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Zero-non-zero patterned vector error correction modelling for I(2) cointegrated time series with applications in testing PPP and stock market relationships

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Influential observations in cointegrated VAR models : Danish money demand 1973 - 2003

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Band spectrum least squares in fractional cointegration models with unknown fractional integration orders

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Analysis of panel vector error correction models using maximum likelihood, the bootstrap, and canonical-correlation estimators

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Fully modified narrow-band least squares estimation of stationary fractional cointegration

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We consider estimation of the cointegrating relation in the stationary fractional cointegration model. This model has … methodology. -- Fractional cointegration ; frequency domain ; fully modified estimation ; long memory ; semiparametric …

Persistent link: https://www.econbiz.de/10003742079

Detection of switching cointegration rank allowing for switching lag structure : an application to money-demand function

Fukuda, Kosei - In: Applied economics 40 (2008) 10/12, pp. 1571-1582

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Semiparametric cointegrating rank selection

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Bandspectrum cointegration

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Testing the Life Cycle/Permanent Income Model : the Cross-Euler equation approach

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