create a website

Estimation and Inference in Models of Cointegration: A Simulation Study. (1988). Phillips, Peter ; Hansen, Bruce.
In: Cowles Foundation Discussion Papers.
RePEc:cwl:cwldpp:881.

Full description at Econpapers || Download paper

Cited: 13

Citations received by this document

Cites: 13

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. ARDL Bound Testing Approach for a Green Low-Carbon Circular Economy in Turkey. (2025). Gurbuz, Ismail Bulent ; Turan, Ozlem ; Kadioglu, Irfan.
    In: Sustainability.
    RePEc:gam:jsusta:v:17:y:2025:i:6:p:2714-:d:1615425.

    Full description at Econpapers || Download paper

  2. The dynamic influence of green technology and environmental taxes on consumption-based carbon emissions in Brazil. (2025). Naji, Hamdi ; Aloqab, Abdullah ; Erbao, Cao ; Abdulraqeb, Omar Ahmed.
    In: Economic Analysis and Policy.
    RePEc:eee:ecanpo:v:85:y:2025:i:c:p:1595-1612.

    Full description at Econpapers || Download paper

  3. Role of AI Innovation, Clean Energy and Digital Economy towards Net Zero Emission in the United States: An ARDL Approach. (2025). Noman, Abdulla All ; Rafi, Azizul Hakim ; al Abrar, Abdullah ; Sultana, Adita.
    In: Papers.
    RePEc:arx:papers:2503.19933.

    Full description at Econpapers || Download paper

  4. Nexus of Human Development and Environmental Quality in Low-Income and Developing Countries: Do Renewable Energy and Good Governance Matter?. (2024). Sultana, Nahid ; Rahman, Mohammad Mafizur.
    In: Sustainability.
    RePEc:gam:jsusta:v:16:y:2024:i:13:p:5382-:d:1421555.

    Full description at Econpapers || Download paper

  5. The influence of oil prices on the banking sector in oil-exporting economies: Is there a psychological barrier?. (2020). Kutan, Ali ; Samargandi, Nahla ; Alqahtani, Faisal.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301149.

    Full description at Econpapers || Download paper

  6. A Test for the Null of Multiple Cointegrating Vectors. (2013). Fernandez-Macho, Javier.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:657.

    Full description at Econpapers || Download paper

  7. A Gaussian IV estimator of cointegrating relations. (2006). Haldrup, Niels ; Bårdsen, Gunnar.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2006-03.

    Full description at Econpapers || Download paper

  8. Inflation divergence in the euro area: the Balassa-Samuelson effect. (2004). Katsimi, Margarita.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:11:y:2004:i:5:p:329-332.

    Full description at Econpapers || Download paper

  9. Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments. (1994). Phillips, Peter ; Kitamura, Yuichi.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1082.

    Full description at Econpapers || Download paper

  10. Savings investment correlations and capital mobility in developing countries. (1993). MAMINGI, NLANDU.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:1211.

    Full description at Econpapers || Download paper

  11. Time Series Econometrics and Commodity Price Analysis. (1992). Myers, Robert.
    In: 1992 Conference (36th), February 10-13, 1992, Canberra, Australia.
    RePEc:ags:aare92:146550.

    Full description at Econpapers || Download paper

  12. Consommation privée et endettement public en Italie et en Belgique : existe-t-il une relation stable ?. (1991). Nicoletti, Giuseppe.
    In: Revue de l'OFCE.
    RePEc:prs:rvofce:ofce_0751-6614_1991_num_37_1_1251.

    Full description at Econpapers || Download paper

  13. A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems. (1989). Watson, Mark ; Stock, James.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0083.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Ba.nerjee, A., 3. .1. Dolado, 1). 1. lendry and C. V. Smith (1986). Exploring equilibrium relationships in econometrics through static models: Some Monte Carlo evidence, Izford blietin of Economics and Statistics, 48, 253-277.

  2. Ball, R. E. (1978). Stochastic implications of the life cycle-permanent income hypothesis: Theory and evidence, Josrnal of Political Economy, 89, 974-1009.

  3. Campbell, J. Y. (1987). Does saving anticipate declining labor income? An alternative test of the permanent income kypothesis, Icosoaetrica, 55, 1249-1273.

  4. Corbae, P. D. and S. Ouliaris (1988). Cointegration and tests of purchasing power parity, leview of Economics and Statistics, forthcoming.

  5. Engle, 1. F. and C. V. 3. Granger (1987). Cointegration and error correction: Representation, estimation, and testing, Econometrica, 55, 251-276.

  6. Kindernan, A. .1. and J. C. Ramage (1976). Computer Generation of Normal Random Numbers,t Journal of the American Statistical Association, 71, 893-896.
    Paper not yet in RePEc: Add citation now
  7. Newey, V. and I. b. Vest (1987). A simple positive semi-definite beteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-708.

  8. Park, 3. Y. and P. C. B. Phillips (1987a). Statistical inference in regressions with integrated processes: Part 1, Cowles Foundation Discussion Paper No. 811k, Yale University.

  9. Phillips, P. C. B. (1986). Understanding spurious regressions in econometrics, Journal of Econometrics, 33, 311-340.

  10. Phillips, P. C. B. and B. B. lansen (1988). Statistical inference in instrumental variables regression with 1(1) processes, Cowles Foundation Discussion Paper No. 869.

  11. Poádation Discussion Paper No. 866. _________ and S. N. Durlauf (1986). Multiple time series with integrated variables, Levitt of Economic Stsdies, 53, 473-496.
    Paper not yet in RePEc: Add citation now
  12. US/INS/SLit Conference on Stochastic Processes Proceedings (forthcoming) . 34 ________ (1987c). Partially identified econometric models, Cowles Foundation Discussion Paper No. 845.
    Paper not yet in RePEc: Add citation now
  13. Yale University. Perron, P. and P. C. B. Phillips (1987). Does GNP have a unit root? A re-evaluation, Economic Letters, 23, 139-145.

Cocites

Documents in RePEc which have cited the same bibliography

  1. The Behaviour of Disaggregated Public Expenditures and Income in Malaysia. (2011). TANG, Chor Foon ; Lau, Evan.
    In: Review of Applied Economics.
    RePEc:ags:reapec:143423.

    Full description at Econpapers || Download paper

  2. Infrastructure and productivity in Latin America: is there a relationship in the long run?. (2010). Teles, Vladimir ; Mussolini, Caio Cesar.
    In: Textos para discussão.
    RePEc:fgv:eesptd:246.

    Full description at Econpapers || Download paper

  3. Estimating Long-Run Relationships between Observed Integrated Variables by Unobserved Component Methods. (2007). Everaert, Gerdie.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:07/452.

    Full description at Econpapers || Download paper

  4. Inflation Targeting and the Role of Exchange Rate Pass-through. (2006). Nogueira, Reginaldo.
    In: Studies in Economics.
    RePEc:ukc:ukcedp:0602.

    Full description at Econpapers || Download paper

  5. Testing the representative agent assumption: the distribution of parameters in a large-scale model of the EU 1972-1998. (2006). de-Ramon, Sebastian ; Barker, Terry.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:13:y:2006:i:6:p:395-398.

    Full description at Econpapers || Download paper

  6. International Migration with Heterogeneous Agents: Theory and Evidence. (2006). Schröder, Philipp ; Brücker, Herbert ; Brucker, Herbert.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp2049.

    Full description at Econpapers || Download paper

  7. Econometric Issues in Estimating User Cost Elasticity. (2006). .
    In: Economics Series.
    RePEc:ihs:ihsesp:194.

    Full description at Econpapers || Download paper

  8. A Gaussian IV estimator of cointegrating relations. (2006). Haldrup, Niels ; Bårdsen, Gunnar.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2006-03.

    Full description at Econpapers || Download paper

  9. Testing the Null of Cointegration with Structural Breaks. (2005). Sansó, Andreu ; Carrion-i-Silvestre, Josep.
    In: DEA Working Papers.
    RePEc:ubi:deawps:10.

    Full description at Econpapers || Download paper

  10. Test for cointegration based on two-stage least squares. (2005). Al-Ballaa, Norah.
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:32:y:2005:i:7:p:707-713.

    Full description at Econpapers || Download paper

  11. Testing for Error Correction in Panel Data. (2005). Westerlund, Joakim.
    In: Working Papers.
    RePEc:hhs:lunewp:2005_011.

    Full description at Econpapers || Download paper

  12. Money and Prices in Estonia. (2005). Dabuinskas, Aurelijus.
    In: Bank of Estonia Working Papers.
    RePEc:eea:boewps:wp2005-07.

    Full description at Econpapers || Download paper

  13. The competitiveness of Spanish tomato export in the European Union. (2004). Pérez Mesa, Juan ; PeREZMESA, JUAN CARLOS ; Jaime de Pablo Valenciano, .
    In: International Trade.
    RePEc:wpa:wuwpit:0406004.

    Full description at Econpapers || Download paper

  14. Exploring consumption-based asset pricing model with stochastic-trend forcing processes. (2004). Wirjanto, Tony.
    In: Applied Economics.
    RePEc:taf:applec:v:36:y:2004:i:14:p:1591-1597.

    Full description at Econpapers || Download paper

  15. Modelling food consumption patterns in Greece. (2004). STOFOROS, CHRYSOSTOMOS ; Mergos, George ; Mantzouneas, Elias.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:11:y:2004:i:8:p:507-512.

    Full description at Econpapers || Download paper

  16. Size properties of cointegration tests in misspecified systems. (2004). Österholm, Pär.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:11:y:2004:i:15:p:919-924.

    Full description at Econpapers || Download paper

  17. Spurious rejection by cointegration tests incorporating structural change in the cointegrating relationship. (2004). Cook, Steven.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:11:y:2004:i:14:p:879-884.

    Full description at Econpapers || Download paper

  18. UK investment and the return to equity: Q redux. (2004). Price, Simon.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:87.

    Full description at Econpapers || Download paper

  19. The stochastic implications of rent maximization: an application to stumpage rates for timber in British Columbia. (2004). Paarsch, Harry ; Haley, Ryan M..
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:19:y:2004:i:1:p:25-48.

    Full description at Econpapers || Download paper

  20. Spurious rejections by cointegration tests induced by structural breaks. (2003). Leybourne, Stephen ; Newbold, Paul.
    In: Applied Economics.
    RePEc:taf:applec:v:35:y:2003:i:9:p:1117-1121.

    Full description at Econpapers || Download paper

  21. Behaviour of cointegration tests in the presence of structural breaks in variance. (2003). Kim, Tae-Hwan ; Noh, Jaesun.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:10:y:2003:i:15:p:999-1002.

    Full description at Econpapers || Download paper

  22. Testing for Cointegration in Misspecified Systems –A Monte Carlo Study of Size Distortions. (2003). Österholm, Pär.
    In: Working Paper Series.
    RePEc:hhs:uunewp:2003_021.

    Full description at Econpapers || Download paper

  23. U.S. Domestic Barter : an Empirical Investigation. (2003). CRESTI, Barbara .
    In: LIDAM Discussion Papers IRES.
    RePEc:ctl:louvir:2003005.

    Full description at Econpapers || Download paper

  24. Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks. (2003). Timmermann, Allan ; Pesaran, Mohammad.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_990.

    Full description at Econpapers || Download paper

  25. Import prices and exchange rate pass-through: theory and evidence from the United Kingdom. (2003). Price, Simon ; Kapetanios, George ; Herzberg, Valerie.
    In: Bank of England working papers.
    RePEc:boe:boeewp:182.

    Full description at Econpapers || Download paper

  26. Can Demography Improve Inflation Forecasts? The Case of Sweden. (2002). Bruer, Mattias.
    In: Working Paper Series.
    RePEc:hhs:uunewp:2002_004.

    Full description at Econpapers || Download paper

  27. A Monte Carlo Study on the Pitfalls in Determining Deterministic Components in Cointegrating Models. (2002). johansson, Martin W ; Hjelm, Goran.
    In: Working Papers.
    RePEc:hhs:lunewp:2002_003.

    Full description at Econpapers || Download paper

  28. Foreign Direct Investment and Trade: A Causality Analysis. (2001). Bajo-Rubio, Oscar ; Montero-Muoz, Mara.
    In: Open Economies Review.
    RePEc:kap:openec:v:12:y:2001:i:3:p:305-323.

    Full description at Econpapers || Download paper

  29. Bounds testing approaches to the analysis of level relationships. (2001). Smith, Richard ; shin, yongcheol ; Pesaran, Mohammad.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:16:y:2001:i:3:p:289-326.

    Full description at Econpapers || Download paper

  30. Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions. (2000). Pons Rotger, Gabriel.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1317.

    Full description at Econpapers || Download paper

  31. Regulation of the Petrol Industry in the UK: Issues and Evidence. (1999). Driffield, Nigel.
    In: International Journal of the Economics of Business.
    RePEc:taf:ijecbs:v:6:y:1999:i:3:p:349-365.

    Full description at Econpapers || Download paper

  32. Foreign Direct Investment and Trade: A Causality Analysis. (1999). Bajo-Rubio, Oscar ; Muoz, Maria Montero.
    In: Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra.
    RePEc:nav:ecupna:9902.

    Full description at Econpapers || Download paper

  33. An Econometric Study of Private Consumption Expenditure in Sweden. (1999). Kaplan, Peter ; Johnsson, Helena .
    In: Working Papers.
    RePEc:hhs:nierwp:0070.

    Full description at Econpapers || Download paper

  34. Are UK inflation expectations rational?. (1998). yates, anthony ; Bakhshi, Hasan.
    In: Bank of England working papers.
    RePEc:boe:boeewp:81.

    Full description at Econpapers || Download paper

  35. New Hope for the Fisher Effect? A Re-Examination Using Threshold Cointegration. (1997). Weidmann, Jens.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:9705005.

    Full description at Econpapers || Download paper

  36. Dynamic Modelling of the Current Accounts: Evidence from the Caribbean. (1997). SAMAROO, SUDESH ; Craigwell, Roland C..
    In: International Economic Journal.
    RePEc:taf:intecj:v:11:y:1997:i:4:p:39-50.

    Full description at Econpapers || Download paper

  37. The Australian Trade Balance and Current Account: a Time Series Perspective. (1997). Bodman, Philip.
    In: International Economic Journal.
    RePEc:taf:intecj:v:11:y:1997:i:2:p:39-57.

    Full description at Econpapers || Download paper

  38. Are Asian Markets Integrated? Evidence for Six Countries Vis-A-Vis Japan. (1997). Bhatti, Razzaque H. ; Moosa, Imad A..
    In: International Economic Journal.
    RePEc:taf:intecj:v:11:y:1997:i:1:p:51-67.

    Full description at Econpapers || Download paper

  39. Violations of the `Rules of the Game and the Credibility of the Classical Gold Standard, 1880-1914. (1997). MacDonald, Ronald ; Bordo, Michael.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6115.

    Full description at Econpapers || Download paper

  40. The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified.. (1996). Zivot, Eric.
    In: Econometrics.
    RePEc:wpa:wuwpem:9612001.

    Full description at Econpapers || Download paper

  41. Broad money demand and financial liberalization in Greece. (1996). Sharma, Sunil ; Ericsson, Neil.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:559.

    Full description at Econpapers || Download paper

  42. Forecasting M2 growth: an exploration in real time. (1996). Koenig, Evan.
    In: Economic and Financial Policy Review.
    RePEc:fip:fedder:y:1996:i:qii:p:16-26.

    Full description at Econpapers || Download paper

  43. Fractional Cointegration Analysis of Long Term International Interest Rates. (1996). Barkoulas, John ; Baum, Christopher ; Oguz, Gurkan S..
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:315.

    Full description at Econpapers || Download paper

  44. Modeling investment behavior in developing countries : an application to Egypt. (1990). Shafik, Nemat .
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:452.

    Full description at Econpapers || Download paper

  45. Does devaluation hurt private investment? The Indonesian case. (1990). Chhibber, Ajay ; Shafik, Nemat .
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:418.

    Full description at Econpapers || Download paper

  46. A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems. (1989). Watson, Mark ; Stock, James.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0083.

    Full description at Econpapers || Download paper

  47. Estimation and Inference in Models of Cointegration: A Simulation Study. (1988). Phillips, Peter ; Hansen, Bruce.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:881.

    Full description at Econpapers || Download paper

  48. Integrated Regressors and Tests of the Permanent Income Hypothesis. (1987). West, Kenneth ; Stock, James.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:2359.

    Full description at Econpapers || Download paper

  49. Influyen las ayudas públicas por descendientes la fecundidad?. Un estudio para Espana por tramos de edad. (). Zárate-Marco, Anabel ; Vallés-Giménez, Jaime ; Jaime Vallés Giménez;, ; Anabel Zárate Marco, .
    In: Studies on the Spanish Economy.
    RePEc:fda:fdaeee:148.

    Full description at Econpapers || Download paper

  50. Foreign direct investment and trade: A causality analysis. (). Bajo-Rubio, Oscar ; María Montero, .
    In: Studies on the Spanish Economy.
    RePEc:fda:fdaeee:06.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-30 07:59:11 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.