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Panel cointegration analysis of the Fisher effect: Evidence from the US, the UK, and Japan
16 references·4 citing·23 second hop
Panel cointegration analysis of the Fisher effect: Evidence from the US, the UK, and Japan (2011)Panel cointegration analysis of the Fishe…An examination of the Fisher Hypothesis: the case of Turkey (2008)An examination of the Fisher …Panel cointegration tests of the Fisher effect (2007)Panel cointegration tests of …Fisher hypothesis: UK evidence over a century (2004)Fisher hypothesis: UK evidenc…Testing for unit roots in heterogeneous panels (2003)Testing for unit roots in het…Unit root tests in panel data: asymptotic and finite-sample properties (2002)Unit root tests in panel data…Revisiting the Fisher hypothesis for the cases of Argentina, Brazil and Mexico (2002)Revisiting the Fisher hypothe…Purchasing Power Parity Tests in Cointegrated Panels (2001)Purchasing Power Parity Tests…A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)A Comparative Study of Unit R…Long- and short-run Fisher effects: new tests and new results (1998)Long- and short-run Fisher ef…Evidence from lesser developed countries on the Fisher hypothesis: a cointegration analysis (1997)Evidence from lesser develope…Do Expected Shifts in Inflation Affect Estimates of the Long-Run Fisher Relation? (1995)Do Expected Shifts in Inflati…Does the Fisher effect apply in Australia? (1993)Does the Fisher effect apply …A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)A Simple Estimator of Cointeg…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Inflation risk and stock returns: Evidence from US aggregate and sectoral markets (2023)Inflation risk and stock retu…The Relationship between Inflation and Interest Rates in the UK: The Nonlinear ARDL Approach (2020)The Relationship between Infl…Testing the Long-Run Fisher Effect in Selected African Countries: Evidence from ARDL Bounds Test (2015)Testing the Long-Run Fisher E…Does the Fisher hypothesis hold for the G7? Evidence from the panel cointegration test (2015)Does the Fisher hypothesis ho…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Statistical Methods for Meta-Analysis (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Movements in the Equity Premium (1993)The Term Structure of Real Rates and Expected Inflation (2007)Regime Changes and Financial Markets (2012)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Efficient Tests for an Autoregressive Unit Root (1996)Bounds testing approaches to the analysis of level relationships (2001)A reinvestigation of EKC model by ecological footprint measurement for high, middle and low income countries (2018)The effect of ICT, financial development, growth, and trade openness on CO2 emissions: an empirical analysis (2018)The nexus between digital economy and carbon dioxide emissions in China: The moderating role of investments in research and development (2022)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Fully modified OLS for heterogeneous cointegrated panels (2004)CO2 emissions, economic growth, energy consumption, trade and urbanization in new EU member and candidate countries: A panel data analysis (2014)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 2003Testing for unit roots in heterogeneous panels15,333 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 2002Unit root tests in panel data: asymptotic and finite-sample properties12,832 cited
  • 1999A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test7,482 cited
  • 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 cited
  • 2001Purchasing Power Parity Tests in Cointegrated Panels2,117 cited
  • 2007Panel cointegration tests of the Fisher effect1,234 cited
  • 1995Do Expected Shifts in Inflation Affect Estimates of the Long-Run Fisher Relation?290 cited
  • 2004Fisher hypothesis: UK evidence over a century60 cited
  • 1997Evidence from lesser developed countries on the Fisher hypothesis: a cointegration analysis50 cited
  • 2008An examination of the Fisher Hypothesis: the case of Turkey47 cited
  • 2002Revisiting the Fisher hypothesis for the cases of Argentina, Brazil and Mexico44 cited
  • 1993

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Does the Fisher effect apply in Australia?
30 cited
  • 1998Long- and short-run Fisher effects: new tests and new results30 cited
  • Cited by

    • 2023Inflation risk and stock returns: Evidence from US aggregate and sectoral markets36 cited
    • 2015Does the Fisher hypothesis hold for the G7? Evidence from the panel cointegration test22 cited
    • 2020The Relationship between Inflation and Interest Rates in the UK: The Nonlinear ARDL Approach21 cited
    • 2015Testing the Long-Run Fisher Effect in Selected African Countries: Evidence from ARDL Bounds Test15 cited