Journal articles on the topic 'Cointegrated VAR'
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Warne, Anders. "Inference in Cointegrated VAR Systems." Review of Economics and Statistics 79, no. 3 (August 1997): 508–11. http://dx.doi.org/10.1162/003465300556922.
Full textJuselius, Katarina. "HAAVELMO’S PROBABILITY APPROACH AND THE COINTEGRATED VAR." Econometric Theory 31, no. 2 (July 8, 2014): 213–32. http://dx.doi.org/10.1017/s0266466614000279.
Full textEngsted, Tom. "Explosive bubbles in the cointegrated VAR model." Finance Research Letters 3, no. 2 (June 2006): 154–62. http://dx.doi.org/10.1016/j.frl.2006.03.004.
Full textSaikkonen, Pentti, and HELMUT Lütkepohl. "Infinite-Order Cointegrated Vector Autoregressive Processes." Econometric Theory 12, no. 5 (December 1996): 814–44. http://dx.doi.org/10.1017/s0266466600007179.
Full textJohansen, Søren, and Morten Ørregaard Nielsen. "Nonstationary Cointegration in the Fractionally Cointegrated VAR Model." Journal of Time Series Analysis 40, no. 4 (December 2, 2018): 519–43. http://dx.doi.org/10.1111/jtsa.12438.
Full textDolado, Juan J., and Helmut Lütkepohl. "Making wald tests work for cointegrated VAR systems." Econometric Reviews 15, no. 4 (January 1996): 369–86. http://dx.doi.org/10.1080/07474939608800362.
Full textSACHDEVA, J. K., and Jyoti Nair. "Cointegration of East Asian, Indian and European Markets– A Study of Impact on Indian Bourses." Journal of Global Economy 14, no. 1 (November 8, 2018): 3–27. http://dx.doi.org/10.1956/jge.v14i1.490.
Full textHansen, Henrik, and Søren Johansen. "Some tests for parameter constancy in cointegrated VAR‐models." Econometrics Journal 2, no. 2 (December 1, 1999): 306–33. http://dx.doi.org/10.1111/1368-423x.00035.
Full textPétursson, Thórarinn G., and Torsten Sløk. "Wage formation and employment in a cointegrated VAR model." Econometrics Journal 4, no. 2 (December 1, 2001): 191–209. http://dx.doi.org/10.1111/1368-423x.00062.
Full textCamarero, M., J. Ordónez, and C. R. Tamarit. "Monetary transmission in Spain: a structural cointegrated VAR approach." Applied Economics 34, no. 17 (November 2002): 2201–12. http://dx.doi.org/10.1080/00036840210138419.
Full textCrowder, William J., and Mark E. Wohar. "A cointegrated structural VAR model of the Canadian economy." Applied Economics 36, no. 3 (February 20, 2004): 195–213. http://dx.doi.org/10.1080/0003684042000175325.
Full textDolado, Juan J. "A note on weak exogeneity in VAR cointegrated models." Economics Letters 38, no. 2 (February 1992): 139–43. http://dx.doi.org/10.1016/0165-1765(92)90044-y.
Full textMoon, Choon-Geol, and Parul Jain. "Macroeconomic aspects of Korea's liberalization policy: A cointegrated VAR study." Journal of Asian Economics 6, no. 4 (December 1995): 469–92. http://dx.doi.org/10.1016/1049-0078(95)90025-x.
Full textPelipas, Igor. "Money demand and inflation in Belarus: Evidence from cointegrated VAR." Research in International Business and Finance 20, no. 2 (June 2006): 200–214. http://dx.doi.org/10.1016/j.ribaf.2005.09.002.
Full textBoug, Pål, and Andreas Fagereng. "Exchange rate volatility and export performance: a cointegrated VAR approach." Applied Economics 42, no. 7 (March 2010): 851–64. http://dx.doi.org/10.1080/00036840802600491.
Full textDi Sanzo, Silvestro, Mariano Bella, and Giovanni Graziano. "Tax Structure and Economic Growth: A Panel Cointegrated VAR Analysis." Italian Economic Journal 3, no. 2 (June 7, 2017): 239–53. http://dx.doi.org/10.1007/s40797-017-0056-0.
Full textBellini, Tiziano. "The forward search interactive outlier detection in cointegrated VAR analysis." Advances in Data Analysis and Classification 10, no. 3 (September 18, 2015): 351–73. http://dx.doi.org/10.1007/s11634-015-0216-8.
Full textKivedal, Bjørnar Karlsen. "A DSGE model with housing in the cointegrated VAR framework." Empirical Economics 47, no. 3 (November 22, 2013): 853–80. http://dx.doi.org/10.1007/s00181-013-0765-7.
Full textPark, Joon Y., and Peter C. B. Phillips. "Statistical Inference in Regressions with Integrated Processes: Part 2." Econometric Theory 5, no. 1 (April 1989): 95–131. http://dx.doi.org/10.1017/s0266466600012287.
Full textLange, Ronald Henry. "Monetary Policy Behaviour over the Long Run in a Small Open Economy: A Markov-Switching Vector Error-Correction Approach." Research in Applied Economics 10, no. 3 (August 25, 2018): 69. http://dx.doi.org/10.5296/rae.v10i3.13223.
Full textKurita, Takamitsu. "Likelihood-Based Inference for Weak Exogeneity inI(2) Cointegrated VAR Models." Econometric Reviews 31, no. 3 (May 2012): 325–60. http://dx.doi.org/10.1080/07474938.2011.607346.
Full texttodani, k. r. "LONG-RUN M3 DEMAND IN SOUTH AFRICA: A COINTEGRATED VAR MODEL." South African Journal of Economics 75, no. 4 (December 2007): 681–92. http://dx.doi.org/10.1111/j.1813-6982.2007.00150.x.
Full textJones, Maggie E. C., Morten Ørregaard Nielsen, and Michał Ksawery Popiel. "A fractionally cointegrated VAR analysis of economic voting and political support." Canadian Journal of Economics/Revue canadienne d'économique 47, no. 4 (November 2014): 1078–130. http://dx.doi.org/10.1111/caje.12115.
Full textPétursson, Thórarinn G. "The representative household's demand for money in a cointegrated VAR model." Econometrics Journal 3, no. 2 (December 1, 2000): 162–76. http://dx.doi.org/10.1111/1368-423x.00044.
Full textSignoretto, M., and J. A. K. Suykens. "Convex Estimation of Cointegrated VAR Models by a Nuclear Norm Penalty." IFAC Proceedings Volumes 45, no. 16 (July 2012): 95–100. http://dx.doi.org/10.3182/20120711-3-be-2027.00322.
Full textNielsen, Heino Bohn. "Influential observations in cointegrated VAR models: Danish money demand 1973–2003." Econometrics Journal 11, no. 1 (March 2008): 39–57. http://dx.doi.org/10.1111/j.1368-423x.2007.00226.x.
Full textEjem, Chukwu Agwu, Bonaventure Ofasia Oriko, and Ogechi Blessing Nwakodo. "Does Recurrent Expenditure Drive Growth In Nigeria? A Cointegrated Var Approach." International Journal of Scientific and Research Publications (IJSRP) 9, no. 6 (June 12, 2019): p9085. http://dx.doi.org/10.29322/ijsrp.9.06.2019.p9085.
Full textAssenmacher-Wesche, Katrin. "Modeling Monetary Transmission in Switzerland with a Structural Cointegrated VAR Model." Swiss Journal of Economics and Statistics 144, no. 2 (January 2, 2008): 197–246. http://dx.doi.org/10.1007/bf03399253.
Full textHetland, Andreas. "The Stochastic Stationary Root Model." Econometrics 6, no. 3 (August 21, 2018): 39. http://dx.doi.org/10.3390/econometrics6030039.
Full textHashim, Emilda, Norimah Rambeli, Asmawi Hashim, Norasibah Abdul Jalil, Shahrun Nizam Abdul Aziz, and Noor Al Huda Abdul Karim. "Dynamic Relationship Between Real Export, Real Import, Real Exchange Rate, Labor Force and Real Gross Domestic Product in Malaysia." Research in World Economy 10, no. 5 (December 24, 2019): 20. http://dx.doi.org/10.5430/rwe.v10n5p20.
Full textArai, Yoichi, and Taku Yamamoto. "Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems." Economics Letters 67, no. 3 (June 2000): 261–71. http://dx.doi.org/10.1016/s0165-1765(99)00278-5.
Full textMartin, Bernhard, and Svetlozar T. Rachev. "A Stable Cointegrated Var Model for Credit Returns with Time-Varying Volatility." IFAC Proceedings Volumes 34, no. 20 (September 2001): 207–12. http://dx.doi.org/10.1016/s1474-6670(17)33066-5.
Full textGiese, Julia V. "Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model." Economics: The Open-Access, Open-Assessment E-Journal 2, no. 2008-28 (2008): 1. http://dx.doi.org/10.5018/economics-ejournal.ja.2008-28.
Full textDolatabadi, Sepideh, Morten Ørregaard Nielsen, and Ke Xu. "A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets." Journal of Futures Markets 35, no. 4 (October 27, 2014): 339–56. http://dx.doi.org/10.1002/fut.21693.
Full textDolatabadi, Sepideh, Paresh Kumar Narayan, Morten Ørregaard Nielsen, and Ke Xu. "Economic significance of commodity return forecasts from the fractionally cointegrated VAR model." Journal of Futures Markets 38, no. 2 (September 18, 2017): 219–42. http://dx.doi.org/10.1002/fut.21866.
Full textDoornik, Jurgen A. "Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications." Scandinavian Journal of Statistics 45, no. 2 (February 20, 2018): 283–300. http://dx.doi.org/10.1111/sjos.12311.
Full textBelke, Ansgar, Ingo G. Bordon, and Torben W. Hendricks. "Global liquidity and commodity prices–a cointegrated VAR approach for OECD countries." Applied Financial Economics 20, no. 3 (February 2010): 227–42. http://dx.doi.org/10.1080/09603100903282713.
Full textTang, Bo. "Real exchange rate and economic growth in China: A cointegrated VAR approach." China Economic Review 34 (July 2015): 293–310. http://dx.doi.org/10.1016/j.chieco.2014.12.002.
Full textBelke, Ansgar, and Joscha Beckmann. "Monetary policy and stock prices – Cross-country evidence from cointegrated VAR models." Journal of Banking & Finance 54 (May 2015): 254–65. http://dx.doi.org/10.1016/j.jbankfin.2014.12.004.
Full textvan Garderen, Kees Jan, and H. Peter Boswijk. "Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors." Economics Letters 122, no. 2 (February 2014): 224–28. http://dx.doi.org/10.1016/j.econlet.2013.12.003.
Full textDal Colle, Alessandra. "Finance–growth nexus: does causality withstand financial liberalization? Evidence from cointegrated VAR." Empirical Economics 41, no. 1 (December 29, 2010): 127–54. http://dx.doi.org/10.1007/s00181-010-0439-7.
Full textKurita, Takamitsu. "A note on potential one-way policy instruments in cointegrated VAR systems." Economic Analysis and Policy 58 (June 2018): 55–59. http://dx.doi.org/10.1016/j.eap.2017.12.004.
Full textLütkepohl, Helmut, and Hans-Eggert Reimers. "Granger-causality in cointegrated VAR processes The case of the term structure." Economics Letters 40, no. 3 (November 1992): 263–68. http://dx.doi.org/10.1016/0165-1765(92)90002-g.
Full textPapaikonomou, Dimitrios, and Jacinta Pires. "Are US output expectations unbiased? A cointegrated VAR analysis in real time." Economics Letters 92, no. 3 (September 2006): 440–46. http://dx.doi.org/10.1016/j.econlet.2006.03.036.
Full textKitamura, Yuichi. "LIKELIHOOD-BASED INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS." Econometric Theory 14, no. 4 (August 1998): 517–24. http://dx.doi.org/10.1017/s0266466698144067.
Full textBelke, Ansgar,, and Robert Czudaj. "Is Euro Area Money Demand (Still) Stable? Cointegrated VAR Versus Single Equation Techniques." Applied Economics Quarterly 56, no. 4 (October 2010): 285–315. http://dx.doi.org/10.3790/aeq.56.4.285.
Full textCarlini, Federico, and Paolo Santucci de Magistris. "On the Identification of Fractionally Cointegrated VAR Models With the F(d) Condition." Journal of Business & Economic Statistics 37, no. 1 (June 12, 2017): 134–46. http://dx.doi.org/10.1080/07350015.2017.1294077.
Full textHeinlein, Reinhold, and Hans-Martin Krolzig. "MONETARY POLICY AND EXCHANGE RATES: A BALANCED TWO-COUNTRY COINTEGRATED VAR MODEL APPROACH." Macroeconomic Dynamics 23, no. 5 (September 20, 2017): 1838–74. http://dx.doi.org/10.1017/s1365100517000475.
Full textShukur, Ghazi, and Panagiotis Mantalos. "A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems." Journal of Applied Statistics 27, no. 8 (November 2000): 1021–31. http://dx.doi.org/10.1080/02664760050173346.
Full textMangee, Nicholas, and Michael D. Goldberg. "A Cointegrated VAR Analysis of Stock Price Models: Fundamentals, Psychology and Structural Change." Journal of Behavioral Finance 21, no. 4 (November 28, 2019): 352–68. http://dx.doi.org/10.1080/15427560.2019.1692844.
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