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Interpretation of Cointegrating Coefficients in the Cointegrated Vector Autoregressive Model
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- Chatelain, Jean-Bernard, 2010.
"Can statistics do without artefacts?,"
MPRA Paper
42867, University Library of Munich, Germany.
- Jean-Bernard Chatelain, 2010. "Can Statistics Do without Artefacts?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00750495, HAL.
- Jean-Bernard Chatelain, 2010. "Can Statistics Do without Artefacts?," Working Papers hal-00750495, HAL.
- Bussière, Matthieu & Chudik, Alexander & Sestieri, Giulia, 2009.
"Modelling global trade flows: results from a GVAR model,"
Working Paper Series
1087, European Central Bank.
- Matthieu Bussiere & Alexander Chudik & Giulia Sestieri, 2012. "Modelling global trade flows: results from a GVAR model," Globalization Institute Working Papers 119, Federal Reserve Bank of Dallas.
- Nedialko Nestorov, 2015. "Cointegration Approach – Application Opportunities," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 110-140.
- Stavros Degiannakis & Christos Floros, 2010.
"Hedge Ratios in South African Stock Index Futures,"
Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(3), pages 285-304, December.
- Degiannakis, Stavros & Floros, Christos, 2010. "Hedge Ratios in South African Stock Index Futures," MPRA Paper 96301, University Library of Munich, Germany.
- Flavien Fokou Noumbissie, 2014. "The Impact of Monetary Policy on Financial Market in South Africa: A VAR Analysis," Journal of Economics and Behavioral Studies, AMH International, vol. 6(8), pages 636-646.
- Berta, Paolo & Lovaglio, Pietro Giorgio & Paruolo, Paolo & Verzillo, Stefano, 2020.
"Real Time Forecasting of Covid-19 Intensive Care Units demand,"
JRC Working Papers in Economics and Finance
2020-08, Joint Research Centre, European Commission.
- Berta, P. & Lovaglio, P.G. & Paruolo, P. & Verzillo, S., 2020. "Real Time Forecasting of Covid-19 Intensive Care Units demand," Health, Econometrics and Data Group (HEDG) Working Papers 20/16, HEDG, c/o Department of Economics, University of York.
- Mathias Hoffmann & Oliver Holtemöller, 2010.
"Transmission of Nominal Exchange Rate Changes to Export Prices and Trade Flows and Implications for Exchange Rate Policy,"
Scandinavian Journal of Economics, Wiley Blackwell, vol. 112(1), pages 127-161, March.
- Hoffmann, Mathias & Holtemöller, Oliver, 2009. "Transmission of nominal exchange rate changes to export prices and trade flows and implications for exchange rate policy," Discussion Paper Series 1: Economic Studies 2009,21, Deutsche Bundesbank.
- Yaya, OlaOluwa S. & Vo, Xuan Vinh & Olayinka, Hammed A., 2021.
"Gold and silver prices, their stocks and market fear gauges: Testing fractional cointegration using a robust approach,"
Resources Policy, Elsevier, vol. 72(C).
- Yaya, OlaOluwa S & Vo, Xuan Vinh & Olayinka, Hammed Abiola, 2021. "Gold and Silver prices, their stocks and market fear gauges: Testing fractional cointegration using a robust approach," MPRA Paper 109830, University Library of Munich, Germany.
- Léonore Raguideau-Hannotin, 2021.
"Monetary autonomy of CESEE countries and nominal convergence in EMU: a cointegration analysis with structural breaks,"
EconomiX Working Papers
2021-20, University of Paris Nanterre, EconomiX.
- Léonore Raguideau-Hannotin, 2021. "Monetary autonomy of CESEE countries and nominal convergence in EMU: a cointegration analysis with structural breaks," Working Papers hal-03279499, HAL.
- Emerson Fernandes Marçal & Priscila Fernandes Ribeiro, 2011. "Levado pelos Fundamentos? Estimando o Desalinhamento Cambial Norte-Americano a partir de Técnicas de Cointegração," Discussion Papers 1674, Instituto de Pesquisa Econômica Aplicada - IPEA.
- repec:ags:aaea22:335749 is not listed on IDEAS
- Nicolas Gérard Vaillant & Christian Ben lakhdar & Thérèse Lebrun, 2011.
"On the way of tobacco quitting: A VAR approach,"
Economics Bulletin, AccessEcon, vol. 31(4), pages 3253-3258.
- Chr. Ben Lakhdar & N. Vaillant & Th. Lebrun, 2011. "On the way of tobacco quitting: A VAR approach," Post-Print hal-00662294, HAL.
- H. Peter Boswijk & Jurgen A. Doornik, 2004.
"Identifying, estimating and testing restricted cointegrated systems: An overview,"
Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 440-465, November.
- 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.
- Echavarría-Soto, Juan José & López, Enrique & Ocampo, Sergio & Rodríguez-Niño, Norberto, 2012.
"Choques, instituciones laborales y desempleo en Colombia,"
Chapters, in: Arango-Thomas, Luis Eduardo & Hamann-Salcedo, Franz Alonso (ed.), El mercado de trabajo en Colombia : hechos, tendencias e instituciones, chapter 18, pages 753-794,
Banco de la Republica de Colombia.
- Juan José Echavarría & Enrique López & Sergio Ocampo, 2011. "Choques, instituciones laborales y desempleo en Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(66), pages 128-173, December.
- Juan José Echavarría & Enrique López & Sergio Ocampo & Norberto Rodríguez, 2011. "Choques, instituciones laborales y desempleo en Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 29(66), pages 128-173, December.
- Juan José Echavarría & Enrique López & Sergio Ocampo & Norberto Rodríguez, 2011. "Choques, instituciones laborales y desempleo en Colombia," Borradores de Economia 682, Banco de la Republica de Colombia.
- Juan José Echavarría & Enrique López & Sergio Ocampo & Norberto Rodríguez, 2011. "Choques, instituciones laborales y desempleo en Colombia," Borradores de Economia 9154, Banco de la Republica.
- Joohun Han & John N. Ng’ombe, 2023. "The relation between wheat, soybean, and hemp acreage: a Bayesian time series analysis," Agricultural and Food Economics, Springer;Italian Society of Agricultural Economics (SIDEA), vol. 11(1), pages 1-12, December.
- Hilal Y?ld?r?r Keser* & Kadir Y. Eryi?it, 2018. "The Impact of the Logistic Sector on Competitiveness in the Presence of Structural Breaks: A Study on Turkey," The Journal of Social Sciences Research, Academic Research Publishing Group, vol. 4(11), pages 246-256, 11-2018.
- Garcia-Jimenez, Carlos I. & Mishra, Ashok K., 2010. "The Effects of Public Debt on Labor Demand in the United States," 2010 Annual Meeting, February 6-9, 2010, Orlando, Florida 56361, Southern Agricultural Economics Association.
- Paolo Paruolo & Ben Murphy & Greet Janssens-Maenhout, 2011.
"Do emissions and income have a common trend? A country-specific, time-series, global analysis, 1970-2008,"
Economics and Quantitative Methods
qf1113, Department of Economics, University of Insubria.
- Paolo Paruolo & Ben Murphy & Greet Janssen-Maenhout, 2012. "Do Emissions and Income Have a Common Trend? A Country-Specific, Time-Series, Global Analysis, 1970-2008," Working Paper series 32_12, Rimini Centre for Economic Analysis.
- Gillian Foster, 2018. "Ethylene Supply in a Fluid Context: Implications of Shale Gas and Climate Change," Energies, MDPI, vol. 11(11), pages 1-17, November.
- Dengjun Zhang, 2015. "The trade effect of price risk: a system-wide approach," Empirical Economics, Springer, vol. 48(3), pages 1149-1167, May.
- Karsten Schweikert, 2020. "Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions," Papers 2001.07949, arXiv.org, revised Apr 2021.
- Karsten Schweikert, 2022. "Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(1), pages 83-104, January.
- Çetin, Tamer & Yasin Eryigit, Kadir, 2011. "Estimating the effects of entry regulation in the Istanbul taxicab market," Transportation Research Part A: Policy and Practice, Elsevier, vol. 45(6), pages 476-484, July.
- Juselius, Mikael, 2008. "Long-run relationships between labor and capital: Indirect evidence on the elasticity of substitution," Journal of Macroeconomics, Elsevier, vol. 30(2), pages 739-756, June.
- Hongbo Liu & Shuanglu Liang & Qingbo Cui, 2020. "The Nexus between Economic Complexity and Energy Consumption under the Context of Sustainable Environment: Evidence from the LMC Countries," IJERPH, MDPI, vol. 18(1), pages 1-14, December.
- Çetin, Tamer & Yüksel, Fatih, 2014. "Empirical investigation on energy dependence-consumption nexus: Evidence from Turkish natural gas market," Applied Energy, Elsevier, vol. 133(C), pages 243-251.
- Adrian Marek Burda, 2022. "How Well Do Contemporary Theories Explain Floating Exchange Rate Changes in an Emerging Economy: The Case of EUR/PLN," Economies, MDPI, vol. 10(11), pages 1-20, November.
- Çetin, Tamer & Yasin Eryigit, Kadir, 2013. "The economic effects of government regulation: Evidence from the New York taxicab market," Transport Policy, Elsevier, vol. 25(C), pages 169-177.
- Severin Borenstein & James Bushnell & Frank A. Wolak & Matthew Zaragoza-Watkins, 2019.
"Expecting the Unexpected: Emissions Uncertainty and Environmental Market Design,"
American Economic Review, American Economic Association, vol. 109(11), pages 3953-3977, November.
- Severin Borenstein & James Bushnell & Frank A. Wolak & Matthew Zaragoza-Watkins, 2015. "Expecting the Unexpected: Emissions Uncertainty and Environmental Market Design," NBER Working Papers 20999, National Bureau of Economic Research, Inc.
- Niels Framroze Møller, 2019. "Decoding unemployment persistence: an econometric framework for identifying and comparing the sources of persistence with an application to UK macrodata," Empirical Economics, Springer, vol. 56(5), pages 1489-1514, May.
- Paolo Paruolo, 2006.
"The Likelihood Ratio Test for the Rank of a Cointegration Submatrix,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 921-948, December.
- Paruolo Paolo, 2004. "The likelihood ratio test for the rank of a cointegration submatrix," Economics and Quantitative Methods qf04024, Department of Economics, University of Insubria.
- Massimo Franchi & Paolo Paruolo, 2019.
"A general inversion theorem for cointegration,"
Econometric Reviews, Taylor & Francis Journals, vol. 38(10), pages 1176-1201, November.
- Massimo Franchi & Paolo Paruolo, 2017. "A general inversion theorem for cointegration," DSS Empirical Economics and Econometrics Working Papers Series 2017/3, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Fanelli, Luca & Paruolo, Paolo, 2010.
"Speed of adjustment in cointegrated systems,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 130-141, September.
- Fanelli, Luca & Paruolo, Paolo, 2007. "Speed of Adjustment in Cointegrated Systems," MPRA Paper 9174, University Library of Munich, Germany.
- Niels Framroze Møller, 2013.
"Understanding Unemployment Hysteresis: A system-based econometric approach to changing equilibria and slow adjustment,"
Discussion Papers
13-06, University of Copenhagen. Department of Economics.
- Møller, Niels Framroze, 2016. "How to decode Unemployment Persistence: An econometric framework for identifying and comparing the sources of persistence," MPRA Paper 70058, University Library of Munich, Germany.
- Fabrizio Coricelli & Bo??tjan 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.
- Christian Rojas & Alexandra Andino & Wayne D. Purcell, 2008. "Retailers' response to wholesale price changes: new evidence from scanner-based quantity-weighted beef prices," Agribusiness, John Wiley & Sons, Ltd., vol. 24(1), pages 1-15.
- Samake, Issouf & Yang, Yongzheng, 2014. "Low-income countries’ linkages to BRICS: Are there growth spillovers?," Journal of Asian Economics, Elsevier, vol. 30(C), pages 1-14.
- Møller, Niels Framroze, 2008.
"Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 2, pages 1-29.
- Møller, Niels Framroze, 2008. "Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model," Economics Discussion Papers 2008-21, Kiel Institute for the World Economy (IfW Kiel).
- Roko Pedisic, 2022. "Cointegration Analysis of Financial Market Indices During Financial Shocks. Focus on Global Financial Crisis and COVID-19 ?andemic Crisis," Bulletin of Applied Economics, Risk Market Journals, vol. 9(2), pages 59-78.
- Mr. Sohrab Rafiq, 2016. "When China Sneezes Does ASEAN Catch a Cold?," IMF Working Papers 2016/214, International Monetary Fund.
- Tamer Cetin & Kadir Y. Eryigit, 2015. "Estimating the Economic Effects of Deregulation: Evidence from the Turkish Airline Industry," Koç University-TUSIAD Economic Research Forum Working Papers 1525, Koc University-TUSIAD Economic Research Forum.
- Møller, Niels Framroze, 2015. "Energy Demand, Substitution and a Potential for Electrification: An econometric analysis of eight Danish subsectors," MPRA Paper 69931, University Library of Munich, Germany.
- Møller, Niels Framroze, 2017. "Energy demand, substitution and environmental taxation: An econometric analysis of eight subsectors of the Danish economy," Energy Economics, Elsevier, vol. 61(C), pages 97-109.
- Vardhan, Harsh & Sinha, Pankaj, 2015. "Influence of Macroeconomic Variable on Indian Stock Movement: Cointegration Approach," MPRA Paper 64369, University Library of Munich, Germany, revised 10 May 2015.
- Gomez-Biscarri, Javier & Hualde, Javier, 2015.
"Regression-based analysis of cointegration systems,"
Journal of Econometrics, Elsevier, vol. 186(1), pages 32-50.
- Javier Hualde & Javier Gómez Biscarri, 2015. "Regression-based analysis of cointegration systems," Working Papers 780, Barcelona School of Economics.
- Tamer Cetin & Yildirim B. Cicen & Kadir Y. Eryigit, 2016. "Do Institutions Matter for Economic Performance? Theoretical Insights and Evidence from Turkey," Koç University-TUSIAD Economic Research Forum Working Papers 1610, Koc University-TUSIAD Economic Research Forum.