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The effect of regime shifts on the long-run relationships for Swedish money demand
16 references·0 citing·31 second hop
The effect of regime shifts on the long-run relationships for Swedish money demand (2005)The effect of regime shifts on the long-r…Multivariate tests for autocorrelation in the stable and unstable VAR models (2003)Multivariate tests for autoco…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…A Survey of Recent Empirical Money Demand Studies (2000)A Survey of Recent Empirical …The demand for money in Japan: Evidence from cointegration analysis (1996)The demand for money in Japan…Residual-based tests for cointegration in models with regime shifts (1996)Residual-based tests for coin…Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence (1992)Recursive and Sequential Test…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…Cointegration tests of a long-run relation between money demand and the effective exchange rate (1992)Cointegration tests of a long…An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator (1992)An Improved Heteroskedasticit…Monetary Dynamics: An Application of Cointegration and Error-Correction Modeling (1991)Monetary Dynamics: An Applica…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence (1990)Recursive and Sequential Test…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Time Series Regression with a Unit Root (1987)Time Series Regression with a…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Time Series Analysis: Forecasting and Control (1977)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Tests for Parameter Instability in Regressions with 1(1) Processes (1992)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Further evidence on breaking trend functions in macroeconomic variables (1997)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (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)Testing for a unit root in panels with dynamic factors (2004)Robust performance hypothesis testing with the Sharpe ratio (2008)Testing slope homogeneity in large panels with serial correlation (2013)Oil price shocks and stock market activity (1999)
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References

  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1996Residual-based tests for cointegration in models with regime shifts2,521 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis1,956 cited
  • 1992An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator1,091 cited
  • 1990Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence870 cited
  • 1992Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence405 cited
  • 1991Monetary Dynamics: An Application of Cointegration and Error-Correction Modeling254 cited
  • 2000A Survey of Recent Empirical Money Demand Studies194 cited
  • 1992Cointegration tests of a long-run relation between money demand and the effective exchange rate

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153 cited
  • 2003Multivariate tests for autocorrelation in the stable and unstable VAR models92 cited
  • 1996The demand for money in Japan: Evidence from cointegration analysis82 cited
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