ÂÜÀòÉç¹ÙÍø

: : : TOC : : journals

Relevant ARCategory:

---

Twenty years of cointegration
–H. Peter Boswijk, Philip Hans Franses, Dick van Dijk [] []

Some thoughts on the development of cointegration
–Clive W.J. Granger [] []

Testing for co-integration in vector autoregressions with non-stationary volatility
–Giuseppe Cavaliere, Anders Rahbek, A.M. Robert Taylor [] []

Forecasting with equilibrium-correction models during structural breaks
–Jennifer L. Castle, Nicholas W.P. Fawcett, David F. Hendry [] []

Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables
–Iliyan Georgiev [] []

Likelihood inference for a nonstationary fractional autoregressive model
–Søren Johansen, Morten Ørregaard Nielsen [] []

Likelihood based testing for no fractional cointegration
–Katarzyna Lasak [] []

Likelihood-based inference for cointegration with nonlinear error-correction
–Dennis Kristensen, Anders Rahbek [] []

Modelling and measuring price discovery in commodity markets
–Isabel Figuerola-Ferretti, Jesús Gonzalo [] []

Cointegration, long-run structural modelling and weak exogeneity: Two models of the UK economy
–Jan P.A.M. Jacobs, Kenneth F. Wallis [] []

Testing hypotheses in an I(2)I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate
–Søren Johansen, Katarina Juselius, Roman Frydman, Michael Goldberg [] []

Speed of adjustment in cointegrated systems
–Luca Fanelli, Paolo Paruolo [] []

Averaging estimators for autoregressions with a near unit root
–Bruce E. Hansen [] []

Cointegration in a historical perspective
–H. Peter Boswijk, Philip Hans Franses, Dick van Dijk [] []

A spatio-temporal model of house prices in the USA?
–Sean Holly, M. Hashem Pesaran, Takashi Yamagata [] []

---