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Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics

Econometric Society - Chichester : Wiley-Blackwell; -2008: Oxford [u.a.] : …; … - 1.1933 -

Persistent link: https://www.econbiz.de/10001374892

Advances in economics and econometrics ; Vol. 1

Dewatripont, Mathias (contributor); … - 2003

Persistent link: https://www.econbiz.de/10001739860

An Alternative Estimation of Spurious Regression Model

Rahman, Shahidur - Econometric Society - 2004

the cointegration regression estimation by Engle and Granger (1987). In recent years applied econometricians are debating … variables of the model are not cointegrated, there is a question whether the background economic or financial theory is …

Persistent link: https://www.econbiz.de/10005342144

Dead Man Walking: An Empirical Reassessment of the Deterrent Effect of Capital Punishment Using the Bounds Testing Approach to Cointegration

Smyth, Russell; Narayan, Paresh Kumar - Econometric Society - 2004

cointegration and error correction framework. Our findings suggest that any support for the deterrence hypothesis is sensitive to …

Persistent link: https://www.econbiz.de/10005342164

Subsampling Hypothesis Tests for Nonstationary Panels with Applications to the PPP Hypothesis

Choi, In; Chue, Timothy - Econometric Society - 2004

-sectionally correlated and cross-sectionally cointegrated. The tests include panel unit root and cointegration tests as special cases. The …This paper studies subsampling hypothesis tests for panel data that are possibly nonstationary, and cross … number of cross-sectional units in the panel data is assumed to be finite, and that of time series observations infinite …

Persistent link: https://www.econbiz.de/10005342342

COINTEGRATION AND WAVELETS: AN EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN MONEY AND OUTPUT IN PERU

Lahura, Erick - Econometric Society - 2004

application of wavelet filtering to analyze cointegrating relationships. No evidence of cointegration between money, real output … and prices is found. However, there is evidence of cointegration between non-stationary components of the series that …

Persistent link: https://www.econbiz.de/10005328904

How Does the Monetary Model of Exchange Rate Determination Look When It Really Works?

Garces-Diaz, Daniel - Econometric Society - 2004

This paper shows that the Mexican experience from 1945 to 2002 is, like the German hyperinflation period, a unique monetary ``natural experiment,'' where fundamental relationships, like money demand, PPP and the monetary model of exchange rate determination can be analyzed with unparalleled...

Persistent link: https://www.econbiz.de/10005328935

Nonstationary Nonlinear Heteroskedasticity in Regression

Park, Joon Y.; Chung, Heetaik - Econometric Society - 2004

relevancy of the model and theory developed in the paper. For this purpose, examined are US consumption function, EURO …

Persistent link: https://www.econbiz.de/10005086429

Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE

SIN, Chor-yiu - Econometric Society - 2004

Macroeconomic or financial data are often modelled with cointegration and GARCH. Noticeable examples include those …

Persistent link: https://www.econbiz.de/10005063680

Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE

SIN, Chor-yiu - Econometric Society - 2004

Macroeconomic or financial data are often modelled with cointegration and GARCH. Noticeable examples include those …

Persistent link: https://www.econbiz.de/10005063718