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A Cointegration Approach To Estimating Preference Parameters

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Cited by:

  1. Cho, Guedae & Kim, MinKyoung & Koo, Won W., 2003. "Relative Agricultural Price Changes In Different Time Horizons," 2003 Annual meeting, July 27-30, Montreal, Canada 22249, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  2. Martin Lettau & Sydney C. Ludvigson, 2014. "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
  3. Urban, Dieter M., 2007. "Terms of trade, catch-up, and home-market effect: The example of Japan," Journal of the Japanese and International Economies, Elsevier, vol. 21(4), pages 470-488, December.
  4. Martin Lettau & Sydney C. Ludvigson, 2004. "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," American Economic Review, American Economic Association, vol. 94(1), pages 276-299, March.
  5. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
  6. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of US stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 04/13, Instituto Universitario de Análisis Económico y Social.
  7. Sadiye Baykara & Erdinç Telatar, 2012. "The Stationarity Of Consumption-Income Ratios With Nonlinear And Asymmetric Unit Root Tests: Evidence From Fourteen Transition Economies," Hacettepe University Department of Economics Working Papers 20129, Hacettepe University, Department of Economics.
  8. Vicente Esteve & Cecilio Tamarit, 2018. "Public debt and economic growth in Spain, 1851–2013," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 12(2), pages 219-249, May.
  9. Maccini, Louis J. & Moore, Bartholomew & Schaller, Huntley, 2015. "Inventory behavior with permanent sales shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 290-313.
  10. Shin-Ichi Nishiyama, 2005. "The cross-Euler equation approach to intertemporal substitution in import demand," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 841-872.
  11. Kong, Moon-Kee & Lee, Hoe-Kyung, 1999. "Demand for medical care, consumption and cointegration," Economics Letters, Elsevier, vol. 62(3), pages 325-330, March.
  12. Robert Amano & Tony S. Wirjanto, "undated". "A Further Analysis of Exchange Rate Targeting in Canada," Staff Working Papers 94-2, Bank of Canada.
  13. Vicente Esteve, 2004. "Política fiscal y productividad del trabajo en la economía española: un análisis de series temporales," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 19(1), pages 3-29, June.
  14. Antonio Cubel & Vicente Esteve & Maria Teresa Sanchis & Juan A. Sanchis-Llopis, 2014. "The effect of foreign and domestic patents on total factor productivity during the second half of the 20th century," Working Papers 06/14, Instituto Universitario de Análisis Económico y Social.
  15. Emilio Fernandez-Corugedo & Simon Price & Andrew Blake, 2003. "The dynamics of consumers' expenditure: the UK consumption ECM redux," Bank of England working papers 204, Bank of England.
  16. Robert A. Amano & Tony S. Wirjanto, 1998. "Government Expenditures and the Permanent-Income Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 1(3), pages 719-730, July.
  17. Arai, Yoichi, 2016. "Testing For Linearity In Regressions With I(1) Processes," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 57(1), pages 111-138, June.
  18. Brendan McCabe & Stephen Leybourne & David Harris, 2003. "Testing for Stochastic Cointegration and Evidence for Present Value Models," Econometrics 0311009, University Library of Munich, Germany.
  19. Schindler, Felix & Voronkova, Svitlana, 2010. "Linkages between international securitized real estate markets: Further evidence from time-varying and stochastic cointegration," ZEW Discussion Papers 10-051, ZEW - Leibniz Centre for European Economic Research.
  20. Mario J. Crucini & Mototsugu Shintani, 2015. "Measuring international business cycles by saving for a rainy day," Canadian Journal of Economics, Canadian Economics Association, vol. 48(4), pages 1266-1290, November.
  21. Vikas Kakkar, 2003. "The Relative Price of Nontraded Goods and Sectoral Total Factor Productivity: An Empirical Investigation," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 444-452, May.
  22. Gundlach, Erich, 1993. "Die Dienstleistungsnachfrage als Determinante des wirtschaftlichen Strukturwandels," Open Access Publications from Kiel Institute for the World Economy 763, Kiel Institute for the World Economy (IfW Kiel).
  23. Yum K. Kwan, 2007. "The Direct Substitution between Government and Private Consumption in East Asia," NBER Chapters, in: Fiscal Policy and Management in East Asia, pages 45-58, National Bureau of Economic Research, Inc.
  24. Ogaki, Masao & Park, Joon Y., 1997. "A cointegration approach to estimating preference parameters," Journal of Econometrics, Elsevier, vol. 82(1), pages 107-134.
  25. Robert Amano & Tony S. Wirjanto, "undated". "An Empirical Investigation into Government Spending and Private Sector Behaviour," Staff Working Papers 94-8, Bank of Canada.
  26. Jang, Kyungho & Ogaki, Masao, 2004. "The effects of monetary policy shocks on exchange rates: A structural vector error correction model approach," Journal of the Japanese and International Economies, Elsevier, vol. 18(1), pages 99-114, March.
  27. Atkeson, Andrew & Ogaki, Masao, 1996. "Wealth-varying intertemporal elasticities of substitution: Evidence from panel and aggregate data," Journal of Monetary Economics, Elsevier, vol. 38(3), pages 507-534, December.
  28. Chowdhury, Rosen & Cook, Steve & Watson, Duncan, 2023. "Reconsidering the relationship between health and income in the UK," Social Science & Medicine, Elsevier, vol. 332(C).
  29. Beard, T. Randolph & Jackson, John D. & Kaserman, David & Kim, Hyeongwoo, 2009. "A Time-Series Analysis of U.S. Kidney Transplantation and the Waiting List: Donor Substitution Effects and "Dirty Altruism"," MPRA Paper 17620, University Library of Munich, Germany.
  30. Choi, Chi-Young & Hu, Ling & Ogaki, Masao, 2008. "Robust estimation for structural spurious regressions and a Hausman-type cointegration test," Journal of Econometrics, Elsevier, vol. 142(1), pages 327-351, January.
  31. Masao Ogaki & Jonathan D. Ostry & Carmen M. Reinhart, 1996. "Saving Behavior in Low- and Middle-Income Developing Countries: A Comparison," IMF Staff Papers, Palgrave Macmillan, vol. 43(1), pages 38-71, March.
  32. Lucey, Brian M. & Voronkova, Svitlana, 2005. "Russian equity market linkages before and after the 1998 crisis : evidence from time-varying and stochastic cointegration tests," BOFIT Discussion Papers 12/2005, Bank of Finland, Institute for Economies in Transition.
  33. Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2022. "Monetary Policy and Asset Valuation," Journal of Finance, American Finance Association, vol. 77(2), pages 967-1017, April.
  34. Chi-Young Choi & Ling Hu & Masao Ogaki, 2005. "Structural Spurious Regressions and A Hausman-type Cointegration Test," RCER Working Papers 517, University of Rochester - Center for Economic Research (RCER).
  35. Bruno Chiarini & Elisabetta Marzano, 2006. "Market consumption and hidden consumption. A test for substitutability," Applied Economics, Taylor & Francis Journals, vol. 38(6), pages 707-716.
  36. Rafael Emilio Congregado & Vicente Esteve, 2021. "Long-run neutrality of money and inflation in Spanish economy, 1830-1998," Working Papers 2104, Department of Applied Economics II, Universidad de Valencia.
  37. Chiquiar, Daniel & Ramos-Francia, Manuel, 2005. "Trade and business-cycle synchronization: evidence from Mexican and U.S. manufacturing industries," The North American Journal of Economics and Finance, Elsevier, vol. 16(2), pages 187-216, August.
  38. Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 263-298.
  39. Esteve, Vicente & Tamarit, Cecilio, 2012. "Is there an environmental Kuznets curve for Spain? Fresh evidence from old data," Economic Modelling, Elsevier, vol. 29(6), pages 2696-2703.
  40. Chi-Young Choi; Ling Hu; Masao Ogaki, 2004. "A Spurious Regression Approach to Estimating Structural Parameters," Econometric Society 2004 Far Eastern Meetings 555, Econometric Society.
  41. Amano, Robert A. & Wirjanto, Tony S., 1996. "Intertemporal substitution, imports and the permanent income model," Journal of International Economics, Elsevier, vol. 40(3-4), pages 439-457, May.
  42. Hahn, Jaehoon & Lee, Hangyong, 2006. "Interpreting the predictive power of the consumption-wealth ratio," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 183-202, March.
  43. Toru Konishi & Valerie A. Ramey & Clive W.J. Granger, 1993. "Stochastic Trends and Short-Run Relationships Between Financial Variables and Real Activity," NBER Working Papers 4275, National Bureau of Economic Research, Inc.
  44. 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.
  45. Kyungho Jang, 2001. "Impulse Response Analysis with Long Run Restrictions on Error Correction Models," Working Papers 01-04, Ohio State University, Department of Economics.
  46. Emilio Congregado & Vicente Esteve & Juan A. María A. Prats, 2024. "Optimal public deficit and tax-smoothing in the Spanish economy, 1850-2022," Working Papers 2401, Department of Applied Economics II, Universidad de Valencia.
  47. Tony Wirjanto, 2004. "Exploring consumption-based asset pricing model with stochastic-trend forcing processes," Applied Economics, Taylor & Francis Journals, vol. 36(14), pages 1591-1597.
  48. Kakkar, Vikas & Ogaki, Masao, 1999. "Real exchange rates and nontradables: A relative price approach," Journal of Empirical Finance, Elsevier, vol. 6(2), pages 193-215, April.
  49. Frank, Murray Z. & Goyal, Vidhan K., 2004. "The effect of market conditions on capital structure adjustment," Finance Research Letters, Elsevier, vol. 1(1), pages 47-55, March.
  50. Okubo, Masakatsu, 2002. "Long-Run Relationship between Consumption and Income in Japan: Tests of the Deterministic Cointegration Restriction," Journal of the Japanese and International Economies, Elsevier, vol. 16(2), pages 253-278, June.
  51. Mario J. Crucini & Mototsugu Shintani, 2010. "Measuring business cycles by saving for a rainy day," Globalization Institute Working Papers 50, Federal Reserve Bank of Dallas.
  52. Elbakry, Ashraf E. & Nwachukwu, Jacinta C. & Abdou, Hussein A. & Elshandidy, Tamer, 2017. "Comparative evidence on the value relevance of IFRS-based accounting information in Germany and the UK," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 28(C), pages 10-30.
  53. Vicente Esteve & Francisco Requena, 2006. "A Cointegration Analysis of Car Advertising and Sales Data in the Presence of Structural Change," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 13(1), pages 111-128.
  54. 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.
  55. Masao Ogaki, 2003. "Aggregation under Complete Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 977-986, October.
  56. Yum K. Kwan, 2006. "The Direct Substitution Between Government and Private Consumption in East Asia," NBER Working Papers 12431, National Bureau of Economic Research, Inc.
  57. H. Youn Kim & Junsoo Lee, 2001. "Quasi-fixed inputs and long-run equilibrium in production: a cointegration analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(1), pages 41-57.
  58. Lau, Sau-Him Paul & Sin, Chor-Yiu, 1997. "Observational equivalence and a stochastic cointegration test of the neoclassical and Romer's increasing returns models," Economic Modelling, Elsevier, vol. 14(1), pages 39-60, January.
  59. Sau‐Him Paul Lau & Chor‐Yiu Sin, 1997. "Public Infrastructure and Economic Growth: Time‐Series Properties and Evidence," The Economic Record, The Economic Society of Australia, vol. 73(221), pages 125-135, June.
  60. Ogaki, Masao & Reinhart, Carmen M., 1998. "Intertemporal substitution and durable goods: long-run data," Economics Letters, Elsevier, vol. 61(1), pages 85-90, October.
  61. Antonio E. Noriega & Daniel Ventosa-Santaularia, 2012. "The effect of structural breaks on the Engle-Granger test for cointegration," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 27(1), pages 99-132.
  62. Shin-Ichi Nishiyama & Masao Ogaki, 2011. "The Cross-Euler Equation Approach in Estimating the Elasticity of Intertemporal Substitution for Food and Non-Food Consumption in Japan," TERG Discussion Papers 275, Graduate School of Economics and Management, Tohoku University.
  63. Okubo, Masakatsu, 2003. "Intratemporal substitution between private and government consumption: the case of Japan," Economics Letters, Elsevier, vol. 79(1), pages 75-81, April.
  64. Mariam Camarero & Javier Ordon Ez & Cecilio Tamarit, 2002. "Tests for interest rate convergence and structural breaks in the EMS: further analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 12(6), pages 447-456.
  65. Robert A. Amano & Wai-Ming Ho & Tony S. Wirjanto, 1999. "Intraperiod and Intertemporal Substitution in Import Demand," Cahiers de recherche CREFE / CREFE Working Papers 84, CREFE, Université du Québec à Montréal.
  66. Kakkar, Vikas, 2001. "Long run real exchange rates: evidence from Mexico," Economics Letters, Elsevier, vol. 72(1), pages 79-85, July.
  67. Bajo-Rubio, Oscar, 2012. "The balance-of-payments constraint on economic growth in a long-term perspective: Spain, 1850–2000," Explorations in Economic History, Elsevier, vol. 49(1), pages 105-117.
  68. Dawood, Taufiq Carnegie & Francois, John Nana, 2018. "Substitution between private and government consumption in African economies," Economic Modelling, Elsevier, vol. 73(C), pages 129-139.
  69. Jang, Kyungho & Ogaki, Masao, 2003. "The Effects of Japanese Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 21(1), pages 1-34, February.
  70. Lucey, Brian M. & Voronkova, Svitlana, 2008. "Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1303-1324, December.
  71. Esteve, Vicente & Navarro-Ibáñez, Manuel & Prats, María A., 2020. "Stock prices, dividends, and structural changes in the long-term: The case of U.S," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  72. Lucey, Brian M. & Voronkova, Svitlana, 2005. "Russian equity market linkages before and after the 1998 crisis: evidence from time-varying and stochastic cointegration tests," BOFIT Discussion Papers 12/2005, Bank of Finland Institute for Emerging Economies (BOFIT).
  73. Chen, Qi-An & Li, Huashi & Lin, Jianyi & Yan, Youliang, 2023. "Asset pricing with two types of heterogeneous consumption volatilities in mind: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
  74. Kenneth S. Lin, 1996. "Private Consumption, Nontraded Goods and Real Exchange Rate: A Cointegration_Euler Equation Approach," NBER Working Papers 5731, National Bureau of Economic Research, Inc.
  75. K.G. Balcombe & J.R. Davis, 1996. "An application of cointegration theory in the estimation of the Almost Ideal Demand system for food consumption in Bulgaria," Agricultural Economics, International Association of Agricultural Economists, vol. 15(1), pages 47-60, September.
  76. James M. Nason, 1991. "The permanent income hypothesis when the bliss point is stochastic," Discussion Paper / Institute for Empirical Macroeconomics 46, Federal Reserve Bank of Minneapolis.
  77. Kwan, Yum K. & Leung, Charles Ka Yui & Dong, Jinyue, 2015. "Comparing consumption-based asset pricing models: The case of an Asian city," Journal of Housing Economics, Elsevier, vol. 28(C), pages 18-41.
  78. David De La Croix & Jean-Pierre Urbain, 1998. "Intertemporal substitution in import demand and habit formation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(6), pages 589-612.
  79. Chiquiar Daniel & Ramos Francia Manuel, 2004. "Bilateral Trade and Business Cycle Synchronization: Evidence from Mexico and United States Manufacturing Industries," Working Papers 2004-05, Banco de México.
  80. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 1305, Department of Applied Economics II, Universidad de Valencia.
  81. Li, Qing & Papell, David, 1999. "Convergence of international output Time series evidence for 16 OECD countries," International Review of Economics & Finance, Elsevier, vol. 8(3), pages 267-280, September.
  82. Auteri, Monica & Costantini, Mauro, 2010. "A panel cointegration approach to estimating substitution elasticities in consumption," Economic Modelling, Elsevier, vol. 27(3), pages 782-787, May.
  83. Koo, Won W. & Cho, Guedae & Kim, MinKyoung, 2005. "Macro Effects on Agricultural Prices in Different Time Horizons," 2005 Annual meeting, July 24-27, Providence, RI 19349, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  84. repec:zbw:bofitp:2005_012 is not listed on IDEAS
  85. Malin Gardberg & Lorenzo (L.C.G.) Pozzi, 2018. "Consumption and wealth in the long run: an integrated unobserved component approach," Tinbergen Institute Discussion Papers 18-046/VI, Tinbergen Institute, revised 13 Sep 2018.
  86. Fernandez-Corugedo, Emilio & Price, Simon & Blake, Andrew P., 2007. "The dynamics of aggregate UK consumers' non-durable expenditure," Economic Modelling, Elsevier, vol. 24(3), pages 453-469, May.
  87. 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).
  88. Congregado, Emilio & Esteve, Vicente, 2022. "Cointegration with structural changes and classical model of inflation in Spain, 1830–1998," Structural Change and Economic Dynamics, Elsevier, vol. 60(C), pages 376-388.
  89. Masao Ogaki & Chi-Young Choi, 2001. "The Gauss-Markov Theorem and Spurious Regressions," Working Papers 01-13, Ohio State University, Department of Economics.
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