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Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate
16 references·2 citing·38 second hop
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References

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  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1996The Purchasing Power Parity Puzzle2,939 cited
  • 2006The Cointegrated VAR Model: Methodology and Applications1,181 cited
  • 1994Five alternative methods of estimating long-run equilibrium relationships1,129 cited
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  • 1992A Representation of Vector Autoregressive Processes Integrated of Order 2331 cited
  • 2010Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices312 cited
  • 2007Imperfect Knowledge Economics: Exchange Rates and Risk278 cited
  • 1999Trend stationarity in the I(2) cointegration model126 cited
  • 2004Vector equilibrium correction models with non‐linear discontinuous adjustments104 cited
  • 2007Taking a DSGE Model to the Data Meaningfully93 cited
  • 1988The Flexible Exchange Rate System: Experience and Alternatives93 cited
  • 1997Asymptotic Inference on the Moving Average Impact Matrix in Cointegrated 1(1) VAR Systems91 cited
  • 2004Cointegration analysis in the presence of outliers

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88 cited
  • 2018The Cointegrated VAR Methodology80 cited
  • Cited by

    • 2009Balassa-Samuelson and Wage, Price and Unemployment Dynamics in the Spanish Transition to EMU Membership20 cited
    • 2009The Long Swings Puzzle: What the Data Tell When Allowed to Speak Freely17 cited