MODELLING TIME SERIES DATA OF MONETARY AGGREGATES USINGI(2) ANDI(1) COINTEGRATION ANALYSIS
From MaRDI portal
Publication:2870071
DOI10.1111/j.1467-8586.2011.00400.xzbMath1279.91136OpenAlexW1497882443MaRDI QIDQ2870071
Publication date: 17 January 2014
Published in: Bulletin of Economic Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-8586.2011.00400.x
maximum likelihoodcointegrated vector autoregressive modelmonetary base\(I(2)\)money multiplierbroad money\(I(1)\)
Related Items
Uses Software
Cites Work
- Unnamed Item
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Testing the nominal-to-real transformation
- Statistical analysis of hypotheses on the cointegrating relations in the \(I(2)\) model
- Statistical analysis of cointegration vectors
- Cointegration in partial systems and the efficiency of single-equation analysis
- Trend stationarity in the \(I(2)\) cointegration model.
- Weak exogeneity in \(I(2)\) VAR systems
- On the determination of integration indices in I(2) systems
- MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS
- THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL
- Exogeneity
- A Stastistical Analysis of Cointegration for I(2) Variables
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
- Likelihood Analysis of the I(2) Model
- An I(2) cointegration analysis of small‐country import price determination
- ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
- MIXED NORMAL INFERENCE ON MULTICOINTEGRATION
- A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
