Identifying, estimating and testing restricted cointegrated systems: An overview
DOI10.1111/J.1467-9574.2004.00270.XzbMATH Open1061.62129OpenAlexW2015002707MaRDI QIDQ4665352FDOQ4665352
Jurgen A. Doornik, H. Peter Boswijk
Publication date: 11 April 2005
Published in: Statistica Neerlandica (Search for Journal in Brave)
Full work available at URL: http://www.nuff.ox.ac.uk/economics/papers/2003/w10/BoswijkDoornik.pdf
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Cites Work
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- Statistical analysis of cointegration vectors
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- Time series analysis and simultaneous equation econometric models
- Title not available (Why is that?)
- Identification of the long-run and the short-run structure. An application to the ISLM model
Cited In (11)
- Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
- On the identification of cointegrated systems in small samples: a modelling strategy with an application to UK wages and prices.
- A case study of the residual-based cointegration procedure
- Investigating volatility transmission across international equity markets using multivariate fractional models
- Forecasting with equilibrium-correction models during structural breaks
- Identification of the long-run and the short-run structure. An application to the ISLM model
- Inference on co-integration parameters in heteroskedastic vector autoregressions
- Testing for co-nonlinearity
- Polar amplification in a moist energy balance model: a structural econometric approach to estimation and testing
- Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications
- Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order
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