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La methode d'estimation des moindres carres modifies ou fully modified
Hurlin, C.; MB.P. N'Diaye, P. - Centre de recherche de mathématiques et économie … - 1998
'endogeneite de long terms sur les estimations par les Moindres Carres Ordinaires des parametres d'une relation de cointegration et …
Persistent link: https://www.econbiz.de/10005630632
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Cointegration et Modeles Dynamiques.
D'Autume, A. - Centre de recherche de mathématiques et économie … - 1992
Persistent link: https://www.econbiz.de/10005630700
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Stochastic Trends and Balance of Payments Crises.
Abdallah, M.B.; Rajhi, T. - Centre de recherche de mathématiques et économie … - 2000
recently developed multivariate cointegration analysis followed by the model of common trends, the vector error correlation …
Persistent link: https://www.econbiz.de/10005630727
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Deterministic Dynamics and Cointegration of Higher Orders.
D'Autume, A. - Centre de recherche de mathématiques et économie … - 1992
Persistent link: https://www.econbiz.de/10005630744
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On the Size and Power of System Tests for Cointegration.
Bewley, R.; Yang, M. - School of Economics, UNSW Business School - 1996
It is argued that size distortions and power properties of likelihood based tests for cointegration are so poor in many …
Persistent link: https://www.econbiz.de/10005631355
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Testing for Cointegration: The Effects of Mis-Specifying the Lag Length.
Bewley, R.; Yang, M. - School of Economics, UNSW Business School - 1993
Persistent link: https://www.econbiz.de/10005631380
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A Comparison of Alternatove causality and Predictive Accuracy Tests in the presence of Integrated and Co-integrated Economic Variables.
Swanson, N.R.; Ozyildirim, A.; Pisu, M. - Department of Economics, Pennsylvania State University - 1996
A number of variations of seven causality tests of the absence of causal ordering are examined. The various of the tests considered account not only for stationarity, but also for integratedness and/or contegratedness among the variables in the model.
Persistent link: https://www.econbiz.de/10005631516
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The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence
Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1991
nonstationarity and cointegration in the data and various long-run model specifications are studied in detail. Bayesian empirical …
Persistent link: https://www.econbiz.de/10005634716
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Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments
Kitamura, Yuichi; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1994
the number of unit roots in the system or the dimension or the location of the cointegration space. An FM extension of the …
Persistent link: https://www.econbiz.de/10005634719
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The Tail Behavior of Maximum Likelihood Estimates of Cointegrating Coefficients in Error Correction Models
Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1991
number of variables in the system and r is the dimension of the cointegration space. These results help to explain simulation …
Persistent link: https://www.econbiz.de/10005634731