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Structural analysis of vector error correction models with exogenous I(1) variables · Study

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ArticleStructural analysis of vector error correction models with exogenous I(1) variables

M. Hashem Pesaran2000

Article2000

Structural analysis of vector error correction models with exogenous I(1) variables

M. Hashem Pesaran · Yongcheol Shin · Richard J. Smith

797 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 797 citations exist upstream.

References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Statistical analysis of cointegration vectors 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes

Cited by

2004Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model 2007Exploring the international linkages of the euro area: a global VAR analysis 2008Unit Roots and Cointegration in Panels 1998Structural Analysis of Cointegrating VARs 2000Export-led growth: a survey of the empirical literature and some non-causality results. Part 1 2006Macroeconomic Dynamics and Credit Risk: A Global Perspective 1999Bounds Testing Approaches to the Analysis of Long-run Relationships 2002LONG-RUN STRUCTURAL MODELLING

Details

Year2000

Typearticle

Published2000-08-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations797

Files0 public / 0

ShelfMonetary Policy and Economic Impact

Identifiers

doi10.1016/s0304-4076(99)00073-1

openalex_workW1968753909

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