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Bounds testing approaches to the analysis of level relationships

Pesaran, M. Hashem; Shin, Yongcheol; Smith, Richard J. - In: Journal of applied econometrics 16 (2001) 3, pp. 289-326

Persistent link: https://www.econbiz.de/10001591901

Separation, weak exogeneity, and P-T decomposition in conintegrated VAR systems with common features

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - In: Econometric reviews 21 (2002) 3, pp. 273-307

Persistent link: https://www.econbiz.de/10001718742

A CUSUM test for cointegration using regression residuals

Xiao, Zhijie; Phillips, Peter C. B. - In: Journal of econometrics 108 (2002) 1, pp. 43-61

Persistent link: https://www.econbiz.de/10001656536

Long-run structural modelling

Pesaran, M. Hashem; Shin, Yongcheol - In: Econometric reviews 21 (2002) 1, pp. 49-87

Persistent link: https://www.econbiz.de/10001660015

Separation, weak exogeneity and P-T decomposition in cointegrated VAR systems

Hecq, Alain W. J.; Palm, B. F. C.; Urbain, C. J.-P. - 2002

The aim of this paper is to study the concept of separability in multiple nonstationary time series displaying both common stochastic trends and common stochastic cycles. When modeling the dynamics of multiple time series for a panel of several entities such as countries, sectors, firms,...