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An Econometric Analysis of I(2) Variables

Citations

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Cited by:

  1. Stillwagon, Josh R., 2015. "Testing the expectations hypothesis with survey forecasts: The impacts of consumer sentiment and the zero lower bound in an I(2) CVAR," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 85-101.
  2. D. Ventosa-Santaulària, 2009. "Spurious Regression," Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-27, August.
  3. Konya, Laszlo, 2004. "Unit-Root, Cointegration and Granger Causality Test Results for Export and Growth in OECD Countries," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(2), pages 67-94.
  4. Niels Haldrup & Peter Lildholdt, 2005. "Local power functions of tests for double unit roots," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(2), pages 159-179, May.
  5. Tom Engsted & Niels Haldrup & Boriss Siliverstovs, 2004. "Long-run forecasting in multicointegrated systems," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(5), pages 315-335.
  6. Herzer Dierk, 2022. "Semi-endogenous Versus Schumpeterian Growth Models: A Critical Review of the Literature and New Evidence," Review of Economics, De Gruyter, vol. 73(1), pages 1-55, April.
  7. repec:bla:jecsur:v:16:y:2002:i:3:p:301-55 is not listed on IDEAS
  8. Engsted, Tom, 2003. "Misspecification versus bubbles in hyperinflation data: comment," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 441-451, August.
  9. Papagni, Erasmo & Lepore, Amedeo & Felice, Emanuele & Baraldi, Anna Laura & Alfano, Maria Rosaria, 2021. "Public investment and growth: Lessons learned from 60-years experience in Southern Italy," Journal of Policy Modeling, Elsevier, vol. 43(2), pages 376-393.
  10. Paruolo, Paolo, 2006. "Common trends and cycles in I(2) VAR systems," Journal of Econometrics, Elsevier, vol. 132(1), pages 143-168, May.
  11. Nielsen, Morten Orregaard, 2005. "Noncontemporaneous cointegration and the importance of timing," Economics Letters, Elsevier, vol. 86(1), pages 113-119, January.
  12. Michał Majsterek & Aleksander Welfe, 2012. "Price-wage nexus and the role of a tax system," Economic Change and Restructuring, Springer, vol. 45(1), pages 121-133, February.
  13. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94, Edward Elgar Publishing.
  14. Kia, Amir, 2008. "Fiscal sustainability in emerging countries: Evidence from Iran and Turkey," Journal of Policy Modeling, Elsevier, vol. 30(6), pages 957-972.
  15. Noriega Antonio E. & Ventosa-Santaulària Daniel, 2010. "Spurious Long-Horizon Regression in Econometrics," Working Papers 2010-06, Banco de México.
  16. Yoo, S.-H., 2006. "The causal relationship between electricity consumption and economic growth in the ASEAN countries," Energy Policy, Elsevier, vol. 34(18), pages 3573-3582, December.
  17. Schotman, Peter C. & Schweitzer, Mark, 2000. "Horizon sensitivity of the inflation hedge of stocks," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 301-315, November.
  18. Martina Alexová, 2012. "What determines inflation?," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 5(4), pages 345-369.
  19. Hassler, Uwe, 2007. "Multicointegration under measurement errors," Economics Letters, Elsevier, vol. 96(1), pages 38-44, July.
  20. Paul Mizen & Anindya Banerjee, 2006. "A re-interpretation of the linear quadratic model when inventories and sales are polynomially cointegrated," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1249-1264.
  21. Ziwei Mei & Peter C. B. Phillips & Zhentao Shi, 2022. "The boosted HP filter is more general than you might think," Papers 2209.09810, arXiv.org, revised Apr 2024.
  22. Bonham, Carl & Gangnes, Byron & Zhou, Ting, 2009. "Modeling tourism: A fully identified VECM approach," International Journal of Forecasting, Elsevier, vol. 25(3), pages 531-549, July.
  23. Boschi, Melisso & Girardi, Alessandro, 2005. "Does one monetary policy fit all? the determinants of inflation in EMU countries," MPRA Paper 28554, University Library of Munich, Germany.
  24. Niels Haldrup & Peter Lildholdt, 2002. "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(2), pages 155-171, March.
  25. Alessandro Cigno & Luca Casolaro & Furio C. Rosati, 2000. "The Role of Social Security in Household Decisions: Var Estimates of Saving and Fertility Behaviour in Germany," CESifo Working Paper Series 394, CESifo.
  26. Amir Kia, 2005. "Sustainability of the Fiscal Process in Developing Countries- Egypt, Iran and Turkey: A Multicointegration Approach – revised version: Fiscal Sustainability in Emerging Countries: Evidence from Iran a," Carleton Economic Papers 05-08, Carleton University, Department of Economics, revised Nov 2008.
  27. 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.
  28. Ziwei Mei & Peter C. B. Phillips & Zhentao Shi, 2024. "The boosted Hodrick‐Prescott filter is more general than you might think," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(7), pages 1260-1281, November.
  29. Banerjee, A. & Russell, B., 1999. "The Relationship Between the Markup and Inflation in the G7 Plus One Economies," Economics Series Working Papers 99205, University of Oxford, Department of Economics.
  30. Lavan Mahadeva and Paul Robinson, 2004. "Unit Root Testing in a Central Bank," Handbooks, Centre for Central Banking Studies, Bank of England, number 22, April.
  31. 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.
  32. Herranz-Loncan, Alfonso, 2007. "Infrastructure investment and Spanish economic growth, 1850-1935," Explorations in Economic History, Elsevier, vol. 44(3), pages 452-468, July.
  33. Boriss Siliverstovs, 2006. "Multicointegration in US consumption data," Applied Economics, Taylor & Francis Journals, vol. 38(7), pages 819-833.
  34. Noriega Antonio E. & Ventosa-Santaulària Daniel, 2006. "Spurious Regression and Econometric Trends," Working Papers 2006-05, Banco de México.
  35. Takamitsu Kurita, 2009. "A note on testing parameter constancy in cointegrated vector autoregression: the case of near I(2) processes," Economics Bulletin, AccessEcon, vol. 29(2), pages 575-587.
  36. Cassim, Lucius, 2020. "A Residual-based Test For Multicointegration In Models With Structural Breaks And Threshold Adjustment To Steady State," MPRA Paper 101453, University Library of Munich, Germany.
  37. Allison Zhou & Carl Bonham & Byron Gangnes, 2007. "Modeling the supply and demand for tourism: a fully identified VECM approach," Working Papers 200717, University of Hawaii at Manoa, Department of Economics.
  38. Kongsted, Hans Christian, 2005. "Testing the nominal-to-real transformation," Journal of Econometrics, Elsevier, vol. 124(2), pages 205-225, February.
  39. Giorgio Canarella & Stephen Miller & Stephen Pollard, 2012. "Unit Roots and Structural Change," Urban Studies, Urban Studies Journal Limited, vol. 49(4), pages 757-776, March.
  40. Luis A. Gil‐Alana & Robert Mudida & OlaOluwa S. Yaya & Kazeem A. Osuolale & Ahamuefula E. Ogbonna, 2021. "Mapping US presidential terms with S&P500 index: Time series analysis approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1938-1954, April.
  41. Holtemöller, Oliver, 2002. "Money and prices: An I(2) analysis for the euro area," SFB 373 Discussion Papers 2002,12, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  42. Escario, Regina & Gadea, María Dolores & Sabaté, Marcela, 2012. "Multicointegration, seigniorage and fiscal sustainability. Spain 1857–2000," Journal of Policy Modeling, Elsevier, vol. 34(2), pages 270-283.
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