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Vector Autoregressive Models With Unit Roots And Reduced Rank Structure:Estimation. Likelihood Ratio Test, And Forecasting

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Cited by:

  1. Dissani Badoubatoba Mathieu & Sanmang Wu & Doukou Kossi Dowaraga & Goetswang Kealeboga Fredah, 2019. "Energy Consumption, CO2 Emissions and Economic Growth in Togo: A Causal Analysis," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 5(4), pages 117-125, December.
  2. Carsten Trenkler, 2008. "Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms," Computational Statistics, Springer, vol. 23(1), pages 19-39, January.
  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," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00084717, HAL.
  4. Diamandis, Panayiotis F. & Georgoutsos, Dimitris A. & Kouretas, Georgios P., 2000. "The monetary model in the presence of I(2) components: long-run relationships, short-run dynamics and forecasting of the Greek drachma," Journal of International Money and Finance, Elsevier, vol. 19(6), pages 917-941, December.
  5. Hamdi, Helmi & Sbia, Rashid, 2013. "Dynamic relationships between oil revenues, government spending and economic growth in an oil-dependent economy," Economic Modelling, Elsevier, vol. 35(C), pages 118-125.
  6. Mike Artis & Hans-Martin Krolzig & Juan Toro, 2004. "The European business cycle," Oxford Economic Papers, Oxford University Press, vol. 56(1), pages 1-44, January.
  7. Herzer, Dierk & Nunnenkamp, Peter, 2013. "Private Donations, Government Grants, Commercial Activities, and Fundraising: Cointegration and Causality for NGOs in International Development Cooperation," World Development, Elsevier, vol. 46(C), pages 234-251.
  8. Sami, Janesh, 2021. "Has the long-run relationship between gold and silver prices really disappeared? Evidence from an emerging market," Resources Policy, Elsevier, vol. 74(C).
  9. Farhani, Sahbi & Shahbaz, Muhammad & Arouri, Mohamed & Teulon, Frédéric, 2014. "The role of natural gas consumption and trade in Tunisia's output," Energy Policy, Elsevier, vol. 66(C), pages 677-684.
  10. Christian Dreger & Dierk Herzer, 2013. "A further examination of the export-led growth hypothesis," Empirical Economics, Springer, vol. 45(1), pages 39-60, August.
  11. Fakhri J. Hasanov & Lester C. Hunt & Ceyhun I. Mikayilov, 2016. "Modeling and Forecasting Electricity Demand in Azerbaijan Using Cointegration Techniques," Energies, MDPI, vol. 9(12), pages 1-31, December.
  12. Josef C. Brada & Ali M. Kutan & Su Zhou, 2002. "Real and Monetary Convergence within the European Union and Between the European Union and Candidate Countries: A Rolling Cointegration Approach," William Davidson Institute Working Papers Series 458, William Davidson Institute at the University of Michigan.
  13. Hasanov, Fakhri & Huseynov, Fariz, 2013. "Bank credits and non-oil economic growth: Evidence from Azerbaijan," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 597-610.
  14. Ivan D. Trofimov Nazaria Md. Aris Dickson C. D. Xuan, 2018. "Macroeconomic and Demographic Determinants of Residential Property Prices in Malaysia," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 21(2), pages 71-96, November.
  15. Yin Zhang & Guanghua Wan, 2004. "Output and Price Fluctuations in China's Reform Years: What Role did Money Play?," WIDER Working Paper Series RP2004-56, World Institute for Development Economic Research (UNU-WIDER).
  16. Gutierrez, Carlos Enrique Carrasco & Gomes, Fábio Augusto Reis, 2009. "Evidence on Common Features and Business Cycle Synchronization in Mercosur," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 29(1), May.
  17. Guillén, Osmani Teixeira & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2015. "Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 862-875.
  18. Christoffersen, Peter F & Diebold, Francis X, 1998. "Cointegration and Long-Horizon Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 450-458, October.
  19. Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
  20. Luis Fernando Melo & Franz A.Hamann, 1998. "Inflación Básica.Una Estimación Basada en Modelos VAR Estructurales," Borradores de Economia 093, Banco de la Republica de Colombia.
  21. Minsoo Lee, 2003. "Common Trend and Common Currency: Australiaand New Zealand," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 2(2), pages 155-165, August.
  22. Saikkonen, Pentti & Luukkonen, Ritva, 1997. "Testing cointegration in infinite order vector autoregressive processes," Journal of Econometrics, Elsevier, vol. 81(1), pages 93-126, November.
  23. A. C. Arize, 1998. "The Effects of Exchange Rate Volatility on U.S. Imports: An Empirical Investigation," International Economic Journal, Taylor & Francis Journals, vol. 12(3), pages 31-40.
  24. Ali Kutan & Su Zhou, 2003. "Has the Link Between the Spot and Forward Exchange Rates Broken Down? Evidence from Rolling Cointegration Tests," Open Economies Review, Springer, vol. 14(4), pages 369-379, October.
  25. Herzer, Dierk & Nunnenkamp, Peter, 2015. "Income inequality and health: Evidence from developed and developing countries," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 9, pages 1-56.
  26. Piotr Wdowiński, 2011. "Model monetarny kursu równowagi złoty/euro: analiza kointegracyjna," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 3, pages 67-86.
  27. Mohsen Bahmani-oskooee & Charikleia Economidou, 2005. "How stable is the demand for money in Greece?," International Economic Journal, Taylor & Francis Journals, vol. 19(3), pages 461-472.
  28. repec:ebl:ecbull:v:5:y:2007:i:6:p:1-14 is not listed on IDEAS
  29. Geoffrey Booth, G. & Chowdhury, Mustafa & Martikainen, Teppo, 1996. "Common volatility in major stock index futures markets," European Journal of Operational Research, Elsevier, vol. 95(3), pages 623-630, December.
  30. Gianluca Cubadda & Marco Mazzali, 2024. "The vector error correction index model: representation, estimation and identification," The Econometrics Journal, Royal Economic Society, vol. 27(1), pages 126-150.
  31. Gianluca Cubadda, 2007. "A Reduced Rank Regression Approach to Coincident and Leading Indexes Building," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 271-292, April.
  32. Saikkonen, Pentti & Lütkepohl, Helmut, 1999. "Local Power Of Likelihood Ratio Tests For The Cointegrating Rank Of A Var Process," Econometric Theory, Cambridge University Press, vol. 15(1), pages 50-78, February.
  33. Kari Heimonen, 2006. "Time-Varying Fundamentals of the Euro-Dollar Exchange Rate," International Economic Journal, Taylor & Francis Journals, vol. 20(4), pages 385-407.
  34. Fakhri J. Hasanov & Elchin Suleymanov & Heyran Aliyeva & Hezi Eynalov & Sa'd Shannak, 2022. "What Drives the Agricultural Growth in Azerbaijan? Insights from Autometrics with Super Saturation," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 70(3), pages 147-174.
  35. Hiroaki Chigira & Taku Yamamoto, 2009. "Forecasting in large cointegrated processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 631-650.
  36. Marie-Josée Godbout & Simon van Norden, 1997. "Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples," Staff Working Papers 97-1, Bank of Canada.
  37. Vincent Bouvatier, 2010. "Hot money inflows and monetary stability in China: how the People's Bank of China took up the challenge," Applied Economics, Taylor & Francis Journals, vol. 42(12), pages 1533-1548.
  38. Agustín Saade & Daniel Osorio & Dairo Estrada, 2007. "An equilibrium approach to financial stability analysis: the Colombian case," Annals of Finance, Springer, vol. 3(1), pages 75-105, January.
  39. Ahmad Baharumshah & Evan Lau & Ahmed Khalid, 2006. "Testing Twin Deficits Hypothesis using VARs and Variance Decomposition," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 11(3), pages 331-354.
  40. Sahbi Farhani & Anissa Chaibi & Christophe Rault, 2014. "A study of CO2 emissions, output,energy consumption, and trade," Working Papers 2014-56, Department of Research, Ipag Business School.
  41. Jesús Gonzalo & Jean‐Yves Pitarakis, 2002. "Lag length estimation in large dimensional systems," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(4), pages 401-423, July.
  42. Carmelo Giaccotto & Rexford E. Santerre & Francis W. Ahking, 2005. "The Aggregate Demand for Private Health Insurance Coverage in the U.S," Working papers 2005-43, University of Connecticut, Department of Economics.
  43. Herzer, Dierk, 2014. "Unions and income inequality: a heterogenous cointegration and causality analysis," Working Paper 146/2014, Helmut Schmidt University, Hamburg.
  44. Tang, Chor Foon & Shahbaz, Muhammad, 2013. "Sectoral analysis of the causal relationship between electricity consumption and real output in Pakistan," Energy Policy, Elsevier, vol. 60(C), pages 885-891.
  45. Chao, John C. & Phillips, Peter C. B., 1999. "Model selection in partially nonstationary vector autoregressive processes with reduced rank structure," Journal of Econometrics, Elsevier, vol. 91(2), pages 227-271, August.
  46. Chandran, V.G.R. & Sharma, Susan & Madhavan, Karunagaran, 2010. "Electricity consumption-growth nexus: The case of Malaysia," Energy Policy, Elsevier, vol. 38(1), pages 606-612, January.
  47. Niels Kemper & Dierk Herzer & Luca Zamparelli, 2011. "Balanced growth and structural breaks: evidence for Germany," Empirical Economics, Springer, vol. 40(2), pages 409-424, April.
  48. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2001. "Testing for Common Cyclical Features in Var Models with Cointegration," CESifo Working Paper Series 451, CESifo.
  49. Baum, Christopher F. & Barkoulas, John T. & Caglayan, Mustafa, 2001. "Nonlinear adjustment to purchasing power parity in the post-Bretton Woods era," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 379-399, June.
  50. P. W. Fong & W. K. Li, 2004. "Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(3), pages 419-441, May.
  51. Kalaitzi, Athanasia S. & Chamberlain, Trevor W., 2020. "Merchandise exports and economic growth: multivariate time series analysis for the United Arab Emirates," LSE Research Online Documents on Economics 103781, London School of Economics and Political Science, LSE Library.
  52. Bahmani-Oskooee Mohsen & Mirzaie Aghdas, 2000. "The Long-Run Effects of Depreciation of The Dollar on Sectoral Output," International Economic Journal, Taylor & Francis Journals, vol. 14(3), pages 51-61.
  53. Boyer, M. Martin & van Norden, Simon, 2006. "Exchange rates and order flow in the long run," Finance Research Letters, Elsevier, vol. 3(4), pages 235-243, December.
  54. Yin Zhang & Guanghua Wan, 2005. "China's Business Cycles: Perspectives from an AD–AS Model," Asian Economic Journal, East Asian Economic Association, vol. 19(4), pages 445-469, December.
  55. repec:onb:oenbwp:y::i:103:b:1 is not listed on IDEAS
  56. Gonzalo Camba-Mendez & George Kapetanios, 2005. "Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling," Working Papers 541, Queen Mary University of London, School of Economics and Finance.
  57. Tor Jacobson, 1995. "Simulating small-sample properties of the maximum likelihood cointegration method : estimation and testing," Finnish Economic Papers, Finnish Economic Association, vol. 8(2), pages 96-107, Autumn.
  58. Helmut Lütkepohl, 2010. "Forecasting Aggregated Time Series Variables: A Survey," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2010(2), pages 1-26.
  59. Zhang, Yin & Wan, Guanghua, 2007. "What accounts for China's trade balance dynamics?," Journal of Policy Modeling, Elsevier, vol. 29(6), pages 821-837.
  60. Alain W. HECQ, 2005. "Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach," Computing in Economics and Finance 2005 258, Society for Computational Economics.
  61. Evan Lau & Tuck Cheong Tang, 2009. "Twin deficits in Cambodia: An Empirical Study," Economics Bulletin, AccessEcon, vol. 29(4), pages 2783-2794.
  62. Athanasia S. Kalaitzi & Emmanuel Cleeve, 2018. "Export-led growth in the UAE: multivariate causality between primary exports, manufactured exports and economic growth," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 8(3), pages 341-365, September.
  63. Bahmani-Oskooee Mohsen & Shin Sungwon, 2002. "Stability of the Demand for Money in Korea," International Economic Journal, Taylor & Francis Journals, vol. 16(2), pages 85-95.
  64. Dierk Herzer & Holger Strulik & Sebastian Vollmer, 2012. "The long-run determinants of fertility: one century of demographic change 1900–1999," Journal of Economic Growth, Springer, vol. 17(4), pages 357-385, December.
  65. repec:ipg:wpaper:2014-057 is not listed on IDEAS
  66. Panagiotis T. Konstantinou, 2005. "The Expectations Hypothesis of the Term Structure : A Look at the Polish Interbank Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 41(3), pages 70-91, May.
  67. Bahmani-Oskooee, Mohsen & Techaratanachai, Ampa, 2001. "Currency substitution in Thailand," Journal of Policy Modeling, Elsevier, vol. 23(2), pages 141-145, February.
  68. Vincent Bouvatier, 2006. "Hot Money Inflows in China: How the People's Bank of China Took up the Challenge," Post-Print halshs-00111153, HAL.
  69. Sylvia Kaufmann & Peter Kugler, 2008. "Does Money Matter For Inflation In The Euro Area?," Contemporary Economic Policy, Western Economic Association International, vol. 26(4), pages 590-606, October.
  70. David O. Cushman, 2000. "The failure of the monetary exchange rate model for the Canadian-U.S. dollar," Canadian Journal of Economics, Canadian Economics Association, vol. 33(3), pages 591-603, August.
  71. Belke, Ansgar & Dobnik, Frauke & Dreger, Christian, 2011. "Energy consumption and economic growth: New insights into the cointegration relationship," Energy Economics, Elsevier, vol. 33(5), pages 782-789, September.
  72. Athanasia Stylianou Kalaitzi & Trevor W. Chamberlain, 2023. "Manufactured exports, disaggregated imports and economic growth: the case of Kuwait," Economic Change and Restructuring, Springer, vol. 56(2), pages 919-940, April.
  73. Tang, Chor Foon & Tan, Eu Chye, 2015. "Does tourism effectively stimulate Malaysia's economic growth?," Tourism Management, Elsevier, vol. 46(C), pages 158-163.
  74. Syed Ali Raza & Muhammad Shahbaz & Sudharshan Reddy Paramati, 2017. "Dynamics of Military Expenditure and Income Inequality in Pakistan," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 131(3), pages 1035-1055, April.
  75. GONZALO, Jesus & PITARAKIS, Jean-Yves, 1994. "Comovements in Large Systems," LIDAM Discussion Papers CORE 1994065, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  76. Arize, Augustine C., 1998. "The long-run relationship between import flows and real exchange-rate volatility: The experience of eight European economies," International Review of Economics & Finance, Elsevier, vol. 7(4), pages 417-435.
  77. Frauke Dobnik, 2011. "OLong-run Money Demand in OECD Countries – Cross-Member Cointegration," Ruhr Economic Papers 0237, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
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  79. Hasanov, Fakhri, 2009. "Analyzing price level in a booming economy: the case of Azerbaijan," MPRA Paper 29555, University Library of Munich, Germany.
  80. Ang, James B., 2011. "Finance and consumption volatility: Evidence from India," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 947-964, October.
  81. Kalaitzi Athanasia Stylianou & Kherfi Samer & Alrousan Sahel & Katsaiti Marina-Selini, 2022. "Are Non-Primary Exports the Source for Further Economic Growth in the UAE?," Review of Middle East Economics and Finance, De Gruyter, vol. 18(1), pages 29-51, April.
  82. Mansor H. Ibrahim, 2006. "Stock Prices and Bank Loan Dynamics in a Developing Country: The Case of Malaysia," Journal of Applied Economics, Taylor & Francis Journals, vol. 9(1), pages 71-89, May.
  83. Jayanthakumaran, Kankesu & Sanidas, Elias, 2005. "The Impact of Unilateral and Regional Trade Liberalisation on the Intra-ASEAN 5 Founding Nations' Exports and Export-GDP Nexus," Economics Working Papers wp05-14, School of Economics, University of Wollongong, NSW, Australia.
  84. Lee, Chin, 2013. "The Role of Macroeconomic Fundamentals in Malaysian Post Recession Growth," MPRA Paper 44808, University Library of Munich, Germany.
  85. Oikarinen, Elias, 2006. "Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data," Discussion Papers 1004, The Research Institute of the Finnish Economy.
  86. Dierk Herzer, 2010. "The Long-Run Relationship between Outward FDI and Total Factor Productivity: Evidence for Developing Countries," Ibero America Institute for Econ. Research (IAI) Discussion Papers 199, Ibero-America Institute for Economic Research.
  87. Marcus J. Chambers, 2015. "A Jackknife Correction to a Test for Cointegration Rank," Econometrics, MDPI, vol. 3(2), pages 1-21, May.
  88. David O. Cushman, 2007. "A portfolio balance approach to the Canadian–U.S. exchange rate," Review of Financial Economics, John Wiley & Sons, vol. 16(3), pages 305-320.
  89. Ahmad M. Talafha & Emmanuel Thompson, 2017. "On Valuing European Option: VAR-COVAR Approach," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 6(3), pages 1-1.
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  94. Wagatha, Matthias, 2007. "Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen [Integration, Cointegration and Long-Horizont Forecasting of Credit-Default-Cycles]," MPRA Paper 8602, University Library of Munich, Germany.
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  128. Kalaitzi, Athanasia & Chamberlain, Trevor W., 2019. "Further evidence on export-led growth in the United Arab Emirates: are non-oil exports or re-exports the key to economic growth?," LSE Research Online Documents on Economics 103827, London School of Economics and Political Science, LSE Library.
  129. Ang, James B., 2007. "CO2 emissions, energy consumption, and output in France," Energy Policy, Elsevier, vol. 35(10), pages 4772-4778, October.
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