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Testing for the cointegrating rank of a VAR process with an intercept

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Cited by:

  1. 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.
  2. Jacques Jaussaud & Serge Rey, 2012. "Long‐Run Determinants Of Japanese Exports To China And The United States: A Sectoral Analysis," Pacific Economic Review, Wiley Blackwell, vol. 17(1), pages 1-28, February.
  3. Ettore Gallo & Maria Cristina Barbieri Góes, 2023. "Investment, autonomous demand and long-run capacity utilization: an empirical test for the Euro Area," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 40(1), pages 225-255, April.
  4. Hallin, M. & van den Akker, R. & Werker, B.J.M., 2012. "Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Other publications TiSEM bc68a2f2-3ca3-443c-b3ac-f, Tilburg University, School of Economics and Management.
  5. King Fuei Lee, 2010. "An Empirical Study of Dividend Payout and Future Earnings in Singapore," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 267-286.
  6. Håvard Hungnes, 2010. "Identifying Structural Breaks in Cointegrated Vector Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(4), pages 551-565, August.
  7. repec:ebl:ecbull:v:3:y:2003:i:11:p:1-9 is not listed on IDEAS
  8. Karakotsios, Achillefs & Katrakilidis, Constantinos & Kroupis, Nikolaos, 2021. "The dynamic linkages between food prices and oil prices. Does asymmetry matter?," The Journal of Economic Asymmetries, Elsevier, vol. 23(C).
  9. BAAK, SaangJoon, 2008. "The bilateral real exchange rates and trade between China and the U.S," China Economic Review, Elsevier, vol. 19(2), pages 117-127, June.
  10. Shintani, Mototsugu, 2001. "A simple cointegrating rank test without vector autoregression," Journal of Econometrics, Elsevier, vol. 105(2), pages 337-362, December.
  11. Lota D. Tamini & Jean‐Philippe Gervais, 2005. "Developing Economic Indexes for the Quebec Hog/Pork Industry," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 53(1), pages 1-23, March.
  12. Ahking, Francis W., 2002. "Model mis-specification and Johansen's co-integration analysis: an application to the US money demand," Journal of Macroeconomics, Elsevier, vol. 24(1), pages 51-66, March.
  13. Aaron Mehrotra, 2008. "Demand for Money in Transition: Evidence from China’s Disinflation," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(1), pages 36-47, February.
  14. Mutuc, Maria & Pan, Suwen & Hudson, Darren, 2011. "Response of Cotton to Oil Price Shocks," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 12(2).
  15. Silika Prohl, 2010. "Test of Fiscal Sustainability and Causality Hypotheses for Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(II), pages 481-506, June.
  16. Pierre Perron & Gabriel Rodríguez, "undated". "Residuals-based Tests for Cointegration with GLS Detrended Data," Boston University - Department of Economics - Working Papers Series wp2015-017, Boston University - Department of Economics, revised 19 Oct 2015.
  17. Minoas Koukouritakis, 2017. "Eurozone debt crisis and bond yields convergence: evidence from the new EU countries," Economic Change and Restructuring, Springer, vol. 50(3), pages 239-258, August.
  18. Karel Mertens & Morten O. Ravn, 2011. "Technology-Hours Redux: Tax Changes and the Measurement of Technology Shocks," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 7(1), pages 41-76.
  19. Martins Iyoboyi & Ummu Ahmad Jalingo & Ahmad Tsauni, 2016. "Impact of Institutions on Macroeconomic Performance in Nigeria: 1980-2013," Eastern European Business and Economics Journal, Eastern European Business and Economics Studies Centre, vol. 2(3), pages 193-221.
  20. Mar𨁌orena Mar𑁥l Cristo & Marta G -Puig, 2013. "Pass-through in dollarized countries: should Ecuador abandon the US dollar?," Applied Economics, Taylor & Francis Journals, vol. 45(31), pages 4395-4411, November.
  21. Giuseppe Cavaliere & Luca Fanelli & Paolo Paruolo, 2009. "Tests for cointegration rank and choice of the alternative," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(2), pages 169-191, July.
  22. Rey, Serge, 2009. "L’apport du NATREX à la modélisation des taux de change d’équilibre : théorie et application au dollar canadien," L'Actualité Economique, Société Canadienne de Science Economique, vol. 85(2), pages 131-181, juin.
  23. Dimitrios Sideris, 2011. "Optimum currency areas, structural changes and the endogeneity of the OCA criteria: evidence from six new EU member states," Applied Financial Economics, Taylor & Francis Journals, vol. 21(4), pages 195-206.
  24. Boswijk, H. Peter & Jansson, Michael & Nielsen, Morten Ørregaard, 2015. "Improved likelihood ratio tests for cointegration rank in the VAR model," Journal of Econometrics, Elsevier, vol. 184(1), pages 97-110.
  25. Moncarz, Pedro & Barone, Sergio & Descalzi, Ricardo, 2018. "Shocks to the international prices of agricultural commodities and the effects on welfare and poverty. A simulation of the ex ante long-run effects for Uruguay," International Economics, Elsevier, vol. 156(C), pages 136-155.
  26. Pahlavani, Mosayeb, 2005. "The Relationship Between Trade and Economic Growth in Iran: An Application of a New Cointegration Technique in the Presence of Structural Breaks," Economics Working Papers wp05-28, School of Economics, University of Wollongong, NSW, Australia.
  27. Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015. "Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models," Other publications TiSEM d1b040c9-db57-4e55-846f-4, Tilburg University, School of Economics and Management.
  28. Khaled Chnaina & Farid Makhlouf, 2015. "Impact des Transferts de Fonds sur le Taux de Change Réel Effectif en Tunisie," African Development Review, African Development Bank, vol. 27(2), pages 145-160, June.
  29. Kai Carstensen & Jan Hagen & Oliver Hossfeld & Abelardo Salazar Neaves, 2009. "Money Demand Stability And Inflation Prediction In The Four Largest Emu Countries," Scottish Journal of Political Economy, Scottish Economic Society, vol. 56(1), pages 73-93, February.
  30. Gabriel Rodriguez & Pierre Perron, 2013. "Single-equation tests for Cointegration with GLS Detrended Data," Boston University - Department of Economics - Working Papers Series 2013-016, Boston University - Department of Economics.
  31. Aviral Kumar Tiwari, 2012. "Are trade deficits sustainable? Evidence from the ASEAN-five," International Journal of Social Economics, Emerald Group Publishing, vol. 40(1), pages 68-82, December.
  32. Sirine Mnif & Chiraz Feki & Ines Abdelkafi, 2018. "Effects of Technological Shock on Employment: Application of Structural Approach VECM," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 9(4), pages 1138-1153, December.
  33. Roccazzella, Francesco & Candelon, Bertrand, 2022. "Should we care about ECB inflation expectations?," LIDAM Discussion Papers LFIN 2022004, Université catholique de Louvain, Louvain Finance (LFIN).
  34. Barhoumi, Karim, 2006. "Exchange Rate Pass-Through and Structural Macroeconomic Shocks in Developing Countries: An Empirical Investigation," MPRA Paper 6573, University Library of Munich, Germany, revised 13 Oct 2007.
  35. Paul Alagidede & Theodore Panagiotidis & Xu Zhang, 2011. "Causal relationship between stock prices and exchange rates," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 20(1), pages 67-86.
  36. Schreiber, Sven, 2009. "Explaining shifts in the unemployment rate with productivity slowdowns and accelerations: a co-breaking approach," Kiel Working Papers 1505, Kiel Institute for the World Economy (IfW Kiel).
  37. Thomas A. Knetsch & Hans‐Eggert Reimers, 2009. "Dealing with Benchmark Revisions in Real‐Time Data: The Case of German Production and Orders Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(2), pages 209-235, April.
  38. Ihle, R. & Brümmer, B. & Thompson, S.R., 2011. "Auswirkungen der Fischler-Reform und der Blauzungenkrankheit auf die Europäischen Kälbermärkte," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 46, March.
  39. Mpho Bosupeng, 2015. "The Fisher Effect Using Differences in The Deterministic Term," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 5(4), pages 1031-1031.
  40. Ralf Brüggemann & Helmut Lütkepohl, 2006. "A small monetary system for the euro area based on German data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 683-702, September.
  41. Narayana, N.S.S. & Ghosh, Probal P., 2005. "Macroeconomic Simulation Results for India based on VEC/VAR Models," Indian Journal of Agricultural Economics, Indian Society of Agricultural Economics, vol. 60(4), pages 1-40.
  42. Yusuf Shamsuddeen Nadabo & Suleiman Maigari Salisu, 2021. "Investigating the Expenditure-Economic Growth Nexus in Nigeria the Presence of Structural Breaks: A Nonlinear ARDL Cointegration Approach," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 5(09), pages 146-153, September.
  43. Byrne, Joseph P. & Nagayasu, Jun, 2010. "Structural breaks in the real exchange rate and real interest rate relationship," Global Finance Journal, Elsevier, vol. 21(2), pages 138-151.
  44. Ana Norman-Lόpez & Sean Pascoe & Olivier Thébaud & Ingrid Putten & James Innes & Sarah Jennings & Alistair Hobday & Bridget Green & Eva Plaganyi, 2014. "Price integration in the Australian rock lobster industry: implications for management and climate change adaptation," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 58(1), pages 43-59, January.
  45. Somayeh Azami & Shahram Fattahi & Mehdi Rezaei, 2017. "Historical and Variance Decomposition for Oil Price, Oil Consumption, OPEC and Non-OPEC Oil Production," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 21(3), pages 519-541, Summer.
  46. Bosupeng, Mpho, 2017. "On the Effects of the BRICS on World Economic Growth," MPRA Paper 81757, University Library of Munich, Germany, revised 2017.
  47. Sven Schreiber, 2012. "Estimating the natural rate of unemployment in euro-area countries with co-integrated systems," Applied Economics, Taylor & Francis Journals, vol. 44(10), pages 1315-1335, April.
  48. Mehrotra, Aaron N., 2007. "Exchange and interest rate channels during a deflationary era--Evidence from Japan, Hong Kong and China," Journal of Comparative Economics, Elsevier, vol. 35(1), pages 188-210, March.
  49. Ihle, Rico & Brümmer, Bernhard & Thompson, Stanley R., 2009. "Spatial market integration in the EU beef and veal sector: policy decoupling and export bans," DARE Discussion Papers 0913, Georg-August University of Göttingen, Department of Agricultural Economics and Rural Development (DARE).
  50. Michał Majsterek & Emilia Gosińska, 2020. "Structural Change in the Deterministic and Stochastic Part of VECM. I(1) and I(2) Case," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 12(4), pages 317-345, December.
  51. Bent Nielsen, 2008. "Power of Tests for Unit Roots in the Presence of a Linear Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 619-644, October.
  52. repec:rim:rimwps:41-07 is not listed on IDEAS
  53. Bosupeng, Mpho, 2015. "Drivers of Global Carbon Dioxide Emissions: International Evidence," MPRA Paper 77925, University Library of Munich, Germany, revised 2015.
  54. Eiji Kurozumi & Yoichi Arai, 2007. "Efficient estimation and inference in cointegrating regressions with structural change," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 545-575, July.
  55. Pahlavani, M., 2005. "Sources Of Economic Growth In Iran: A Cointegration Analysis In The Presence Of Structural Breaks, 1960-2003," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 5(4).
  56. Paruolo Paolo, 2005. "Design of vector autoregressive processes for invariant statistics," Economics and Quantitative Methods qf0504, Department of Economics, University of Insubria.
  57. Marco Morales, 2014. "Cointegration testing under structural change: reducing size distortions and improving power of residual based tests," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(2), pages 265-282, June.
  58. Johansen, Søren & Nielsen, Morten Ørregaard, 2018. "The cointegrated vector autoregressive model with general deterministic terms," Journal of Econometrics, Elsevier, vol. 202(2), pages 214-229.
  59. Matei Demetrescu & Helmut Lütkepohl & Pentti Saikkonen, 2009. "Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 414-435, November.
  60. Tiwari, Aviral, 2010. "Is trade deficit sustainable in India? An inquiry," MPRA Paper 24451, University Library of Munich, Germany.
  61. Arnold, Stephan & Auer, Benjamin R., 2015. "What do scientists know about inflation hedging?," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 187-214.
  62. Walter Krämer, 2019. "Interview mit Helmut Lütkepohl," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 13(1), pages 87-94, April.
  63. Aaron Levi Garavito-Acosta & Maria Mercedes Collazos-Gaitan & Manuel Dario Hernandez-Bejarano & Enrique Montes-Uribe, 2019. "Migración internacional y determinantes de las remesas de trabajadores en Colombia," Borradores de Economia 1066, Banco de la Republica de Colombia.
  64. José Alves & João Quental Gonçalves, 2022. "How Money relates to value? An empirical examination on Gold, Silver and Bitcoin," Working Papers REM 2022/0222, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  65. Ahlgren, Niklas & Nyblom, Jukka, 2003. "A General Test for the Cointegrating Rank in Vector Autoregressive Models," Working Papers 499, Hanken School of Economics.
  66. Jaya Krishnakumar & David Neto, 2012. "Testing Uncovered Interest Rate Parity and Term Structure Using a Three‐regime Threshold Unit Root VECM: An Application to the Swiss ‘Isle’ of Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(2), pages 180-202, April.
  67. Rodríguez-Caballero, Carlos Vladimir & Ventosa-Santaulària, Daniel, 2017. "Energy-growth long-term relationship under structural breaks. Evidence from Canada, 17 Latin American economies and the USA," Energy Economics, Elsevier, vol. 61(C), pages 121-134.
  68. Maciej Wysocki & Cezary Wójcik, 2021. "Fiscal sustainability in the EU after the global crisis: Is there any progress? Evidence from Poland," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3997-4012, July.
  69. Nikolaos Giannellis & Minoas Koukouritakis, 2016. "Eurozone's Leader and its Followers: Are their Markets Integrated Enough?," Working Papers 1607, University of Crete, Department of Economics.
  70. Harris, David & Leybourne, Stephen J. & Taylor, A.M. Robert, 2016. "Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point," Journal of Econometrics, Elsevier, vol. 192(2), pages 451-467.
  71. Kirstin Hubrich & Peter Vlaar, 2004. "Monetary transmission in Germany: Lessons for the Euro area," Empirical Economics, Springer, vol. 29(2), pages 383-414, May.
  72. Masagus M. Ridhwan & Henri L. F. Groot & Piet Rietveld & Peter Nijkamp, 2014. "The Regional Impact of Monetary Policy in Indonesia," Growth and Change, Wiley Blackwell, vol. 45(2), pages 240-262, June.
  73. Gao, Zhaoxing & Tsay, Ruey S., 2021. "Modeling high-dimensional unit-root time series," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1535-1555.
  74. Zhaoxing Gao & Ruey S. Tsay, 2020. "Modeling High-Dimensional Unit-Root Time Series," Papers 2005.03496, arXiv.org, revised Aug 2020.
  75. Giannellis, Nikolaos & Koukouritakis, Minoas, 2013. "Exchange rate misalignment and inflation rate persistence: Evidence from Latin American countries," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 202-218.
  76. Qazi Muhammad Adnan Hye & Houda Ben Haj Boubaker, 2011. "Exports, Imports and Economic Growth: An Empirical Analysis of Tunisia," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(1), pages 6-21, February.
  77. Ben-Salha, Ousama & Jaidi, Zied, 2014. "Some new evidence on the determinants of money demand in developing countries – A case study of Tunisia," The Journal of Economic Asymmetries, Elsevier, vol. 11(C), pages 30-45.
  78. Eriko Hoshino & Caleb Gardner & Sarah Jennings & Klaas Hartmann, 2015. "Examining the Long-Run Relationship between the Prices of Imported Abalone in Japan," Marine Resource Economics, University of Chicago Press, vol. 30(2), pages 179-192.
  79. Giannellis, Nikolaos & Koukouritakis, Minoas, 2017. "Competitiveness divergence in the Eurozone: The need for symmetric adjustment," Journal of Policy Modeling, Elsevier, vol. 39(5), pages 942-962.
  80. Mohsen Fardmanesh & Seymour Douglas, 2008. "Foreign Exchange Controls and the Parallel Market Premium," Review of Development Economics, Wiley Blackwell, vol. 12(1), pages 72-89, February.
  81. Pesavento, Elena, 2004. "Analytical evaluation of the power of tests for the absence of cointegration," Journal of Econometrics, Elsevier, vol. 122(2), pages 349-384, October.
  82. repec:zbw:bofitp:2005_017 is not listed on IDEAS
  83. Marcel Gorenflo, 2013. "Futures price dynamics of CO 2 emission allowances," Empirical Economics, Springer, vol. 45(3), pages 1025-1047, December.
  84. Christopher Spencer & Paul Temple, 2012. "Alternative Paths of Learning: Standardisation and Growth in Britain, 1901-2009," Discussion Paper Series 2012_10, Department of Economics, Loughborough University, revised Oct 2012.
  85. Guillermo Carlomagno & Antoni Espasa, 2021. "Discovering Specific Common Trends in a Large Set of Disaggregates: Statistical Procedures, their Properties and an Empirical Application," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 641-662, June.
  86. Kalou, Sofia & Paleologou, Suzanna-Maria, 2012. "The twin deficits hypothesis: Revisiting an EMU country," Journal of Policy Modeling, Elsevier, vol. 34(2), pages 230-241.
  87. Ratti, Ronald A. & Vespignani, Joaquin L., 2015. "OPEC and non-OPEC oil production and the global economy," Energy Economics, Elsevier, vol. 50(C), pages 364-378.
  88. Beckmann, Joscha & Czudaj, Robert, 2013. "Gold as an inflation hedge in a time-varying coefficient framework," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 208-222.
  89. Koukouritakis, Minoas & Papadopoulos, Athanasios P. & Yannopoulos, Andreas, 2014. "Transmission effects in the presence of structural breaks: Evidence from South-Eastern European countries," Economic Modelling, Elsevier, vol. 41(C), pages 298-311.
  90. Kuikeu, Oscar, 2021. "The Relevance on assessing Real Exchange Rate Misalignment under lessons from covid-19 crisis," MPRA Paper 108047, University Library of Munich, Germany.
  91. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, April.
  92. Batten, Jonathan A. & Ciner, Cetin & Lucey, Brian M, 2014. "On the economic determinants of the gold–inflation relation," Resources Policy, Elsevier, vol. 41(C), pages 101-108.
  93. Maciej WYSOCKI & Cezary WÓJCIK, 2021. "Fiscal Sustainability in Poland: How Did the Public Policy Shift of 2016–2019 Impact the Country’s Long-Term," Ekonomista, Polskie Towarzystwo Ekonomiczne, issue 6, pages 777-798.
  94. Guillaume Chevillon, 2017. "Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming," Econometric Reviews, Taylor & Francis Journals, vol. 36(5), pages 514-545, May.
  95. Nazlioglu, Saban & Lee, Junsoo, 2020. "Response surface estimates of the LM unit root tests," Economics Letters, Elsevier, vol. 192(C).
  96. Ihle, Rico & Brümmer, Bernhard & Thompson, Stanley R., 2009. "Spatial market integration in the EU beef and veal sector: policy decoupling and export bans," DARE Discussion Papers 0913, Georg-August University of Göttingen, Department of Agricultural Economics and Rural Development (DARE).
  97. Mark Holmes & Theodore Panagiotidis & Abhijit Sharma, 2011. "The sustainability of India's current account," Applied Economics, Taylor & Francis Journals, vol. 43(2), pages 219-229.
  98. Bo Zhou, 2023. "Semiparametrically Optimal Cointegration Test," Papers 2305.08880, arXiv.org.
  99. Jamal HUSEIN, 2008. "Traditional Export Demand Relation: A Cointegration and Parameter Constancy Analysis," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 5(2).
  100. Ihle, Rico & Rubin, Ofir D., 2013. "Consequences of unintended food policies: Food price dynamics subject to the Israeli–Palestinian conflict," Food Policy, Elsevier, vol. 42(C), pages 96-105.
  101. Serge Rey, 2011. "Exchange rate fluctuations and extra-eurozone exports: A comparison of Germany and France," Economics Bulletin, AccessEcon, vol. 31(2), pages 1131-1150.
  102. Christopher Spencer & Paul Temple, 2016. "Standards, learning, and growth in Britain, 1901–2009," Economic History Review, Economic History Society, vol. 69(2), pages 627-652, May.
  103. Aaron MEHROTRA, 2004. "Could Japan Target the Price Level or Inflation - What Happens to Monetary Policy Effectiveness during Disinflation?," Economics Working Papers ECO2004/02, European University Institute.
  104. Carsten Trenkler, 2003. "A new set of critical values for systems cointegration tests with a prior adjustment for deterministic terms," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-9.
  105. Suresh K G & Aviral Kumar Tiwari, 2012. "Long Run and Short Run Linkages between Stock Indices in Bombay Stock Exchange: A Structural Cointegration Approach," Journal of Quantitative Economics, The Indian Econometric Society, vol. 10(1), pages 177-181, January.
  106. Shahbaz, Muhammad & Tahir, Mohammad Iqbal & Ali, Imran & Rehman, Ijaz Ur, 2014. "Is gold investment a hedge against inflation in Pakistan? A co-integration and causality analysis in the presence of structural breaks," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 190-205.
  107. Jacques Jaussaud & Serge Rey, 2009. "Long-Run Determinants of Japanese Import Flows from USA and China : A Sectoral Approach," Working Papers hal-01880360, HAL.
  108. Ming-Hua Liu & Dimitris Margaritis & Zhuo Qiao, 2016. "The Global Financial Crisis and Retail Interest Rate Pass-Through in Australia," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-32, December.
  109. Giorgio Calcagnini & Germana Giombini & Giuseppe Travaglini, 2015. "The productivity gap among European countries," Working Papers 1510, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2015.
  110. Skrobotov, Anton, 2021. "Structural breaks in cointegration models: Multivariate case," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 64, pages 83-106.
  111. Velinov, Anton, 2016. "On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models," VfS Annual Conference 2016 (Augsburg): Demographic Change 145581, Verein für Socialpolitik / German Economic Association.
  112. repec:zbw:bofitp:2006_010 is not listed on IDEAS
  113. Lusine Lusinyan & John Thornton, 2011. "Unit roots, structural breaks and cointegration in the UK public finances, 1750-2004," Applied Economics, Taylor & Francis Journals, vol. 43(20), pages 2583-2592.
  114. Koivu, Tuuli, 2012. "Monetary policy, asset prices and consumption in China," Economic Systems, Elsevier, vol. 36(2), pages 307-325.
  115. Ikechukwu D Nwaka & Kalu E Uma & Gulcay Tuna, 2015. "Trade openness and unemployment: Empirical evidence for Nigeria," The Economic and Labour Relations Review, , vol. 26(1), pages 117-136, March.
  116. Aviral Kumar Tiwari, 2012. "Reassessment of Sustainability of Current Account Deficit in India," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 10(1), pages 67-79.
  117. Chipeta Chama & Meyer Daniel Francois & Muzindutsi Paul-Francois, 2017. "The Effect of Exchange Rate Movements and Economic Growth on Job Creation," Studia Universitatis Babeș-Bolyai Oeconomica, Sciendo, vol. 62(2), pages 20-41, August.
  118. Zhang, Rongmao & Robinson, Peter & Yao, Qiwei, 2019. "Identifying cointegration by eigenanalysis," LSE Research Online Documents on Economics 87431, London School of Economics and Political Science, LSE Library.
  119. Mylonidis, Nikolaos & Paleologou, Suzanna-Maria, 2011. "The real uncovered interest parity: The case of Canada and the USA," Journal of Policy Modeling, Elsevier, vol. 33(2), pages 255-267, March.
  120. Allan W. Gregory & Alfred A. Haug & Nicoletta Lomuto, 2004. "Mixed signals among tests for cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 89-98.
  121. Velinov, Anton, 2018. "On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 2(1), pages 106-126.
  122. Carlomagno, Guillermo, 2015. "Forecasting a large set of disaggregates with common trends and outliers," DES - Working Papers. Statistics and Econometrics. WS ws1518, Universidad Carlos III de Madrid. Departamento de Estadística.
  123. Mark J. Holmes & Theodore Panagiotidis & Abhijit Sharma, 2007. "The Sustainability of India's current account (1950-2003): Evidence from parametric and non-parametric unit root and cointegration tests," Working Paper series 41_07, Rimini Centre for Economic Analysis.
  124. Ihle, Rico & Rubin, Ofir D., 2012. "Price Transmission Subject to Security‐based Trade Barriers in the Context of the Israeli‐Palestinian Conflict," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 125392, International Association of Agricultural Economists.
  125. repec:diw:diwwpp:dp1375 is not listed on IDEAS
  126. Wysocki Maciej & Wójcik Cezary, 2018. "Sustainability of fiscal policy in Poland in the period 2004–2017," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 54(3), pages 219-226, September.
  127. Baak, SaangJoon, 2012. "Measuring misalignments in the Korean exchange rate," Japan and the World Economy, Elsevier, vol. 24(4), pages 227-234.
  128. Bosupeng Mpho, 2016. "The Effect of Exports on Carbon Dioxide Emissions: Policy Implications," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 51(1), pages 20-32, September.
  129. Jacques Jaussaud & Serge Rey, 2012. "Long‐Run Determinants Of Japanese Exports To China And The United States: A Sectoral Analysis," Pacific Economic Review, Wiley Blackwell, vol. 17(1), pages 1-28, February.
  130. repec:agr:journl:v:3(604):y:2015:i:3(604):p:5-20 is not listed on IDEAS
  131. Eleftheriou, Maria, 2017. "Did the Bundesbank react to the US dollar exchange rate?," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 235-244.
  132. Nicholas Apergis & Sofia Eleftheriou & Dimitrios Voliotis, 2017. "Asymmetric Spillover Effects between Agricultural Commodity Prices and Biofuel Energy Prices," International Journal of Energy Economics and Policy, Econjournals, vol. 7(1), pages 166-177.
  133. Zoltán Bakucs & Štefan Bojnec & Imre Fertő, 2015. "Spatial Product Market Integration between Two Small, Open Neighbouring Economies," Agribusiness, John Wiley & Sons, Ltd., vol. 31(2), pages 171-187, April.
  134. Carrion-i-Silvestre Josep Lluis & Surdeanu Laura, 2011. "Panel Cointegration Rank Testing with Cross-Section Dependence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-43, September.
  135. Nedialko Nestorov, 2015. "Cointegration Approach – Application Opportunities," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 110-140.
  136. Aaron Mehrotra, 2008. "Demand for Money in Transition: Evidence from China’s Disinflation," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(1), pages 36-47, February.
  137. Tsen, Wong Hock, 2011. "The real exchange rate determination: An empirical investigation," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 800-811, October.
  138. Solarin, Sakiru Adebola & Ozturk, Ilhan, 2015. "On the causal dynamics between hydroelectricity consumption and economic growth in Latin America countries," Renewable and Sustainable Energy Reviews, Elsevier, vol. 52(C), pages 1857-1868.
  139. Schreiber Sven, 2009. "Unemployment and Productivity, Slowdowns and Speed-Ups: Evidence Using Common Shifts," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-25, October.
  140. Batten, Jonathan A. & Ciner, Cetin & Lucey, Brian M., 2017. "The dynamic linkages between crude oil and natural gas markets," Energy Economics, Elsevier, vol. 62(C), pages 155-170.
  141. Ricardo Barradas & João Alcobia, 2024. "Determinants Of The Portuguese External Imbalances: The Lens Of Post-Keynesian Economics," Working Papers REM 2024/0334, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  142. Hui, Hon Chung, 2013. "Fiscal sustainability in Malaysia: a re-examination," MPRA Paper 80018, University Library of Munich, Germany.
  143. Antonio, Paradiso, 2010. "Long-term interest rates, asset prices, and personal saving ratio: Evidence from the 1990s," MPRA Paper 26754, University Library of Munich, Germany.
  144. Jacques Jaussaud & Serge Rey, 2009. "Long-Run Determinants of Japanese Import Flows from USA and China : A Sectoral Approach," Working Papers hal-01880360, HAL.
  145. Baak, SaangJoon, 2017. "Is the yen misaligned more during the Abenomics period?," Japan and the World Economy, Elsevier, vol. 44(C), pages 26-34.
  146. Inès ABDELKAFI, 2018. "The Relationship Between Public Debt, Economic Growth, and Monetary Policy: Empirical Evidence from Tunisia," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 9(4), pages 1154-1167, December.
  147. Balcilar, Mehmet & Hammoudeh, Shawkat & Asaba, Nwin-Anefo Fru, 2015. "A regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 72-89.
  148. Cushman, David O., 2007. "A portfolio balance approach to the Canadian-U.S. exchange rate," Review of Financial Economics, Elsevier, vol. 16(3), pages 305-320.
  149. Bunn, Derek & Koc, Veli & Sapio, Alessandro, 2015. "Resource externalities and the persistence of heterogeneous pricing behavior in an energy commodity market," Energy Economics, Elsevier, vol. 48(C), pages 265-275.
  150. Ihle, Rico & von Cramon-Taubadel, Stephan, 2016. "Semiparametric insights into price dynamics in Tanzanian maize markets," 2016 Fifth International Conference, September 23-26, 2016, Addis Ababa, Ethiopia 249329, African Association of Agricultural Economists (AAAE).
  151. Nanthakumar Loganathan & Ang Shy Han & Mori Kogid, 2013. "Demand for Indonesia, Singapore and Thailand Tourist to Malaysia:Seasonal Unit Root and Multivariate Analysis," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), vol. 1(2), pages 15-23, Februray.
  152. Lee Chin & M. Azali, 2012. "Testing the validity of the monetary model for ASEAN with structural break," Applied Economics, Taylor & Francis Journals, vol. 44(25), pages 3229-3236, September.
  153. Aviral Kumar TIWARI & Suresh K G & Mihai MUTAȘCU, 2015. "A Structural VAR analysis of Fiscal shocks on current accounts in Greece," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(604), A), pages 5-20, Autumn.
  154. Iikka Korhonen & Aaron Mehrotra, 2010. "Money Demand in Post-Crisis Russia: Dedollarization and Remonetization," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(2), pages 5-19, March.
  155. Mehrotra, Aaron N., 2007. "Exchange and interest rate channels during a deflationary era--Evidence from Japan, Hong Kong and China," Journal of Comparative Economics, Elsevier, vol. 35(1), pages 188-210, March.
  156. Bosupeng, Mpho, 2016. "The Effects of Chinese Interest Rates and Inflation: A Decomposition of The Fisher Effect," MPRA Paper 78160, University Library of Munich, Germany, revised 2016.
  157. Apergis, Nicholas & Bowden, Nicholas & Payne, James E., 2015. "Downstream integration of natural gas prices across U.S. states: Evidence from deregulation regime shifts," Energy Economics, Elsevier, vol. 49(C), pages 82-92.
  158. László Kónya, 2009. "The sustainability of the current account in the Czech Republic, Hungary and Slovenia," Empirical Economics, Springer, vol. 36(2), pages 367-384, May.
  159. Velinov, Anton & Chen, Wenjuan, 2015. "Do stock prices reflect their fundamentals? New evidence in the aftermath of the financial crisis," Journal of Economics and Business, Elsevier, vol. 80(C), pages 1-20.
  160. Puonti, Päivi, 2016. "Fiscal multipliers in a structural VEC model with mixed normal errors," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 144-154.
  161. repec:zbw:bofitp:2007_014 is not listed on IDEAS
  162. Paradiso, Antonio & Rao, B. Bhaskara, 2011. "What Caused the Decline in the US Saving Ratio?," MPRA Paper 28023, University Library of Munich, Germany.
  163. Paradiso, Antonio & Rao, B. Bhaskara & Margani, Patrizia, 2011. "Time Series Estimates of the Italian Consumer Confidence Indicator," MPRA Paper 28395, University Library of Munich, Germany.
  164. Maciej Wysocki & Cezary Wójcik, 2018. "Fiscal Sustainability in the EU After the Global Crisis: Is there any Progress?," CESifo Working Paper Series 7230, CESifo.
  165. Kosei Fukuda, 2011. "Cointegration rank switching model: an application to forecasting interest rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(5), pages 509-522, August.
  166. Mohsen Mehrara & Abbas Ali Rezaei, 2014. "The Long Run Relationship between Government Revenue and Expenditure in Iran: A Co integration Analysis in the Presence of Structural Breaks," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 4(5), pages 288-301, May.
  167. Emilia Gosińska & Aleksander Welfe, 2022. "The Cointegrated VAR Model with Deterministic Structural Breaks," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 14(3), pages 335-350, September.
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