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How long for the long-run equilibrium in a cointegration relation?

Kim, Chae-yŏng - 1995

Persistent link: https://www.econbiz.de/10000946535

Import demand behavior of North Korea : a cointegration approach

Kim, Chae-yŏng; Im, Kang-taek - 1995

Persistent link: https://www.econbiz.de/10000946537

Testing and identifying structural change in a cointegration regression

Kim, Chae-yŏng - 1996

Persistent link: https://www.econbiz.de/10000946541

Measuring the length of period for the long-run equilibrium in a cointegration relation

Kim, Chae-yŏng - In: Seoul journal of economics 16 (2003) 1, pp. 71-80

Persistent link: https://www.econbiz.de/10002790897

Do consumption and income have a long run relationship?

Kim, Chae-yŏng - In: Seoul journal of economics 17 (2004) 4, pp. 547-560

Persistent link: https://www.econbiz.de/10002794651

Inference on segmented cointegration

Kim, Chae-yŏng - In: Econometric theory 19 (2003) 4, pp. 620-639

Persistent link: https://www.econbiz.de/10001777189

Fisher relation and financial crisis : evidence for East Asian countries

Kim, Chae-yŏng - In: Seoul journal of economics : SJE 34 (2021) 3, pp. 393-404

Persistent link: https://www.econbiz.de/10012619843

Tests for cointegration breakdown over a short time period

Andrews, Donald W. K.; Kim, Chae-yŏng - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 4, pp. 379-394

Persistent link: https://www.econbiz.de/10003385126

End-of-sample cointegration breakdown tests

Andrews, Donald W. K.; Kim, Chae-yŏng - 2002

Persistent link: https://www.econbiz.de/10001739950

End-of-Sample Cointegration Breakdown Tests

Andrews, Donald W.K.; Kim, Jae-Young - School of Management, Yale University - 2004

This paper introduces tests for cointegration breakdown that may occur over a relatively short time period, such as at the end of the sample. The breakdown may be due to a shift in the cointegrating vector or due to a shift in the errors from being I(0) to being I(1). Tests are introduced based...

Persistent link: https://www.econbiz.de/10005368977