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Testing hypotheses in an model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate
15 references·16 citing·38 second hop
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  • 1999Trend stationarity in the I(2) cointegration model126 cited
  • 2007Taking a DSGE Model to the Data Meaningfully93 cited
  • 1997Asymptotic Inference on the Moving Average Impact Matrix in Cointegrated 1(1) VAR Systems

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Cited by

  • 2013Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?126 cited
  • 2019Markov switching in exchange rate models: will more regimes help?44 cited
  • 2017ARE RISK PREMIA RELATED TO REAL EXCHANGE RATE SWINGS? EVIDENCE FROMI(2) CVARs WITH SURVEY EXPECTATIONS38 cited
  • 2017Real exchange rate persistence and the excess return puzzle: The case of Switzerland versus the US31 cited
  • 2013Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices28 cited
  • 2018Are outcomes driving expectations or the other way around? An I(2) CVAR analysis of interest rate expectations in the dollar/pound market24 cited
  • 2009Special Issue on Using Econometrics for Assessing Economic Models—An Introduction22 cited
  • 2016Can you do the wrong thing and still be right? Hypothesis testing in I(2) and near-I(2) cointegrated VARs20 cited
  • 2016Non-linear exchange rate relationships: An automated model selection approach with indicator saturation18 cited
  • 2009The Long Swings Puzzle: What the Data Tell When Allowed to Speak Freely17 cited
  • 2017Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge16 cited
  • 2010Imperfect Knowledge, Asset Price Swings and Structural Slumps: A Cointegrated VAR Analysis of Their Interdependence16 cited
  • 2021Searching for a Theory That Fits the Data: A Personal Research Odyssey15 cited
  • 2014A residual-based ADF test for stationary cointegration in I(2) settings14 cited
  • 2008A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings14 cited
  • 2015Bootstrap tests for time varying cointegration13 cited