Identifying, estimating and testing restricted cointegrated systems: An overview
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Publication:4665352
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Cites work
- scientific article; zbMATH DE number 192992 (Why is no real title available?)
- scientific article; zbMATH DE number 1243473 (Why is no real title available?)
- scientific article; zbMATH DE number 3085482 (Why is no real title available?)
- Identification of the long-run and the short-run structure. An application to the ISLM model
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Statistical analysis of cointegration vectors
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- Time series analysis and simultaneous equation econometric models
Cited in
(14)- 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
- Accelerated estimation of switching algorithms: the cointegrated VAR model and other applications
- Forecasting with equilibrium-correction models during structural breaks
- Investigating volatility transmission across international equity markets using multivariate fractional models
- Problems related to over-identifying restrictions for structural vector error correction models
- Identification of the long-run and the short-run structure. An application to the ISLM model
- Normalising cointegrating relationships subject to long-run exclusion
- Inference on co-integration parameters in heteroskedastic vector autoregressions
- An alternative approach to estimation of structural vector error correction models with long-run restrictions
- Testing for co-nonlinearity
- Polar amplification in a moist energy balance model: a structural econometric approach to estimation and testing
- Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order
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