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Inference in Cointegrated Models Using VAR Prewhitening to Estimate Shortrun Dynamics
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- 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).
- Martin Lettau & Sydney C. Ludvigson, 2014.
"Shocks and Crashes,"
NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
- Martin Lettau & Sydney C. Ludvigson, 2013. "Shocks and Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 293-354, National Bureau of Economic Research, Inc.
- Martin Lettau & Sydney C. Ludvigson, 2011. "Shocks and Crashes," NBER Working Papers 16996, National Bureau of Economic Research, Inc.
- van Amano, Robert A & Norden, Simon, 1998.
"Exchange Rates and Oil Prices,"
Review of International Economics, Wiley Blackwell, vol. 6(4), pages 683-694, November.
- Robert A. Amano & Simon van Norden, 1995. "Exchange Rates and Oil Prices," International Finance 9509001, University Library of Munich, Germany.
- Barja, Gover, 1995. "Time Series Analysis of Macroeconomic Conditions in Open Economies," MPRA Paper 62178, University Library of Munich, Germany.
- Masao Ogaki & Carmen M. Reinhart, 1998.
"Measuring Intertemporal Substitution: The Role of Durable Goods,"
Journal of Political Economy, University of Chicago Press, vol. 106(5), pages 1078-1098, October.
- Reinhart, Carmen & Ogaki, Masao, 1995. "Measuring intertemporal substitution: The role of durable goods," MPRA Paper 13690, University Library of Munich, Germany.
- Ogaki, M & Reinhart, C-M, 1995. "Measuring Intertemporal Substitution : The Role of Durable Goods," RCER Working Papers 404, University of Rochester - Center for Economic Research (RCER).
- Han, Hsiang-Ling & Ogaki, Masao, 1997. "Consumption, income and cointegration," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 107-117.
- Masakatsu Okubo, 2011. "The Intertemporal Elasticity of Substitution: An Analysis Based on Japanese Data," Economica, London School of Economics and Political Science, vol. 78(310), pages 367-390, April.
- Norrbin, Stefan C. & Reffett, Kevin L., 1995. "Trade credit in a monetary economy," Journal of Monetary Economics, Elsevier, vol. 35(3), pages 413-430, June.
- Ogaki, Masao & Park, Joon Y., 1997.
"A cointegration approach to estimating preference parameters,"
Journal of Econometrics, Elsevier, vol. 82(1), pages 107-134.
- Ogaki, M. & Park, Y.Y., 1989. "A Cointegration Approach To Estimating Preference Parameters," RCER Working Papers 209, University of Rochester - Center for Economic Research (RCER).
- Phillips, Peter C B, 1994.
"Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models,"
Econometrica, Econometric Society, vol. 62(1), pages 73-93, January.
- Peter C.B. Phillips, 1992. "Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models," Cowles Foundation Discussion Papers 1039, Cowles Foundation for Research in Economics, Yale University.
- Kontana Dimitra & Fountas Stilianos, 2022.
"Consumption, personal income, financial wealth, housing wealth, and long-term interest rates: a panel cointegration approach for 50 US states,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(3), pages 417-435, June.
- Dimitra Kontana & Stilianos Fountas, 2021. "Consumption, personal income, financial wealth, housing wealth, and long-term interest rates: A panel cointegration approach for 50 US states," Discussion Paper Series 2021_10, Department of Economics, University of Macedonia, revised Sep 2021.
- 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.
- Atkeson, A. & Ogaki, M., 1991. "Wealth-Varying Intertemporal Elasticities of Substitution Evidence from Panel and Aggregate Data," RCER Working Papers 303, University of Rochester - Center for Economic Research (RCER).
- 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.
- Reinhart, Carmen & Ogaki, Masao & Ostry, Jonathan, 1995. "Saving behavior in low- and middle-income developing countries," MPRA Paper 13757, University Library of Munich, Germany.
- Reinhart, Carmen & Ogaki, Masao & Ostry, Jonathan, 1996. "Saving Behavior in Low- and Middle-Income Developing Countries: A Comparison," MPRA Paper 6978, University Library of Munich, Germany.
- Corradi, Valentina & Swanson, Norman R. & White, Halbert, 2000.
"Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes,"
Journal of Econometrics, Elsevier, vol. 96(1), pages 39-73, May.
- Corradi, V. & Swanson, N. & White, H., 1996. "Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes," Papers 4-96-6, Pennsylvania State - Department of Economics.
- Hirukawa, Masayuki, 2023. "Robust Covariance Matrix Estimation in Time Series: A Review," Econometrics and Statistics, Elsevier, vol. 27(C), pages 36-61.
- 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.
- Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2016. "Monetary Policy and Asset Valuation," NBER Working Papers 22572, National Bureau of Economic Research, Inc.
- Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2017. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12275, C.E.P.R. Discussion Papers.
- Lettau, Martin & Ludvigson, Sydney & Bianchi, Francesco, 2018. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12671, C.E.P.R. Discussion Papers.
- Francesco Bianchi, 2017. "Monetary Policy and Asset Valuation," 2017 Meeting Papers 500, Society for Economic Dynamics.
- Norrbin, Stefan C. & Reffett, Kevin L., 1996. "A substitution test of long-run money demand," Journal of Macroeconomics, Elsevier, vol. 18(2), pages 253-270.
- Norrbin, Stefan C. & Reffett, Kevin L., 1995. "I(2) representations of US money demand," Economics Letters, Elsevier, vol. 49(4), pages 415-423, October.
- 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.
- Robert A. Amano & Tony S. Wirjanto, 1994. "The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation," Econometrics 9406002, University Library of Munich, Germany.
- 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.
- Robert Amano, "undated".
"Empirical Evidence on the Cost of Adjustment and Dynamic Labour Demand,"
Staff Working Papers
95-3, Bank of Canada.
- Robert A. Amano, 1995. "Empirical Evidence on the Cost of Adjustment and Dynamic Labour Demand," Macroeconomics 9505001, University Library of Munich, Germany.
- Norrbin, S. C., 1995. "Disaggregate stochastic trends in industrial production," Economics Letters, Elsevier, vol. 47(3-4), pages 327-333, March.
- Qunyong Wang & Na Wu, 2012. "Long-run covariance and its applications in cointegration regression," Stata Journal, StataCorp LP, vol. 12(3), pages 525-542, September.
- Elena Márquez de la Cruz, 2005.
"La elasticidad de sustitución intertemporal y el consumo duradero: un análisis para el caso español,"
Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 455-481, September.
- Elena Márquez de la Cruz, 2004. "La elasticidad de sustitución intertemporal y el consumo duradero: un análisis para el caso español," Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales 04-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Ogaki, Masao & Santaella, Julio A., 2000.
"The exchange rate and the term structure of interest rates in Mexico,"
Journal of Development Economics, Elsevier, vol. 63(1), pages 135-155, October.
- Masao Ogaki & Julio Santaella, 1999. "The Exchange Rate and the Term Structure of Interest Rates in Mexico," Working Papers 99-21, Ohio State University, Department of Economics.
- Gregory, Allan W. & Nason, James M. & Watt, David G., 1996. "Testing for structural breaks in cointegrated relationships," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 321-341.
- Peter C.B. Phillips, 1991. "Unidentified Components in Reduced Rank Regression Estimation of ECM's," Cowles Foundation Discussion Papers 1003, Cowles Foundation for Research in Economics, Yale University.
- Kim, In-Moo & Park, Joon Y., 2005. "Iterative Maximum Likelihood Estimation of Cointegrating Vectors," Working Papers 2005-02, Rice University, Department of Economics.
- Yan, Isabel K. & Kakkar, Vikas, 2010. "The equilibrium real exchange rate of China: a productivity approach," MPRA Paper 35229, University Library of Munich, Germany.
- 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).