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Estimation of higher-order spatial autoregressive panel data error component models

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This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial autoregressive disturbances, SARAR(R,S). We derive the moment conditions and optimal weighting matrix without distributional assumptions for a generalized moments (GM)...

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A simple solution of the spurious regression problem

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New directions in econometric practice : general to specific modelling, cointegration and vector autoregression

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Common periodic correlation features and the interaction of stocks and flows in daily airport data

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Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data

Haldrup, Niels; Hylleberg, Svend; Pons, Gabriel; … - 2008

periodic model and to exploit the possible cointegration and common feature properties of the variables in order to obtain a …

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Effects of asymmetric adjustment among labor productivity, labor demand, and exchange rate using threshold cointegration test

Chang, Shu Chen - In: Emerging markets finance & trade : a journal of the … 46 (2010) 6, pp. 55-68

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Common periodic correlation features and the interaction of stocks and flows in daily airport data

Haldrup, Niels; Hylleberg, Svend; Pons Rotger, Gabriel; … - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 1, pp. 21-32

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Oil and food prices co-intergration nexus for Indonesia : a non-linear autoregressive distributed lag analysis

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Residual-based tests for cointegration with three-regime TAR adjustment

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