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Estimating Linear Quadratic Models With Integrated Processes

Author

Listed:
  • GREGOGY, A.W.
  • PAGAN, A.R.
  • SMITH, G.W.

Abstract

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Suggested Citation

  • Gregogy, A.W. & Pagan, A.R. & Smith, G.W., 1990. "Estimating Linear Quadratic Models With Integrated Processes," RCER Working Papers 247, University of Rochester - Center for Economic Research (RCER).
    • Handle: RePEc:roc:rocher:247
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    Citations

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    Cited by:

    1. Rodrigo Pereira, 2015. "Investment and Uncertainty in a Quadratic Adjustment Cost Model: Evidence from Brazil," Discussion Papers 0085, Instituto de Pesquisa Econômica Aplicada - IPEA.
    2. David Aristei & Luca Pieroni, 2010. "Habits, Complementarities and Heterogeneity in Alcohol and Tobacco Demand: A Multivariate Dynamic Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(4), pages 428-457, August.
    3. Scott Schuh, "undated". "Evidence on the Link between Firm-Level and Aggregate Inventory Behavior," Finance and Economics Discussion Series 1996-46, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.
    4. James M. Nason & Gregor W. Smith, 2008. "Identifying the new Keynesian Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 525-551.
    5. 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.
    6. Sengupta, Jati K. & Sfeir, Raymond, 1997. "Past trend versus future expectation: test of exchange rate volatility," University of California at Santa Barbara, Economics Working Paper Series qt9mx2c7jv, Department of Economics, UC Santa Barbara.
    7. Robert Amano & Tony S. Wirjanto, "undated". "A Further Analysis of Exchange Rate Targeting in Canada," Staff Working Papers 94-2, Bank of Canada.
    8. Ida Wolden Bache & Bjørn E. Naug, 2008. "Estimating New Keynesian import price models," Working Paper 2007/15, Norges Bank.
    9. Amano, Robert A. & Wirjanto, Tony S., 1997. "Adjustment costs and import demand behavior: evidence from Canada and the United States," Journal of International Money and Finance, Elsevier, vol. 16(3), pages 461-476, June.
    10. 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.
    11. Fanelli, Luca, 2006. "Multi-equational linear quadratic adjustment cost models with rational expectations and cointegration," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 445-456, March.
    12. Kenneth D. West, 1993. "Inventory Models," NBER Technical Working Papers 0143, National Bureau of Economic Research, Inc.
    13. 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.
    14. Engsted, Tom & Haldrup, Niels, 1997. "Money demand, adjustment costs, and forward-looking behavior," Journal of Policy Modeling, Elsevier, vol. 19(2), pages 153-173, April.
    15. Sengupta, Jati K., 1997. "Recent Models in Dynamic Economics: Problems of Estimating Terminal Conditions," University of California at Santa Barbara, Economics Working Paper Series qt05g0d8gm, Department of Economics, UC Santa Barbara.
    16. repec:fgv:epgrbe:v:65:n:2:a:3 is not listed on IDEAS
    17. Pereira, Rodrigo Mendes, 2011. "Current Account Dynamics with Rule of Thumb Consumers," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 65(2), June.
    18. Robert Amano, "undated". "Empirical Evidence on the Cost of Adjustment and Dynamic Labour Demand," Staff Working Papers 95-3, Bank of Canada.
    19. Jaebeom Kim & Masao Ogaki & Minseok Yang, 2003. "Structural Error Correction Models: Instrumental Variables Methods and an application to an exchange rate model," RCER Working Papers 502, University of Rochester - Center for Economic Research (RCER).
    20. Sengupta, Jati K., 2003. "Stochastic Growth In Schumpeterian Dynamics," University of California at Santa Barbara, Economics Working Paper Series qt6v13p7kx, Department of Economics, UC Santa Barbara.
    21. Sengupta, Jati K. & Okamura, Kumiko, 1996. "Learning by doing and openness in Japanese growth: A new approach," Japan and the World Economy, Elsevier, vol. 8(1), pages 43-64, March.
    22. Fanelli, Luca, 2002. "A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 117-139, January.
    23. Adrian Pagan, 2007. "Weak Instruments: A Guide to the Literature," NCER Working Paper Series 13, National Centre for Econometric Research.

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