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Cointegration: how short is the long run? · Study

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ArticleCointegration: how short is the long run?

Craig S. Hakkio1991

Article1991

Cointegration: how short is the long run?

Craig S. Hakkio · Mark Rush

564 citations·0/0 files stored·Journal of International Money and Finance

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

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1990Asymptotic Properties of Residual Based Tests for Cointegration 1989Is there a J-curve?1986On the Theory of Testing for Unit Roots in Observed Time Series

Cited by

1996Long memory processes and fractional integration in econometrics 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps 2015CO2 emissions and financial development in an emerging economy: An augmented VAR approach 1993A Fractional Cointegration Analysis of Purchasing Power Parity 2004Estimating income and price elasticities of imports for Fiji in a cointegration framework 2004An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps

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2004TheJ‐Curve: Evidence from Fiji*article · 6 shared references 1992The market for second-hand ships: some results on efficiency using cointegrationarticle · 6 shared references 2010CLIOMETRICS AND TIME SERIES ECONOMETRICS: SOME THEORY AND APPLICATIONSarticle · 6 shared references 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Rootsarticle · 5 shared references 1990COINTEGRATION AND UNIT ROOTSarticle · 5 shared references 1994Testing for an unstable root in conditional and structural error correction modelsarticle · 5 shared references

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Year1991

Typearticle

Published1991-12-01

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations564

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/0261-5606(91)90008-8

openalex_workW2053618259

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2002Temporal Aggregation and the Power of Cointegration Tests: a Monte Carlo Study*

1994Cointegration, Fractional Cointegration, and Exchange Rate Dynamics