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On identifying permanent and transitory shocks in VAR models
7 references·0 citing·27 second hop
On identifying permanent and transitory shocks in VAR models (1998)On identifying permanent and transitory s…Long-run identifying restrictions for an error-correction model of New Zealand money, prices and output (1995)Long-run identifying restrict…Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…A Representation of Vector Autoregressive Processes Integrated of Order 2 (1992)A Representation of Vector Au…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…Aggregate Dynamics and Staggered Contracts (1980)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Impulse response analysis in nonlinear multivariate models (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (1992)On the limitations of comparing mean square forecast errors (1993)Explaining Cointegration Analysis: Part 1 (2000)Modelling Nonlinear Economic Time Series (2010)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Performance of Core Inflation Measures (2001)House Prices and Business Cycles in Europe: a VAR Analysis (2002)Measuring Monetary Policy in Germany: A Structural Vector Error Correction Approach (2003)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A PANIC Attack on Unit Roots and Cointegration (2004)Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption (2004)Realized Variance and Market Microstructure Noise (2006)Generalized impulse response analysis in linear multivariate models (1998)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Price discovery and common factor models (2002)Testing for Panel Cointegration with Multiple Structural Breaks* (2006)The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis (2009)
this work references cited by second hop

References

  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems426 cited
  • 1992A Representation of Vector Autoregressive Processes Integrated of Order 2331 cited
  • 1995Long-run identifying restrictions for an error-correction model of New Zealand money, prices and output25 cited

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