lund University, Department of Economics.
    23. Chebbi, Houssem Eddine & Lachaal, Lassaad, 2007. "Agricultural sector and economic growth in Tunisia: Evidence from co-integration and error correction mechanism," MPRA Paper 9101, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    24. Maria Perez Jurado & Juan Luis Vega, 1994. "Paridad del poder de compra: un análisis empírico," Investigaciones Economicas, Fundación SEPI, vol. 18(3), pages 539-556, September. [Downloadable!]
    25. Martin B. Schmidt, 2003. "Monetary dynamics: a market approach," Applied Economics, Taylor and Francis Journals, vol. 35(2), pages 139-152, January. [Downloadable!] (restricted)
    26. K Alec Chrystal & Paul Mizen, . "Other financial corporations: Cinderella or ugly sister of empirical monetary economics?," Bank of England working papers 151, Bank of England. [Downloadable!]
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    27. Shamik Dhar & Stephen P Millard, . "A limited participation model of the monetary transmission mechanism in the United Kingdom," Bank of England working papers 117, Bank of England. [Downloadable!]
    28. Gianluca Cubadda & Domenico Mignacca, 1994. "Is Money Neutral? Some Evidence for Italy," International Finance 9410001, EconWPA, revised 09 Nov 1994. [Downloadable!]
    29. Martin B. Schmidt, 2003. "The relative adjustment of wages and prices: direct tests within a multiple-equation system," Applied Economics, Taylor and Francis Journals, vol. 35(8), pages 985-997, January. [Downloadable!] (restricted)
    30. Adolfson, Malin, 1999. "Swedish Export Price Determination: Pricing to Market Shares?," Working Paper Series in Economics and Finance 306, Stockholm School of Economics. [Downloadable!]
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    31. Darren Pain & Ryland Thomas, . "Real Interest Rate Linkages: Testing for Common Trends and Cycles," Bank of England working papers 65, Bank of England. [Downloadable!]
    32. Javier Ordoñez & Katarina Juselius, 2008. "Wage, price and unemployment dynamics in the Spanish transition to EMU membership," Working Papers. Serie EC 2008-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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    33. David I. Stern, 1998. "A multivariate cointegration analysis of the role of energy in the U.S. macroeconomy," Working Papers in Ecological Economics 9803, Australian National University, Centre for Resource and Environmental Studies, Ecological Economics Program. [Downloadable!]
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    34. Katarina Juselius & David F. Hendry, 2000. "Explaining Cointegration Analysis: Part II," Discussion Papers 00-20, University of Copenhagen. Department of Economics. [Downloadable!]
    35. J. Breitung, . "A Simultaneous Equations Approach to Cointegrated Systems," Sonderforschungsbereich 373 1995-46, Humboldt Universitaet Berlin.
    36. Jörg Breitung, 2002. "A parametric approach to the estimation of cointegration vectors in panel data," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B5-4, International Conferences on Panel Data. [Downloadable!]
    37. Dimitris Georgoutsos & George Kouretas, 2001. "Common Stochastic Trends In International Stock Markets: Testing In An Integrated Framework," Working Papers 0104, University of Crete, Department of Economics. [Downloadable!]
    38. ben Kaabia, Monia & Gil, Jose M. & Chebbi, Houssem E., 2005. "Macroeconomics and Agriculture in Tunisia," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24597, European Association of Agricultural Economists. [Downloadable!]
    39. Baffes, John & Elbadawi, Ibrahim A. & O'Connell, Stephen A., 1997. "Single-equation estimation of the equilibrium real exchange rate," Policy Research Working Paper Series 1800, The World Bank. [Downloadable!]
    40. Mark McGillivray & Farhad Noorbakhsh, . "Aid, Conflict and Human Development," Working Papers 2007_03, Department of Economics, University of Glasgow. [Downloadable!]
    41. O. Holtemöller, . "Money and Banks: Some Theory and Empirical Evidence for Germany," Sonderforschungsbereich 373 2002-17, Humboldt Universitaet Berlin.
    42. Michael R. Wickens & Roberto Motto, 2001. "Estimating shocks and impulse response functions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 371-387. [Downloadable!]
    43. Andreas Beyer & Roger E. A. Farmer, 2002. "Natural rate doubts," Working Paper Series 121, European Central Bank. [Downloadable!]
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    44. Frank Asche & Petter Osmundsen & Maria Sandsmark, 2005. "Is It All Oil?," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
    45. K Alec Chrystal & Paul Mizen, . "Consumption, money and lending: a joint model for the UK household sector," Bank of England working papers 134, Bank of England. [Downloadable!]
    46. Yash P. Mehra, 1998. "The bond rate and actual future inflation," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 27-47. [Downloadable!]
    47. Ryland Thomas, . "The Demand for M4: A Sectoral Analysis. Part 1 - The Personal Sector," Bank of England working papers 61, Bank of England. [Downloadable!]
    48. Katarina Juselius, 2002. "Wage, Price, and Unemployment Dynamics and the Convergence to Purchasing Power Parity in the Euro Area," Discussion Papers 03-01, University of Copenhagen. Department of Economics. [Downloadable!]
    49. Shamik Dhar & Darren Pain & Ryland Thomas, . "A small structural empirical model of the UK monetary transmission mechanism," Bank of England working papers 113, Bank of England. [Downloadable!]
    50. J.J.J. Groen, 2001. "Corporate Credit, Stock Price Inflation and Economic Fluctuations," WO Research Memoranda (discontinued) 651, Netherlands Central Bank, Research Department. [Downloadable!]
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    51. Sophocles N. Brissimis & Theodora S. Kosma, 2005. "Market power, innovative activity and exchange rate pass-through in the euro area," Working Paper Series 531, European Central Bank. [Downloadable!]
    52. Michael PEDERSEN, 2002. "Does the Purchasing Power Parity Hold Within the US?," Economics Working Papers ECO2002/18, European University Institute. [Downloadable!]
    53. Hubert Strauß, 2001. "Euroland's Trade with Third Countries : An Estimation Based on NIPA Data," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 70(3), pages 434-449. [Downloadable!] (restricted)
    54. Linzert, Tobias, 2001. "Sources of German unemployment : evidence from a structural VAR model," ZEW Discussion Papers 01-41, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    55. Georgios P. Kouretas & Leonidas P. Zarangas, 2001. "Long-Run Purchasing Power Parity And Structural Change: The Official And Parallel Foreign Exchange Markets For Dollars In Greece," International Economic Journal, Korean International Economic Association, vol. 15(3), pages 109-128, October. [Downloadable!] (restricted)
    56. Dilip Dutta & Nasiruddin Ahmed, 2001. "Trade Liberalisation and Industrial Growth in Pakistan: A Cointegration Analysis," ASARC Working Papers 2001-01, Australian National University, Australia South Asia Research Centre. [Downloadable!]
    57. Katarina Juselius, 2001. "European integration and monetary transmission mechanisms: the case of Italy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 341-358. [Downloadable!]
    58. Naka, Atsuyuki & Mukherjee, Tarun K. & Tufte, David R., 1998. "Macroeconomic variables and the performance of the Indian Stock Market," Working Papers 1998-06, University of New Orleans, Department of Economics and Finance. [Downloadable!]
    59. Vitale, Jeffrey & Bessler, David, 2006. "The 2004 Niger Food Crisis: What Role Can Price Discovery Play in Famine Early Warning Systems?," 2006 Annual meeting, July 23-26, Long Beach, CA 21316, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    60. K. Hubrich, . "System estimation of the German money demand - a long-run analysis," Sonderforschungsbereich 373 1996-77, Humboldt Universitaet Berlin.
    61. Nejib Hachicha, 2003. "Capital Inflows-National Savings Dynamics In Tunisia: Evidence From Cointegration, Weak Exogeneity And Simultaneous Error Correction Modelling," International Economic Journal, Korean International Economic Association, vol. 17(4), pages 43-60, December. [Downloadable!] (restricted)
    62. Ryland Thomas, . "The Demand for M4: A Sectoral Analysis Part 2 The Corporate Sector," Bank of England working papers 62, Bank of England. [Downloadable!]
    63. R. Brüggemann, . "On the Small Sample Properties of Weak Exogeneity Tests in Cointegrated VAR models," Sonderforschungsbereich 373 2002-2, Humboldt Universitaet Berlin.
    64. Michael D. Bordo & Ronald MacDonald, 2001. "The Inter-War Gold Exchange Standard: Credibility and Monetary Independence," NBER Working Papers 8429, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    65. Dilip Dutta & Nasiruddin Ahmed, . "Trade Liberalisation and Industrial Growth in Pakistan: A Cointegration Analysis," Working Papers 2001-4, University of Sydney, Department of Economics. [Downloadable!]
    66. H. Peter Boswijk & Jurgen Doornik, 2003. "Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview," Economics Papers 2003-W10, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:

  13. Henrik Hansen & Søren Johansen, 1992. "Recursive Estimation in Cointegrated VAR-Models," Discussion Papers 92-13, University of Copenhagen. Department of Economics.

    Cited by:

    1. Luis Eduardo Arango & Carlos Esteban Posada, . "Unemployment Rate and the Real Wage Behavoir: A Neoclassical Hint for the Colombian Labor Market Adjustment," Borradores de Economia 180, Banco de la Republica de Colombia. [Downloadable!]
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    2. Elias Oikarinen, 2006. "Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data," Discussion Papers 1004, The Research Institute of the Finnish Economy. [Downloadable!]
    3. Hugo Oliveros C., 1995. "Estaciones y Pruebas de Raíces Unitarias: Algunas Consideraciones Generales," BORRADORES DE ECONOMIA 002591, BANCO DE LA REPÚBLICA. [Downloadable!]
    4. Consuelo Gámez Amián & Amalia Morales Zumaquero., 2002. "Complete or Partial Inflation Convergence in the EU?," Economic Working Papers at Centro de Estudios Andaluces E2002/09, Centro de Estudios Andaluces. [Downloadable!]
    5. Martha Misas A. & María Teresa Ramírez G. & Luisa Fernanda Silva, 2001. "Exportaciones No Tradicionales En Colombia Y Sus Determinantes," BORRADORES DE ECONOMIA 002701, BANCO DE LA REPÚBLICA. [Downloadable!]
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    6. Michael D. Goldberg & Roman Frydman, 2001. "Macroeconomic Fundamentals and the DM/$ Exchange Rate: Temporal Instability and the Monetary Model," Working Papers 50, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
    7. Alessandro Calza & Joao Sousa & Marta Manrique Simon, 2003. "Aggregate loans to the euro area private sector," Working Paper Series 202, European Central Bank. [Downloadable!]
    8. Francisco De Castro & Pablo Hernández De Cos, 2002. "On the sustainability of the Spanish public budget performance," Hacienda Pública Española, IEF, vol. 160(1), pages 9-28, march. [Downloadable!]
    9. Heidi Soininen, 2007. "Finnish Evidence of Changes in Labor Market Matching," Finnish Economic Papers, Finnish Society for Economic Research, vol. 20(1), pages 57-71, Spring. [Downloadable!]
    10. William J. Crowder, 1997. "The U.S. Intertemporal Budget Constraint: Restoring Equilibrium Through Increased Revenues or Decreased Spending?," Macroeconomics 9702002, EconWPA, revised 17 Feb 1997. [Downloadable!]
    11. Hernán Rincón & Edgar Caicedo & Norberto Rodríguez, . "Exchange Rate Pass-Through Effects: A Disaggregate Analysis of Colombian Imports of Manufactured Goods," Borradores de Economia 330, Banco de la Republica de Colombia. [Downloadable!]
      Other versions:
    12. Panayiotis Diamantis & Dimitris Georgoutsos & George Kouretas, 2001. "The Monetary Approach in the Presence of I(2) Components: A Cointegration Analysis of the Official and Black Market for Foreign Currency in Latin America," Working Papers 0108, University of Crete, Department of Economics. [Downloadable!]
    13. Martha Misas A. & Enrique López E. & Carlos A. Arango A. & Juan Nicolás Hernández A., 2003. "La Demanda de Efectivo en Colombia: Una Caja Nagra a la Luz de las Redes Neuronales," BORRADORES DE ECONOMIA 002963, BANCO DE LA REPÚBLICA. [Downloadable!]
      Other versions:
    14. Martha Misas & María Teresa Ramírez, 2004. "Long-run income and price elasticities of demand for Colombian nontraditional exports: a multivariate cointegration framework," Applied Economics, Taylor and Francis Journals, vol. 36(9), pages 931-938, May. [Downloadable!] (restricted)
    15. Brian M Lucey & Suk-Joong Kim & Eliza Wu, 2005. "Dynamics of Bond Market Integration between Existing And Accession EU Countries," The Institute for International Integration Studies Discussion Paper Series iiisdp025, IIIS. [Downloadable!]
    16. Hannu Koskinen, 2004. "Modelling of Structural Changes in Demand for Money Cointegration Relations," Finnish Economic Papers, Finnish Society for Economic Research, vol. 17(2), pages 63-72, Autumn. [Downloadable!]
    17. Hoffmann, Sandra & Berek, Peter & Costello, Christopher & Fortmann, Louise, 2000. "Poverty and Employment in Timber-Dependent Counties," Discussion Papers dp-00-52, Resources For the Future. [Downloadable!]
    18. Amalia Zumaquero & Rodrigo Urrea, 2002. "Purchasing Power Parity: Error Correction Models and Structural Breaks," Open Economies Review, Springer, vol. 13(1), pages 5-26, January. [Downloadable!] (restricted)
    19. Amir Kia, 2005. "Overnight Monetary Policy in the United States: Active or Interest-Rate Smoothing?," Carleton Economic Papers 05-07, Carleton University, Department of Economics. [Downloadable!]
    20. Amir Kia & Ali F. Darrat, 2003. "Modeling Money Demand under the Profit-Sharing Banking Scheme: Evidence on Policy Invariance and Long-Run Stability," Carleton Economic Papers 03-13, Carleton University, Department of Economics. [Downloadable!]
    21. Ulrike Neyer & Jürgen Wiemers, 2004. "The Influence of a Heterogeneous Banking Sector on the Interbank Market Rate in the Euro Area," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(III), pages 395-428, September. [Downloadable!]
    22. Urban, Dieter M., 2007. "Terms of Trade, Catch-up, and Home Market Effect: The Example of Japan," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
      Other versions:
    23. Mariam Camarero & Javier Ordóñez & Cecilio Tamarit, 2002. "The Euro-Dollar exchange rate: Is it fundamental?," European Economy Group Working Papers 16, European Economy Group. [Downloadable!]
      Other versions:
    24. Pat Wilson & Ralf Zurbruegg & Richard Gerlach, 2002. "Structural Breaks and Diversification: The ImpactThe Impact of the 1997 Asian Financial Crisis on the Integration of Asia-Pacific Real Estate Markets," Working Paper Series 121, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
    25. Katarina Juselius & Zorica Mladenovic, 2002. "High Inflation, Hyperinflation and Explosive Roots. The Case of Yugoslavia," Discussion Papers 02-23, University of Copenhagen. Department of Economics. [Downloadable!]
    26. 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. [Downloadable!]
    27. Dr. Claudia M. Buch, 2000. "What Determines Maturity? An Analysis for Foreign Assets of German Commercial Banks," Kiel Working Papers 974, Kiel Institute for the World Economy. [Downloadable!]
    28. Dimitris Georgoutsos & George Kouretas, 2000. "A Multivariate I(2) Cointegration Analysis Of German Hyperinflation," Working Papers 0001, University of Crete, Department of Economics, revised 00 Jul 2001. [Downloadable!]
    29. Dimitris Georgoutsos & George Kouretas, 2001. "Common Stochastic Trends In International Stock Markets: Testing In An Integrated Framework," Working Papers 0104, University of Crete, Department of Economics. [Downloadable!]
    30. Jan Gottschalk & Felipe Martinez Rico & Willem Van Zandweghe, 2000. "Money as an Indicator in the Euro Zone," Kiel Working Papers 984, Kiel Institute for the World Economy. [Downloadable!]
    31. Dimitris A. Georgoutsos & Georgios P. Kouretas, 2004. "A Multivariate I (2) cointegration analysis of German hyperinflation," Applied Financial Economics, Taylor and Francis Journals, vol. 14(1), pages 29-41, January. [Downloadable!] (restricted)
    32. Francisco de Castro & José M. González-Páramo & Pablo Hernández de Cos, 2001. "Evaluating the dynamics of fiscal policy in Spain: patterns of interdependence and consistency of public expenditure and revenues," Banco de España Working Papers 0103, Banco de España. [Downloadable!]
    33. Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente, 2001. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," NBER Working Papers 8601, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    34. Ferda HALICIOGLU & Mehmet UGUR, 2005. "On Stability of the Demand for Money in a Developing OECD," Macroeconomics 0508001, EconWPA. [Downloadable!]
    35. Ferda Halicioglu, 2005. "An Ardl Model Of Aggregate Tourism Demand For Turkey," International Trade 0503005, EconWPA. [Downloadable!]
    36. Hernán Rincón & Jenny Berthel & Miguel Gómez, . "Balance Fiscal Estructural y Cíclico del Gobierno Nacional Central de Colombia, 1980-2002," Borradores de Economia 246, Banco de la Republica de Colombia. [Downloadable!]
      Other versions:
    37. Mohsen Bahmani-Oskooee & Hafez Rehman, 2005. "Stability of the money demand function in Asian developing countries," Applied Economics, Taylor and Francis Journals, vol. 37(7), pages 773-792, April. [Downloadable!] (restricted)
    38. Hugo Oliveros, . "Estacionalidad y Pruebas de Raíces Unitarias:Algunas Consideraciones Generales," Borradores de Economia 040, Banco de la Republica de Colombia. [Downloadable!]
    39. William J. Crowder & Mark E. Wohar, 2004. "A cointegrated structural VAR model of the Canadian economy," Applied Economics, Taylor and Francis Journals, vol. 36(3), pages 195-213, February. [Downloadable!] (restricted)
    40. Ferda HALICIOGLU, 2005. "The Demand For New Housing In Turkey: An Application Of Ardl Model," Urban/Regional 0508002, EconWPA. [Downloadable!]
      Other versions:
    41. Ryuzo Miyao, 2002. "Liquidity Trap and the Stability of Money Demand: Is Japan Really Trapped at the Zero Bound?," Discussion Paper Series 127, Research Institute for Economics & Business Administration, Kobe University. [Downloadable!]
    42. Brian M. Lucey & Edel Tully, 2006. "The evolving relationship between gold and silver 1978--2002: evidence from a dynamic cointegration analysis: a note," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(1), pages 47-53, January. [Downloadable!] (restricted)
    43. Katarina Juselius, 2001. "European integration and monetary transmission mechanisms: the case of Italy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 341-358. [Downloadable!]
    44. Halicioglu, Ferda, 2008. "An Econometric Analysis of Aggregate Outbound Tourism Demand of Turkey," MPRA Paper 6765, University Library of Munich, Germany, revised 2008. [Downloadable!]
    45. P.J.G. Vlaar & H. Schuberth, 1999. "Monetary Transmission and Controllability of Money in Europe: aStructural Vector Error Correction Approach," DNB Staff Reports (discontinued) 36, Netherlands Central Bank. [Downloadable!]
      Other versions:
    46. Raj Aggarwal & Brian M. Lucey & Cal Muckley, 2004. "Dynamics of Equity Market Integration in Europe: Evidence of Changes over time and with events," The Institute for International Integration Studies Discussion Paper Series iiisdp019, IIIS. [Downloadable!]

  14. Johansen, S., 1991. "Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data," Papers 78, Helsinki - Department of Economics.
    Published as:

    Cited by:

    1. Zavkidjon Zavkiev, 2005. "Estimating A Model Of Inflation In Tajikistan," CAMA Working Papers 2005-27, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    2. Alberola, Enrique & Tyrväinen, Timo, 1998. "Is There Scope for Inflation Differentials in EMU? An Empirical Evaluation of the Balassa-Samuelson Model in EMU Countries," Research Discussion Papers 15/1998, Bank of Finland. [Downloadable!]
    3. Boriss Siliverstovs & Dierk Herzer, 2005. "Manufacturing exports, mining exports and growth: cointegration and causality analysis for Chile (1960-2001)," Ibero America Institute for Econ. Research (IAI) Discussion Papers 104, Ibero-America Institute for Economic Research. [Downloadable!]
      Other versions:
    4. Frank Butter & Simon Dijken, 1997. "The Information Contents of Aggregated Money Demand in the EMU," Open Economies Review, Springer, vol. 8(3), pages 233-244, July. [Downloadable!] (restricted)
    5. Boriss Siliverstovs, 2006. "Multicointegration in US consumption data," Applied Economics, Taylor and Francis Journals, vol. 38(7), pages 819-833, April. [Downloadable!] (restricted)
      Other versions:
    6. Marwan Chacra & Maral Kichian, 2004. "A Forecasting Model for Inventory Investments in Canada," Working Papers 04-39, Bank of Canada. [Downloadable!]
    7. Bernd Hayo, 1999. "The Demand For Money In Austria," Macroeconomics 9902012, EconWPA. [Downloadable!]
      Other versions:
    8. Mansor H. IBRAHIM, 2006. "International Linkage Of Asean Stock Prices: An Analysis Of Response Asymmetries," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3). [Downloadable!] (restricted)
    9. Alan Carruth, Heather Gibson, Euclid Tsakalotos, 1999. "Are Aggregate Consumption Relationships Similar Across the European Union?," Regional Studies, Taylor and Francis Journals, vol. 33(1), pages 17-26, February. [Downloadable!] (restricted)
    10. NÉJIB HACHICHA, 2003. "Exports, Export Composition And Growth: A Simultaneous Error-Correction Model For Tunisia," International Economic Journal, Korean International Economic Association, vol. 17(1), pages 101-120, April. [Downloadable!] (restricted)
    11. Michael Kühl, 2007. "Cointegration in the Foreign Exchange Market and Market Efficiency since the Introduction of the Euro: Evidence based on bivariate Cointegration Analyses," Center for European, Governance and Economic Development Research (cege) Discussion Papers 68, Center for European, Governance and Economic Development Research, University of Goettingen (Germany).. [Downloadable!]
    12. Rasmus Pilegaard & Alain Durre & Snorre Evjen, 2003. "Estimating risk premia in money market rates," Working Paper Series 221, European Central Bank. [Downloadable!]
    13. Muhd-Zulkhibri Abdul Majid, 2004. "Reassessing The Stability of Broad Money Demand in Malaysia," Macroeconomics 0405020, EconWPA. [Downloadable!]
    14. Hugo Oliveros & Luisa Fernanda Silva, . "La Demanda por Importaciones en Colombia," Borradores de Economia 187, Banco de la Republica de Colombia. [Downloadable!]
    15. Panayiotis Diamantis & Dimitris Georgoutsos & George Kouretas, 2001. "The Monetary Approach in the Presence of I(2) Components: A Cointegration Analysis of the Official and Black Market for Foreign Currency in Latin America," Working Papers 0108, University of Crete, Department of Economics. [Downloadable!]
    16. Günter Coenen & Juan-Luis Vega, 1999. "The demand for M3 in the euro area," Working Paper Series 6, European Central Bank. [Downloadable!]
      Other versions:
    17. Ghoshray, Atanu & Lloyd, Tim, 2003. "Price Linkages In The International Wheat Market," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa 25852, International Association of Agricultural Economists. [Downloadable!]
    18. Neil R. Ericsson & David F. Hendry & Kevin M. Prestwich, 1997. "The demand for broad money in the United Kingdom, 1878-1993," International Finance Discussion Papers 596, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    19. David Hendry, 1995. "On the interactions of unit roots and exogeneity," Economics Papers 7., Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:
    20. Jan M. Podivinsky & Chongcheul Cheong & Maozu Lu, 2004. "The Effect of Exchange Rate Uncertainty on US Imports from the UK: Consistent OLS Estimation with Volatility Measured by An ARCH-type Model," Econometric Society 2004 Australasian Meetings 212, Econometric Society. [Downloadable!]
      Other versions:
    21. Sebastian Gundel, 2007. "Declining Export Prices due to Increased Competition from NIC - Evidence from Germany and the CEEC," Center for European, Governance and Economic Development Research (cege) Discussion Papers 63, Center for European, Governance and Economic Development Research, University of Goettingen (Germany).. [Downloadable!]
    22. Framroze Moller, Niels, 2008. "Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model," Economics Discussion Papers 2008-21, Kiel Institute for the World Economy. [Downloadable!]
    23. William Barnett & Barry E. Jones & Milka Kirova & Travis D. Nesmith & Meenakshi Pasupathy1, 2004. "The Nonlinear Skeletons in the Closet," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200403, University of Kansas, Department of Economics, revised May 2004. [Downloadable!]
      Other versions:
    24. Martin B. Schmidt, 2003. "Monetary dynamics: a market approach," Applied Economics, Taylor and Francis Journals, vol. 35(2), pages 139-152, January. [Downloadable!] (restricted)
    25. Martin B. Schmidt, 2003. "Savings and investment in Australia," Applied Economics, Taylor and Francis Journals, vol. 35(1), pages 99-106, January. [Downloadable!] (restricted)
    26. Francisco Climent Diranzo & Robert Meneu Gaya, . "Relaciones de equilibrio entre demografía y crecimiento económico en España," Studies on the Spanish Economy 163, FEDEA. [Downloadable!]
    27. Niels Framroze Møller & Paul Sharp, 2008. "Malthus in Cointegration Space: A new look at living standards and population in pre-industrial England," Discussion Papers 08-16, University of Copenhagen. Department of Economics. [Downloadable!]
    28. Carlos José García & Jorge Enrique Restrepo, 2001. "Price Inflation and Exchange Rate Pass-Through in Chile," Working Papers Central Bank of Chile 128, Central Bank of Chile. [Downloadable!]
    29. Defne Mutluer & Yasemin Barlas, 2002. "Modeling the Turkish Broad Money Demand," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 2(2), pages 55-75. [Downloadable!]
    30. Aleid Elizabeth Brouwer & Arjen Van Witteloostuijn & Christophe Boone, 2006. "The Dynamics of Economic Performance and Organizational Diversity. An Empirical Study in Zwolle, the Netherlands, 1850-1914," ERSA conference papers ersa06p112, European Regional Science Association. [Downloadable!]
    31. Mohd Zaini Abd Karim & Amy Azhar Mohd Harif & Azira Adziz, 2006. "Monetary Policy and Sectoral Bank Lending in Malaysia," Global Economic Review, Taylor and Francis Journals, vol. 35(3), pages 303-326, September. [Downloadable!] (restricted)
    32. N. Vijayamohanan Pillai, 2001. "Electricity demand analysis and forecasting: The tradition is questioned," Centre for Development Studies, Trivendrum Working Papers 312, Centre for Development Studies, Trivendrum, India. [Downloadable!]
    33. Katarina Juselius & David F. Hendry, 2000. "Explaining Cointegration Analysis: Part II," Discussion Papers 00-20, University of Copenhagen. Department of Economics. [Downloadable!]
    34. J. Breitung, . "A Simultaneous Equations Approach to Cointegrated Systems," Sonderforschungsbereich 373 1995-46, Humboldt Universitaet Berlin.
    35. Ricardo Gimeno & Carmen Martínez-Carrascal, 2006. "The interaction between house prices and loans for house purchase. The Spanish case," Banco de España Working Papers 0605, Banco de España. [Downloadable!]
    36. Hsiao Chiying & Chen Pu, 2004. "Testing Weak Exogeneity in Cointegrated System," Econometric Society 2004 Far Eastern Meetings 537, Econometric Society. [Downloadable!]
    37. Arne Kildegaard, 2006. "Fundamentals of real exchange rate determination: What role in the peso crisis?," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 21(1), pages 3-22. [Downloadable!]
    38. Wilson Luiz Rotatori, 2006. "Dynamic Structural Models And The High Inflation Period In Brazil: Modelling The Monetary System," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 44, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
    39. Reza Anglingkusumo, 2005. "Money - Inflation Nexus in Indonesia: Evidence from a P-Star Analysis," Tinbergen Institute Discussion Papers 05-054/4, Tinbergen Institute. [Downloadable!]
    40. Jan Gottschalk & Felipe Martinez Rico & Willem Van Zandweghe, 2000. "Money as an Indicator in the Euro Zone," Kiel Working Papers 984, Kiel Institute for the World Economy. [Downloadable!]
    41. Mohsen Bahmani-Oskooee & Muge Karacal, 2006. "The demand for money in Turkey and currency substitution," Applied Economics Letters, Taylor and Francis Journals, vol. 13(10), pages 635-642, August. [Downloadable!] (restricted)
    42. Syed Muhammad Tariq & Kent Matthews, 1997. "The Demand for Simple-sum and Divisia Monetary Aggregates for Pakistan: A Cointegration Approach," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 36(3), pages 275-291. [Downloadable!]
    43. Boriss Siliverstovs, 2007. "Money Demand in Estonia," Discussion Papers of DIW Berlin 675, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    44. Mohsen Bahmani-Oskooee & Hafez Rehman, 2005. "Stability of the money demand function in Asian developing countries," Applied Economics, Taylor and Francis Journals, vol. 37(7), pages 773-792, April. [Downloadable!] (restricted)
    45. Ibrahim, Mansor H., 2002. "An Empirical Note on the Export-Led Growth Hypothesis: The Case of Malaysia," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 32(2), pages 221-232, June Spec. [Downloadable!]
    46. Mansor H. Ibrahim, 2004. "Integration or Segmentation of Malaysian Equity Market: An Analysis of Pre- and Post- Capital Controls," Finance 0411010, EconWPA. [Downloadable!]
    47. Paresh Kumar Narayan & Russell Smyth, 2006. "Temporal causality and the dynamics of judicial appellate caseload, real income and socio-economic complexity in Australia," Applied Economics, Taylor and Francis Journals, vol. 38(19), pages 2209-2219, October. [Downloadable!] (restricted)
    48. Giuseppina Testa, 2005. "Economic Growth and Finance. A cointegration analysis in US and Japan," Quaderni DSEMS 22-2005, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia. [Downloadable!]
    49. Bernd Hayo, 1998. "Estimating a European Demand for Money," Macroeconomics 9811008, EconWPA. [Downloadable!]
      Other versions:
    50. Roger Hammersland, 2004. "The degree of independence in European goods markets : An I(2) analysis of German and Norwegian trade data," Working Paper 2004/19, Norges Bank. [Downloadable!]
    51. Neil R. Ericsson & James G. MacKinnon, 1999. "Distributions of error correction tests for cointegration," International Finance Discussion Papers 655, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    52. Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    53. Gordon de Brouwer & Neil R Ericsson, 1995. "Modelling Inflation in Australia," RBA Research Discussion Papers rdp9510, Reserve Bank of Australia. [Downloadable!]
      Other versions:
    54. Yuan Xiao & Emilio Sacerdoti, 2001. "Inflation Dynamics in Madagascar, 1971-2000," IMF Working Papers 01/168, International Monetary Fund. [Downloadable!]
    55. Qayyum, Abdul, 1999. "Demand for Money By Business Sector in a Developing Country: Evidence from Pakistan," MPRA Paper 2583, University Library of Munich, Germany, revised 0199. [Downloadable!]
    56. Basher, Syed A. & Westerlund, Joakim, 2006. "Is there Really a Unit Root in the Inflation Rate? More Evidence from Panel Data Models," MPRA Paper 136, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    57. Neil R. Ericsson & Sunil Sharma, 1996. "Broad money demand and financial liberalization in Greece," International Finance Discussion Papers 559, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    58. Nejib Hachicha, 2003. "Capital Inflows-National Savings Dynamics In Tunisia: Evidence From Cointegration, Weak Exogeneity And Simultaneous Error Correction Modelling," International Economic Journal, Korean International Economic Association, vol. 17(4), pages 43-60, December. [Downloadable!] (restricted)
    59. Mansor H. Ibrahim, 2006. "Stock prices and bank loan dynamics in a developing country: The case of Malaysia," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 71-89, May. [Downloadable!] (restricted)
    60. John S. Irons & N.Ericsson, . "An early version of The Lucas Critique in Practice: Theory without Measurement," Home Pages _004, Massachussets Institute of Technology, Economics. [Downloadable!]
    61. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  15. Johansen, S., 1991. "A Statistical Analsysis of Cointegration for I(2) Variables," Papers 77, Helsinki - Department of Economics.

    Cited by:

    1. Katarina Juselius, 2004. "Inflation, Money Growth, and I(2) Analysis," Discussion Papers 04-31, University of Copenhagen. Department of Economics. [Downloadable!]
    2. Majocchi Antonio & Pavione Enrica, 2002. "International franchising in Italy: trends and perspectives," Economics and Quantitative Methods qf0215, Department of Economics, University of Insubria. [Downloadable!]
    3. Hahn, Franz & Ruenstler, Gerhard, 1996. "Potential Output, the Natural Rate of Unemployment, and the Phillips Curve in a Multivariate Structural Time Series Framework," Economics Series 33, Institute for Advanced Studies. [Downloadable!]
    4. David I. Stern, 2004. "A Multicointegration Model of Global Climate Change," Rensselaer Working Papers in Economics 0406, Rensselaer Polytechnic Institute, Department of Economics. [Downloadable!]
    5. Paruolo Paolo, 2003. "Common trends and cycles in I(2) VAR systems," Economics and Quantitative Methods qf0217bis, Department of Economics, University of Insubria. [Downloadable!]
      Other versions:
    6. Omtzigt Pieter & Paruolo Paolo, 2002. "Impact factors," Economics and Quantitative Methods qf0203, Department of Economics, University of Insubria. [Downloadable!]
      Other versions:
    7. Panayiotis Diamantis & Dimitris Georgoutsos & George Kouretas, 2001. "The Monetary Approach in the Presence of I(2) Components: A Cointegration Analysis of the Official and Black Market for Foreign Currency in Latin America," Working Papers 0108, University of Crete, Department of Economics. [Downloadable!]
    8. Bent Nielsen, . "Asymptotic results for cointegration tests in non-stable case," Economics Papers W32., Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:
    9. Fabrizio Coricelli & Boštjan Jazbec & Igor Masten, 2004. "Exchange Rate Policy and Inflation in Acceding Countries: The Role of Pass-through," William Davidson Institute Working Papers Series 2004-674, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    10. Funding la Cour, Lisbeth, 1999. "A Component-Based Analysis Of The Danish Long-Run Money Demand Relation," Working Papers 06-1999, Copenhagen Business School, Department of Economics. [Downloadable!]
    11. William Barnett & Barry E. Jones & Milka Kirova & Travis D. Nesmith & Meenakshi Pasupathy1, 2004. "The Nonlinear Skeletons in the Closet," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200403, University of Kansas, Department of Economics, revised May 2004. [Downloadable!]
      Other versions:
    12. O. Holtemöller, . "Money and Prices: An I(2) Analysis for the Euro Area," Sonderforschungsbereich 373 2002-12, Humboldt Universitaet Berlin.
    13. O. Holtemöller, . "Structural Vector Autoregressive Models and Monetary Policy Analysis," Sonderforschungsbereich 373 2002-7, Humboldt Universitaet Berlin.
    14. Paruolo Paolo, 2002. "Testing for common trends in conditional I(2) VAR models," Economics and Quantitative Methods qf0216, Department of Economics, University of Insubria. [Downloadable!]
    15. Dimitris Georgoutsos & George Kouretas, 2000. "A Multivariate I(2) Cointegration Analysis Of German Hyperinflation," Working Papers 0001, University of Crete, Department of Economics, revised 00 Jul 2001. [Downloadable!]
    16. Dimitris Georgoutsos & George Kouretas, 2001. "Common Stochastic Trends In International Stock Markets: Testing In An Integrated Framework," Working Papers 0104, University of Crete, Department of Economics. [Downloadable!]
    17. Fabrizio CORICELLI & Bostjan JAZBEC & Igor MASTEN, 2004. "Exchange Rate Pass-Through in Acceding Countries: The Role of Exchange Rate Regimes," Economics Working Papers ECO2004/16, European University Institute. [Downloadable!]
    18. Sugato Chakravarty & Frederick H. deB. Harris & Robert A. Wood, 2002. "Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?," Econometrics 0201003, EconWPA. [Downloadable!]
      Other versions:
    19. Anindya Banerjee & Lynne Cockerell & Bill Russell, 2001. "An I(2) analysis of inflation and the markup," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 221-240. [Downloadable!]
    20. W A Razzak, 1998. "Business cycle asymmetries and the nominal exchange rate regimes," Reserve Bank of New Zealand Discussion Paper Series G98/4, Reserve Bank of New Zealand. [Downloadable!]
    21. Katarina Juselius, 2001. "European integration and monetary transmission mechanisms: the case of Italy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 341-358. [Downloadable!]
    22. Anindya BANERJEE & Paul MIZEN, 2003. "A Re-interpretation of the Linear-Quadratic Model When Inventories and Sales are Polynomially Cointegrated," Economics Working Papers ECO2003/11, European University Institute. [Downloadable!]
      Other versions:
    23. Panayiotis F. Diamandis & Georgios P. Kouretas & Leonidas Zarangas, 2005. "Expectations and the black market premium for foreign currency in Greece," Applied Financial Economics, Taylor and Francis Journals, vol. 15(10), pages 667-677, June. [Downloadable!] (restricted)

  16. Johansen, S., 1991. "An I(2) Cointegration Analysis of the Purchasing Power Parity between Australia and the United States," Papers 231, Australian National University - Department of Economics.

    Cited by:

    1. O. Holtemöller, . "Money and Prices: An I(2) Analysis for the Euro Area," Sonderforschungsbereich 373 2002-12, Humboldt Universitaet Berlin.
    2. Gordon de Brouwer & Neil R Ericsson, 1995. "Modelling Inflation in Australia," RBA Research Discussion Papers rdp9510, Reserve Bank of Australia. [Downloadable!]
      Other versions:

  17. Johansen, S., 1991. "Determination of Cointegration Rank in the Presence of a Linear Trend," Papers 76a, Helsinki - Department of Economics.
    Published as:

    Cited by:

    1. Barry E. Jones & Travis D. Nesmith, 2006. "Linear cointegration of nonlinear time series with an application to interest rate dynamics," Finance and Economics Discussion Series 2007-03, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    2. Eleni Constantinou & Avo Kazandjian & George Kouretas & Vera Tahmazian, 2005. "Cointegration, causality and domestic portfolio diversification in the Cyprus Stock Exchange," Working Papers 0522, University of Crete, Department of Economics. [Downloadable!]
    3. Jérôme Héricourt & Julien Reynaud, 2006. "La crise monétaire turque de 2000/2001 : analyse de l'échec du plan de stabilisation par le change du FMI," Cahiers de la Maison des Sciences Economiques bla06009, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
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    4. Mushtaq, Khalid & Dawson, P.J., 2003. "Yield Response In Pakistan Agriculture: A Cointegration Approach," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa 25931, International Association of Agricultural Economists. [Downloadable!]
    5. Jorge Dresdner & Leonardo Letelier, 1997. "Cointegración de los Salarios Agregados en Chile: 1980-3-1995-3," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 34(101), pages 49-70. [Downloadable!]
    6. Gábor Vadas, 2004. "Modelling Households’ Savings and Dwellings Investment – A Portfolio Choice Approach," International Real Estate Review, Asian Real Estate Society, vol. 7(1), pages 31-55. [Downloadable!] (restricted)
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    7. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period," UNU-MERIT Working Paper Series 012, United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology. [Downloadable!]
    8. Philip Arestis & Ambika D. Luintel & Kul B. Luintel, 2004. "Does Financial Structure Matter?," Finance 0401006, EconWPA. [Downloadable!]
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    9. Elias Oikarinen, 2005. "The Diffusion of Housing Price Movements from Centre to Surrounding Areas," Discussion Papers 979, The Research Institute of the Finnish Economy. [Downloadable!]
    10. Zhaoyong Zhang, 1996. "The Exchange Value of the Renminbi and China's Balance of Trade: An Emp irical Study," NBER Working Papers 5771, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    11. Lindquist, Matthew J. & Vilhelmsson, Roger, 2004. "Is the Swedish Central Government a Wage Leader?," Working Paper Series 8/2004, Swedish Institute for Social Research. [Downloadable!]
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    12. Barry E. Jones & Travis D. Nesmith, 1999. "Tests for non-linear dynamics in systems of non-stationary economic time series: the case of short-term US interest rates," Finance and Economics Discussion Series 1999-55, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    13. Sven W. Arndt & Alex Huemer, . "Trade, Production-Sharing and the Exchange Rate: A Decade of U.S.-Mexican Integration," Working Papers 0502, Lowe Institute of Political Economy. [Downloadable!]
    14. Michael Kühl, 2007. "Cointegration in the Foreign Exchange Market and Market Efficiency since the Introduction of the Euro: Evidence based on bivariate Cointegration Analyses," Center for European, Governance and Economic Development Research (cege) Discussion Papers 68, Center for European, Governance and Economic Development Research, University of Goettingen (Germany).. [Downloadable!]
    15. Xingjun Zhao & Yanrui Wu, 2007. "Determinants of China’s Energy Imports: An Empirical Analysis," Economics Discussion / Working Papers 07-03, The University of Western Australia, Department of Economics. [Downloadable!]
    16. Sangjoon Jun, 2006. "The Nexus between IT Investment and Banking Performance in Korea," Global Economic Review, Taylor and Francis Journals, vol. 35(1), pages 67-96, March. [Downloadable!] (restricted)
    17. Paruolo Paolo, 2003. "Common trends and cycles in I(2) VAR systems," Economics and Quantitative Methods qf0217bis, Department of Economics, University of Insubria. [Downloadable!]
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    18. Panayiotis Diamantis & Dimitris Georgoutsos & George Kouretas, 2001. "The Monetary Approach in the Presence of I(2) Components: A Cointegration Analysis of the Official and Black Market for Foreign Currency in Latin America," Working Papers 0108, University of Crete, Department of Economics. [Downloadable!]
    19. Melisso Boschi & Alessandro Girardi, 2008. "The Contribution Of Domestic, Regional And International Factors To Latin America'S Business Cycle," CAMA Working Papers 2008-33, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    20. Atanas Christev, 2005. "The Hyperinflation Model of Money Demand (or Cagan Revisited): Some New Empirical Evidence from the 1990s," CERT Discussion Papers 0507, Centre for Economic Reform and Transformation, Heriot Watt University. [Downloadable!]
    21. Hugh Rockoff & John Landon-Lane, 2006. "A Companion to "The Origin and Diffusion of Shocks to Regional Interest Rates in the United States, 1880-2002."," Departmental Working Papers 200608, Rutgers University, Department of Economics. [Downloadable!]
    22. Eleni Constantinou & Avo Kazandjian & George Kouretas & Vera Tahmazian, 2005. "Common Stochastic Trends among the Cyprus Stock Exchange and the ASE, LSE and NYSE," Working Papers 0520, University of Crete, Department of Economics. [Downloadable!]
    23. João Ricardo Faria & Miguel León-Ledesma, 2000. "The Intertemporal Substitution Model of Labor Supply in an Open Economy," Studies in Economics 0009, Department of Economics, University of Kent. [Downloadable!]
    24. Jane M. Binner & Rakesh K. Bissoondeeal & Thomas Elger & Alicia M. Gazely & Andrew W. Mullineux, 2005. "A comparison of linear forecasting models and neural networks: an application to Euro inflation and Euro Divisia," Applied Economics, Taylor and Francis Journals, vol. 37(6), pages 665-680, April. [Downloadable!] (restricted)
    25. Sebastian Gundel, 2007. "Declining Export Prices due to Increased Competition from NIC - Evidence from Germany and the CEEC," Center for European, Governance and Economic Development Research (cege) Discussion Papers 63, Center for European, Governance and Economic Development Research, University of Goettingen (Germany).. [Downloadable!]
    26. Michael T. K. Horvath & Mark W. Watson, 1994. "Testing for Cointegration When Some of the Contributing Vectors are Known," NBER Technical Working Papers 0171, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    27. Binner, Jane & Elger, Thomas, 2002. "The UK Personal Sector Demand for Risky Money," Working Papers 2002:9, Lund University, Department of Economics.
    28. Melisso Boschi & Alessandro Girardi, 2005. "Euro Area inflation: long-run determinants and short-run dynamics," ISAE Working Papers 60, ISAE - Institute for Stu