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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
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THE USE OF PREDIGTIVE REGRESSIONS AT ALTERNATIVE HORIZONS IN FINANCE AND ECONOMICS
Mark, Nelson C.; Sul, Donggyu - 2004
Persistent link: https://www.econbiz.de/10005925406
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DYNAMIC SEEMINGLY UNRELATED COINTEGRATING REGRESSION
Mark, Nelson C.; Ogaki, Masao; Sul, Donggyu - 2003
Persistent link: https://www.econbiz.de/10005935628
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COINTEGRATION VECTOR ESTIMATION BY PANEL DOLS AND LONG-RUN MONEY DEMAND
Mark, Nelson C.; Sul, Donggyu - 2002
Persistent link: https://www.econbiz.de/10005938424
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Articles - Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?
Cecchetti, Stephen G.; Lam, Pok-sang; Mark, Nelson C. - In: The American economic review 90 (2000) 4, pp. 787-805
Persistent link: https://www.econbiz.de/10006836379
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Bias Reduction in Dynamic Panel Data Models by Common Recursive Mean Adjustment*
Choi, Chi‐Young; Mark, Nelson C.; Sul, Donggyu - In: Oxford bulletin of economics and statistics 72 (2010) 5, pp. 567-600
Persistent link: https://www.econbiz.de/10008451182
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A multinomial logit approach to exchange rate policy classification with an application to growth
Dubas, Justin M.; Lee, Byung-Joo; Mark, Nelson C. - In: Journal of international money and finance 29 (2010) 7, pp. 1438-1463
Persistent link: https://www.econbiz.de/10008454988
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Nominal exchange rates and monetary fundamentals
Mark, Nelson C.; Sul, Donggyu - In: Journal of international economics 53 (2001) 1, pp. 29-52
Persistent link: https://www.econbiz.de/10007673118
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Real exchange-rate prediction over long horizons
Mark, Nelson C.; Choi, Doo-Yull - In: Journal of international economics 43 (1997) 1-2, pp. 29-60
Persistent link: https://www.econbiz.de/10007702185
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Official interventions and the forward premium anomaly
Mark, Nelson C.; Moh, Young-Kyu - In: Journal of empirical finance 14 (2007) 4, pp. 499-522
Persistent link: https://www.econbiz.de/10007763666