Structural analysis of vector error correction models with exogenous \(I(1)\) variables

DOI10.1016/S0304-4076(99)00073-1zbMath0997.62070OpenAlexW1968753909WikidataQ127012623 ScholiaQ127012623MaRDI QIDQ1586561

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

zbMATH Keywords

tablesMonte Carlo simulationscritical valuescointegrationlikelihood ratio statisticspurchasing power parityunit rootsseemingly unrelated regressionuncovered interest rate paritystructural vector error correction model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (14)

A pair-wise approach to testing for output and growth convergence ⋮ DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA ⋮ LONG-RUN STRUCTURAL MODELLING ⋮ Purchasing power parity between the UK and Germany: the euro era ⋮ Oil prices and economic activity in BRICS and G7 countries ⋮ DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER ⋮ Cointegration and sampling frequency ⋮ Distributions of error correction tests for cointegration ⋮ Testing the long-run structural validity of the monetary exchange rate model ⋮ ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION ⋮ Estimation of cointegrated models with exogenous variables ⋮ Local power of likelihood-based tests for cointegrating rank: Comparative analysis of full and partial systems ⋮ Asymmetric adjustment from structural booms and slumps. ⋮ On the identification of cointegrated systems in small samples: a modelling strategy with an application to UK wages and prices.

Uses Software

• Microfit

Cites Work

• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Statistical analysis of cointegration vectors
• Asymptotics for linear processes
• Cointegration in partial systems and the efficiency of single-equation analysis
• 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
• Cointegration and speed of convergence to equilibrium
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Optimal Inference in Cointegrated Systems
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Multiple Time Series Regression with Integrated Processes
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Canonical Cointegrating Regressions
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• The Influence of VAR Dimensions on Estimator Biases
• Cointegration rank inference with stationary regressors in VAR models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• The role of the constant and linear terms in cointegration analysis of nonstationary variables
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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