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Empirical exchange rate models and shifts in the co-integrating vector
16 references·5 citing·27 second hop
Empirical exchange rate models and shifts in the co-integrating vector (1996)Empirical exchange rate models and shifts…Herd on the Street: Informational Inefficiencies in a Market with Short‐Term Speculation (1992)Herd on the Street: Informati…Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Statistical Inference in Inst…Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Long Swings in the Dollar: Ar…Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Time Series Regression with a Unit Root (1987)Time Series Regression with a…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Asymptotic Properties of Leas…Understanding spurious regressions in econometrics (1986)Understanding spurious regres…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence (1977)A Monetary Approach To The Ex…Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…Non-linear exchange rate relationships: An automated model selection approach with indicator saturation (2016)Non-linear exchange rate rela…Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices (2013)Nonlinear adjustment, purchas…Dynamic forecasting of monetary exchange rate models: Evidence from cointegration (2001)Dynamic forecasting of moneta…Exchange rate determination and inflation in Southeast Asian countries (1998)Exchange rate determination a…Cointegration and exchange rate dynamics (1997)Cointegration and exchange ra…Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Time Series Analysis: Forecasting and Control (1977)Some recent development in a concept of causality (1988)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Inference in Linear Time Series Models with some Unit Roots (1990)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Spurious regression and residual-based tests for cointegration in panel data (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Convergence Across States and Regions (1991)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes4,930 cited
  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1986Understanding spurious regressions in econometrics1,782 cited
  • 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors1,471 cited
  • 1991Optimal Inference in Cointegrated Systems1,110 cited
  • 1992Herd on the Street: Informational Inefficiencies in a Market with Short‐Term Speculation1,088 cited
  • 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?

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984 cited
  • 1977A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence981 cited
  • Cited by

    • 1997Cointegration and exchange rate dynamics36 cited
    • 1998Exchange rate determination and inflation in Southeast Asian countries30 cited
    • 2013Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices28 cited
    • 2001Dynamic forecasting of monetary exchange rate models: Evidence from cointegration23 cited
    • 2016Non-linear exchange rate relationships: An automated model selection approach with indicator saturation18 cited