✦ LIBER ✦

Bootstrap and Asymptotic Tests of Long-run Relationships in Cointegrated Systems

✍ Scribed by Stefano Fachin

Book ID: 108554655
Publisher: John Wiley and Sons
Year: 2000
Tongue: English
Weight: 142 KB
Volume: 62
Category: Article
ISSN: 0140-5543
DOI: 10.1111/1468-0084.00187

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Tests for Long-Run Granger Non-Causality

Tests for Long-Run Granger Non-Causality in Cointegrated Systems

✍ Taku Yamamoto; Eiji Kurozumi 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 609 KB

Seasonal Cointegration and Long-Run Neut

Seasonal Cointegration and Long-Run Neutrality of Money in the USA

✍ Mohammad S. Hasan 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 637 KB

Cointegration analysis of brand and cate

Cointegration analysis of brand and category sales: Stationarity and long-run equilibrium in market shares

✍ Shuba Srinivasan; Frank M. Bass 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 295 KB

Retesting symmetry and homogeneity in a

Retesting symmetry and homogeneity in a cointegrated demand system with bootstrapping: The case of meat demand in Greece

✍ Kelvin. G. Balcombe 📂 Article 📅 2004 🏛 Springer-Verlag 🌐 English ⚖ 245 KB

Common trends in prices and exchange rat

Common trends in prices and exchange rates. Tests of long-run purchasing power parity

✍ Marianne Nessén 📂 Article 📅 1996 🏛 Springer-Verlag 🌐 English ⚖ 997 KB

Efficient tests of long-run causation in

Efficient tests of long-run causation in trivariate VAR processes with a rolling window study of the money–income relationship

✍ Jonathan B. Hill 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 176 KB

## Abstract This paper develops a simple sequential multiple‐horizon non‐causation test strategy for trivariate VAR models (with one auxiliary variable). We apply the test strategy to a rolling window study of money supply and real income, with the price of oil, the unemployment rate and the spread