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Dynamic Seemingly Unrelated Cointegrating Regressions

Mark, Nelson C.; Ogaki, Masao; Sul, Donggyu - In: Review of Economic Studies 72 (2005) 3, pp. 797-820

We propose the parametric Dynamic Seemingly Unrelated Regression (DSUR) estimator for simultaneous estimation of multiple cointegrating regressions. DSUR is efficient when the equilibrium errors are correlated across equations and is applicable for panel cointegration estimation in environments...

Persistent link: https://www.econbiz.de/10010637961

A Theory of Exchange Rates and the Term Structure of Interest Rates

Lim, Hyoung-Seok; Ogaki, Masao - In: Review of Development Economics 17 (2013) 1, pp. 74-87

Persistent link: https://www.econbiz.de/10010642885

DYNAMIC SEEMINGLY UNRELATED COINTEGRATING REGRESSION

Mark, Nelson C.; Ogaki, Masao; Sul, Donggyu - 2003

Persistent link: https://www.econbiz.de/10005935628

Intertemporal substitution and durable goods: long-run data

Ogaki, Masao; Reinhart, Carmen M. - In: Economics letters 61 (1998) 1, pp. 85-90

Persistent link: https://www.econbiz.de/10006787886

On the Granger Representation Theorem: a counter example?

Ogaki, Masao - In: Economics letters 60 (1998) 1, pp. 19-22

Persistent link: https://www.econbiz.de/10006788543

A cointegration approach to estimating preference parameters

Ogaki, Masao; Park, Joon Y. - In: Journal of econometrics 82 (1998) 1, pp. 107-134

Persistent link: https://www.econbiz.de/10006790205

Decreasing Relative Risk Aversion, Risk Sharing, and the Permanent Income Hypothesis

Zhang, Qiang; Ogaki, Masao - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 421-430

Persistent link: https://www.econbiz.de/10008223233

Articles - Measuring Intertemporal Substitution: The Role of Durable Goods

Ogaki, Masao; Reinhart, Carmen M. - In: Journal of political economy 106 (1998) 5, pp. 1078-1098

Persistent link: https://www.econbiz.de/10007692141

Consumption, Income and Cointegration

Han, Hsiang-Ling; Ogaki, Masao - In: International review of economics & finance : IREF 6 (1997) 2, pp. 107-118

Persistent link: https://www.econbiz.de/10007701668

Wealth-varying intertemporal elasticities of substitution: Evidence from panel and aggregate data

Atkeson, Andrew; Ogaki, Masao - In: Journal of monetary economics 38 (1996) 3, pp. 507-534

Persistent link: https://www.econbiz.de/10007705202