Structural analysis of vector error correction models with exogenous I(1) variables
DOI10.1016/S0304-4076(99)00073-1zbMATH Open0997.62070OpenAlexW1968753909WikidataQ127012623 ScholiaQ127012623MaRDI QIDQ1586561FDOQ1586561
Authors: Yongcheol Shin, Richard J. Smith, M. Hashem Pesaran 
Publication date: 14 November 2002
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(99)00073-1
Recommendations
- A survey of exogeneity in vector error correction models
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- Efficient inference on cointegration parameters in structural error correction models
- Structural vector autoregressive analysis for cointegrated variables
- Co-Integration and Error Correction: Representation, Estimation, and Testing
tablesseemingly unrelated regressionunit rootscointegrationlikelihood ratio statisticsMonte Carlo simulationscritical valuespurchasing power parityuncovered interest rate paritystructural vector error correction model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)
Cites Work
- Asymptotics for linear processes
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Multiple Time Series Regression with Integrated Processes
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Statistical analysis of cointegration vectors
- Cointegration in partial systems and the efficiency of single-equation analysis
- Optimal Inference in Cointegrated Systems
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- Inference in possibly integrated vector autoregressive models: Some finite sample evidence
- Efficient inference on cointegration parameters in structural error correction models
- Canonical Cointegrating Regressions
- Cointegration rank inference with stationary regressors in VAR models
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- The role of the constant and linear terms in cointegration analysis of nonstationary variables
- The Influence of VAR Dimensions on Estimator Biases
- Cointegration and speed of convergence to equilibrium
Cited In (24)
- A pair-wise approach to testing for output and growth convergence
- On the identification of cointegrated systems in small samples: a modelling strategy with an application to UK wages and prices.
- LONG-RUN STRUCTURAL MODELLING
- The simple macroeconometrics of the quantity theory and the welfare cost of inflation
- Oil prices and economic activity in BRICS and G7 countries
- Distributions of error correction tests for cointegration
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- Estimation and inference in time series with omitted \(I(1)\) variables
- A necessary and sufficient condition for weak exogeneity in vector error correction models
- Testing the long-run structural validity of the monetary exchange rate model
- Estimation of cointegrated models with exogenous variables
- Cointegration, long-run structural modelling and weak exogeneity: two models of the UK economy
- Problems related to over-identifying restrictions for structural vector error correction models
- A survey of exogeneity in vector error correction models
- Exogeneity in error correction models
- TESTING PPP BY MEANS OF ZNZ PATTERNED VECM
- Asymmetric adjustment from structural booms and slumps.
- Determining the cointegration rank in heteroskedastic VAR models of unknown order
- Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity
- Local power of likelihood-based tests for cointegrating rank: comparative analysis of full and partial systems
- Cointegration and sampling frequency
- DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
- Purchasing power parity between the UK and Germany: the euro era
- ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
Uses Software
This page was built for publication: Structural analysis of vector error correction models with exogenous \(I(1)\) variables
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1586561)
