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Inference in Cointegrating Models: UK M1 Revisited

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Cited by:

  1. Justin Doran & Bernard Fingleton, 2014. "Economic shocks and growth: Spatio-temporal perspectives on Europe's economies in a time of crisis," Papers in Regional Science, Wiley Blackwell, vol. 93, pages 137-165, November.
  2. Brian Chi-ang Lin & Siqi Zheng & Felix Pretis & Lea Schneider & Jason E. Smerdon & David F. Hendry, 2016. "Detecting Volcanic Eruptions In Temperature Reconstructions By Designed Break-Indicator Saturation," Journal of Economic Surveys, Wiley Blackwell, vol. 30(3), pages 403-429, July.
  3. Hoesli, Martin & Oikarinen, Elias, 2012. "Are REITs real estate? Evidence from international sector level data," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1823-1850.
  4. Elias Oikarinen & Martin Hoesli & Camilo Serrano, 2013. "Do Public Real Estate Returns Really Lead Private Returns?," ERES eres2013_145, European Real Estate Society (ERES).
  5. Matei Demetrescu & Helmut Lütkepohl & Pentti Saikkonen, 2009. "Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 414-435, November.
  6. Özgür Aslan & Levent Korap, 2007. "Testing Quantity Theory of Money for the Turkish Economy," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 1(2), pages 93-109.
  7. Marcellino, Massimiliano & Mizon, Grayham E., 2000. "Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland and the UK," Economic Modelling, Elsevier, vol. 17(3), pages 387-413, August.
  8. Jacobs, Jan P.A.M. & Wallis, Kenneth F., 2010. "Cointegration, long-run structural modelling and weak exogeneity: Two models of the UK economy," Journal of Econometrics, Elsevier, vol. 158(1), pages 108-116, September.
  9. Mkenda, Beatrice Kalinda, 2001. "Long-run and Short-run Determinants of the Real Exchange Rate in Zambia," Working Papers in Economics 40, University of Gothenburg, Department of Economics.
  10. Alessandra Dal Colle, 2011. "Finance–growth nexus: does causality withstand financial liberalization? Evidence from cointegrated VAR," Empirical Economics, Springer, vol. 41(1), pages 127-154, August.
  11. Hjelm, Goran & Johansson, Martin W., 2005. "A Monte Carlo study on the pitfalls in determining deterministic components in cointegrating models," Journal of Macroeconomics, Elsevier, vol. 27(4), pages 691-703, December.
  12. Mustafa Ismihan & Aysit Tansel & Kivilcim Metin-Ozcan, 2002. "Macroeconomic Instability, Capital Accumulation and Growth : The Case of Turkey 1963-1999," Working Papers 0205, Department of Economics, Bilkent University.
  13. Anindya Banerjee, 2001. "Industry structure and the dynamics of price adjustment," Applied Economics, Taylor & Francis Journals, vol. 33(15), pages 1889-1901.
  14. Kurita, Takamitsu, 2011. "An empirical model for Japan's business fixed investment," Journal of Economics and Business, Elsevier, vol. 63(2), pages 107-120, March.
  15. 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.
  16. Carlomagno, Guillermo, 2014. "The pairwise approach to model a large set of disaggregates with common trends," DES - Working Papers. Statistics and Econometrics. WS ws141309, Universidad Carlos III de Madrid. Departamento de Estadística.
  17. Linzert Tobias, 2004. "Sources of German Unemployment: Evidence from a Structural VAR Model / Die Hintergründe deutscher Arbeitslosigkeit: Evidenz von einem Strukturellen VAR," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(3), pages 317-336, June.
  18. Irfan Civcir, 2003. "Before the Fall, Was the Turkish Lira Overvalued?," Eastern European Economics, Taylor & Francis Journals, vol. 41(2), pages 69-99, March.
  19. Kindie Getnet, 2009. "Optimising the policy cost of market stabilisation: Which commodity matters most in Ethiopia?," Journal of International Development, John Wiley & Sons, Ltd., vol. 21(3), pages 362-378.
  20. Takamitsu Kurita, 2010. "Time Series Analysis of Transatlantic Market Interactions: Evidence from Crude Oil and Gasoline Prices," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 9(2), pages 157-173, August.
  21. Niels Møller & Paul Sharp, 2014. "Malthus in cointegration space: evidence of a post-Malthusian pre-industrial England," Journal of Economic Growth, Springer, vol. 19(1), pages 105-140, March.
  22. Johansen, Søren & Nielsen, Morten Ørregaard, 2018. "The cointegrated vector autoregressive model with general deterministic terms," Journal of Econometrics, Elsevier, vol. 202(2), pages 214-229.
  23. Jurgen A. Doornik & H. Peter Boswijk, 2005. "Distribution approximations for cointegration tests with stationary exogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 797-810.
  24. Kouretas, Georgios P. & Yannopoulos, Andreas, 2006. "Dynamic modelling of trade union behaviour: Evidence from the Greek manufacturing sector," Economic Modelling, Elsevier, vol. 23(2), pages 316-338, March.
  25. Levent KORAP, 2008. "Exchange Rate Determination Of Tl/Us$:A Co-Integration Approach," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 7(1), pages 24-50, May.
  26. Irfan Civcir, 2004. "The Long-Run Validity of the Monetary Exchange Rate Model for a High Inflation Country and Misalignment : The Case of Turkey," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 40(4), pages 84-100, July.
  27. Bampinas, Georgios & Panagiotidis, Theodore, 2015. "Are gold and silver a hedge against inflation? A two century perspective," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 267-276.
  28. Johann Burgstaller, 2002. "Are stock returns a leading indicator for real macroeconomic developments?," Economics working papers 2002-07, Department of Economics, Johannes Kepler University Linz, Austria.
  29. Kurita, Takamitsu, 2010. "Co-breaking, cointegration, and weak exogeneity: Modelling aggregate consumption in Japan," Economic Modelling, Elsevier, vol. 27(2), pages 574-584, March.
  30. Arize, Augustine C. & Malindretos, John & Nam, Kiseok, 2010. "Cointegration, dynamic structure, and the validity of purchasing power parity in African countries," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 755-768, October.
  31. Elger Thomas & Binner Jane M., 2004. "The UK Household Sector Demand for Risky Money," The B.E. Journal of Macroeconomics, De Gruyter, vol. 4(1), pages 1-22, March.
  32. Hendry David F & Mizon Grayham E, 2011. "Econometric Modelling of Time Series with Outlying Observations," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-26, February.
  33. Vincent R. Nijs & Marnik G. Dekimpe & Jan-Benedict E.M. Steenkamps & Dominique M. Hanssens, 2001. "The Category-Demand Effects of Price Promotions," Marketing Science, INFORMS, vol. 20(1), pages 1-22, September.
  34. Becker, Ralf & Osborn, Denise R. & Yildirim, Dilem, 2012. "A threshold cointegration analysis of interest rate pass-through to UK mortgage rates," Economic Modelling, Elsevier, vol. 29(6), pages 2504-2513.
  35. Heimonen, Kari, 2008. "Substituting a substitute currency," International Review of Economics & Finance, Elsevier, vol. 17(1), pages 66-84.
  36. Aurelijus Dabušinskas, 2005. "Money and Prices in Estonia," Bank of Estonia Working Papers 2005-07, Bank of Estonia, revised 10 Nov 2005.
  37. Neil R. Ericsson, 2021. "Dynamic Econometrics in Action: A Biography of David F. Hendry," International Finance Discussion Papers 1311, Board of Governors of the Federal Reserve System (U.S.).
  38. Nejib Hachicha, 2003. "Capital Inflows-National Saving Dynamics in Tunisia: Evidence from Cointegration, Weak Exogeneity and Simultaneous Error Correction Modelling," International Economic Journal, Taylor & Francis Journals, vol. 17(4), pages 43-60.
  39. Roberto Golinelli & Sergio Pastorello, 2002. "Modelling the demand for M3 in the Euro area," The European Journal of Finance, Taylor & Francis Journals, vol. 8(4), pages 371-401.
  40. Jennifer Castle & Takamitsu Kurita, 2019. "Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks," Economics Series Working Papers 866, University of Oxford, Department of Economics.
  41. Guillermo Carlomagno & Antoni Espasa, 2021. "Discovering Specific Common Trends in a Large Set of Disaggregates: Statistical Procedures, their Properties and an Empirical Application," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 641-662, June.
  42. Carlomagno, Guillermo, 2015. "Forecasting a large set of disaggregates with common trends and outliers," DES - Working Papers. Statistics and Econometrics. WS ws1518, Universidad Carlos III de Madrid. Departamento de Estadística.
  43. Berhanu, Denu, 2006. "Dynamic Money Demand Function for Ethiopia," Ethiopian Journal of Economics, Ethiopian Economics Association, vol. 12(2), pages 1-81, November.
  44. Takamitsu Kurita, 2019. "A Recursive Monte Carlo Study of Structural-Break Sensitivity of Adjustment Coefficients in Cointegrated VAR Systems," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(2), pages 251-270, June.
  45. Irfan Civcir, 2003. "The Monetary Models of the Turkish Lira/U.S. Dollar Exchange Rate: Long-run Relationships, Short-run Dynamics, and Forecasting," Eastern European Economics, Taylor & Francis Journals, vol. 41(6), pages 43-63, January.
  46. Jane Binner & Rakesh Bissoondeeal & Thomas Elger & Alicia Gazely & Andrew Mullineux, 2005. "A comparison of linear forecasting models and neural networks: an application to Euro inflation and Euro Divisia," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 665-680.
  47. Binner, Jane & Elger, Thomas, 2002. "The UK Personal Sector Demand for Risky Money," Working Papers 2002:9, Lund University, Department of Economics.
  48. Kurita, Takamitsu, 2011. "An empirical model for Japan’s business fixed investment," Journal of Economics and Business, Elsevier, vol. 63(2), pages 107-120.
  49. Akram,Q.F. & Nymoen,R., 2001. "Employment behaviour in slack and tight labour markets," Memorandum 27/2001, Oslo University, Department of Economics.
  50. repec:zbw:bofitp:2001_011 is not listed on IDEAS
  51. Kurita, Takamitsu, 2020. "Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
  52. Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A., 2015. "Does the euro area macroeconomy affect global commodity prices? Evidence from a SVAR approach," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 485-503.
  53. Castle, Jennifer L. & Kurita, Takamitsu, 2024. "Stability between cryptocurrency prices and the term structure," Journal of Economic Dynamics and Control, Elsevier, vol. 165(C).
  54. Gaolu Zou & Kwong Wing Chau, 2020. "Effects of International Crude Oil Prices on Energy Consumption in China," Energies, MDPI, vol. 13(15), pages 1-17, July.
  55. Brüggemann, Ralf, 2002. "On the small sample properties of weak exogeneity tests in cointegrated VAR models," SFB 373 Discussion Papers 2002,2, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  56. Castle, Jennifer L. & Hendry, David F., 2009. "The long-run determinants of UK wages, 1860-2004," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 5-28, March.
  57. Philip Hans Franses, 2001. "How to deal with intercept and trend in practical cointegration analysis?," Applied Economics, Taylor & Francis Journals, vol. 33(5), pages 577-579.
  58. Georgoutsos, Dimitris A. & Kouretas, Georgios P., 2016. "Interest parity, cointegration, and the term structure: Testing in an integrated framework," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 281-294.
  59. Noriega Antonio E. & Ramos Francia Manuel & Rodríguez-Pérez Cid Alonso, 2015. "Money Demand Estimations in Mexico and of its Stability 1986-2010, as well as Some Examples of its Uses," Working Papers 2015-13, Banco de México.
  60. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871, January.
  61. Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor & Francis Journals, vol. 20(3), pages 247-318.
  62. Heimonen, Kari, 2001. "Substituting a substitute currency : The case of Estonia," BOFIT Discussion Papers 11/2001, Bank of Finland, Institute for Economies in Transition.
  63. Majocchi Antonio & Pavione Enrica, 2002. "International franchising in Italy: trends and perspectives," Economics and Quantitative Methods qf0215, Department of Economics, University of Insubria.
  64. Hans Christian Kongsted & Heino Bohn Nielsen, 2004. "Analysing I(2) Systems by Transformed Vector Autoregressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(3), pages 379-397, July.
  65. Ang, James B., 2008. "What are the mechanisms linking financial development and economic growth in Malaysia," Economic Modelling, Elsevier, vol. 25(1), pages 38-53, January.
  66. Takamitsu Kurita & Mototsugu Shintani, 2023. "Johansen Test with Fourier-Type Smooth Nonlinear Trends in Cointegrating Relations," CIRJE F-Series CIRJE-F-1216, CIRJE, Faculty of Economics, University of Tokyo.
  67. Bent Nielsen, 2008. "Power of Tests for Unit Roots in the Presence of a Linear Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 619-644, October.
  68. Carsten Trenkler*, 2005. "The Effects of Ignoring Level Shifts on Systems Cointegration Tests," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 89(3), pages 281-301, August.
  69. Hendry, David F., 2000. "On detectable and non-detectable structural change," Structural Change and Economic Dynamics, Elsevier, vol. 11(1-2), pages 45-65, July.
  70. Takamitsu Kurita & Patrick James, 2022. "The Canadian–US dollar exchange rate over the four decades of the post‐Bretton Woods float: An econometric study allowing for structural breaks," Metroeconomica, Wiley Blackwell, vol. 73(3), pages 856-883, July.
  71. Pashourtidou, Nicoletta, 2003. "Omitted variables in cointegration analysis," Discussion Paper Series In Economics And Econometrics 304, Economics Division, School of Social Sciences, University of Southampton.
  72. Massimiliano Marcellino & Grayham E. Mizon, 2001. "Small-system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 359-370.
  73. Almaas, Synne S. & Kurita, Takamitsu, 2019. "Modelling the real yen–dollar rate and inflation dynamics based on international parity conditions," Journal of Asian Economics, Elsevier, vol. 61(C), pages 51-64.
  74. Maxym Chaban, 2010. "Cointegration analysis with structural breaks and deterministic trends: an application to the Canadian dollar," Applied Economics, Taylor & Francis Journals, vol. 42(23), pages 3023-3037.
  75. Takamitsu Kurita & Bent Nielsen, 2019. "Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms," Econometrics, MDPI, vol. 7(4), pages 1-35, October.
  76. Hans Christian Kongsted, 2002. "Testing the Nominal-to-Real Transformation," Discussion Papers 02-06, University of Copenhagen. Department of Economics.
  77. Choi, Daniel & Oxley, Les, 2004. "Modelling the demand for money in New Zealand," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 185-191.
  78. Jacobs, Jan P.A.M. & Wallis, Kenneth F., 2010. "Cointegration, long-run structural modelling and weak exogeneity: Two models of the UK economy," Journal of Econometrics, Elsevier, vol. 158(1), pages 108-116, September.
  79. Diamandis, Panayiotis F. & Drakos, Anastassios A., 2005. "Long-run dynamics of official and black-market exchange rates in Latin America," Global Finance Journal, Elsevier, vol. 15(3), pages 219-237, February.
  80. Charalambos Pattichis & Chongcheul Cheong & Tesfa Mehari & Leighton Vaughan Williams, 2004. "Exchange rate uncertainty, UK trade and the euro," Applied Financial Economics, Taylor & Francis Journals, vol. 14(12), pages 885-893.
  81. Christian Hertrich, 2013. "Asset Allocation Considerations for Pension Insurance Funds," Springer Books, Springer, edition 127, number 978-3-658-02167-2, July.
  82. Akram, Q. Farooq, 2006. "PPP in the medium run: The case of Norway," Journal of Macroeconomics, Elsevier, vol. 28(4), pages 700-719, December.
  83. Hjelm, Göran & Johansson, Martin W, 2002. "A Monte Carlo Study on the Pitfalls in Determining Deterministic Components in Cointegrating Models," Working Papers 2002:3, Lund University, Department of Economics.
  84. Takamitsu Kurita & B. Nielsen, 2018. "Partial cointegrated vector autoregressive models with structural breaks in deterministic terms," Economics Papers 2018-W03, Economics Group, Nuffield College, University of Oxford.
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