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Testing cointegrating coefficients in vector autoregressive error correction models. (1998). Mittnik, Stefan ; Kim, Jeong-Ryeol ; Hansen, Gerd.
In: Economics Letters.
RePEc:eee:ecolet:v:58:y:1998:i:1:p:1-5.

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  1. Effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors. (2010). Kurita, Takamitsu.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:80:y:2010:i:10:p:2033-2039.

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  2. TESTING FOR LONG-RUN PURCHASING POWER PARITY IN THE POST BRETTON WOODS ERA: EVIDENCE FROM OLD AND NEW TESTS. (2005). Ramajo, Julian ; Ferré, Montserrat.
    In: Working Papers.
    RePEc:hpe:wpaper:y:2005:i:24.

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  3. Unit Roots and Cointegration in Panels. (2005). Pesaran, Mohammad ; Breitung, Jörg.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1565.

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  4. Unit Roots and Cointegration in Panels. (2005). Pesaran, Mohammad ; Breitung, Jörg.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0535.

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  5. Forecasting inflation from the term structure. (2003). Carstensen, Kai ; Hawellek, Julia.
    In: Review of World Economics (Weltwirtschaftliches Archiv).
    RePEc:spr:weltar:v:139:y:2003:i:2:p:306-323.

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  6. The German labour market and the unification shock. (2000). Hansen, Gerd.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:17:y:2000:i:3:p:439-454.

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References

References cited by this document

  1. Ahn, S.K. ; Reinsel, G.C. Estimation for partially nonstationary multivariate autoregressive models. 1990 Journal of the American Statistical Association. 85 813-823
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  2. Dolado, J.J. A note on weak exogeneity in VAR cointegrated models. 1992 Economics Letters. 38 139-143

  3. Engle, R.F. ; Granger, C.W.J. Cointegration and error correction: Representation, estimation and testing. 1987 Econometrica. 55 251-276
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  4. Granger, C.W.J. Investigating causal relations by econometric models and cross spectral methods. 1969 Econometrica. 37 424-438

  5. Hansen, G., Kim, J.-R., 1996. The reliability of the Johansen-procedure. Discussion Paper 91/1996, Institute of Statistics and Econometrics, Christian Albrechts University at Kiel, Germany.
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  6. Johansen, S. Statistical analysis of cointegration vectors. 1988 Journal of Economic Dynamics and Control. 12 231-254

  7. Johansen, S. ; Juselius, K. Identification of the long-run and short-run structure: An application to the ISLM model. 1994 Journal of Econometrics. 63 7-36

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  9. Phillips, P.C.B. Optimal inference in cointegrated system. 1991 Econometrica. 59 283-306

  10. Phillips, P.C.B. Some exact distribution theory for maximum likelihood estimators of cointegrating coefficients in error correction models. 1994 Econometrica. 62 73-93

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  13. Toda, H. ; Phillips, P.C.B. Vector autoregressions and causality: A theoretical overview and simulation study. 1994 Econometric Reviews. 13 259-285
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