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Original Articles

A new method to choose optimal lag order in stable and unstable VAR models

Pages 135-137 | Published online: 06 Oct 2010

Keep up to date with the latest research on this topic with citation updates for this article.

Read on this site (24)

Xiaozhu Guo, Bo Wang & Xu Yongan. (2022) The asymmetric effect of infectious disease equity market volatility for the physical education economy: implication for a post-Covid world. Economic Research-Ekonomska Istraživanja 35:1, pages 7008-7021.
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Abdulnasser Hatemi-J, Abdulrahman Al Shayeb & Eduardo Roca. (2017) The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests. Applied Economics 49:16, pages 1584-1592.
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Abdulnasser Hatemi-J & Eduardo Roca. (2016) BRIC and GIPS – who drives who? Evidence from newly developed asymmetric causality tests. Applied Economics 48:59, pages 5772-5778.
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Abdulnasser Hatemi-J & Mrittika Shamsuddin. (2016) The causal interaction between financial development and human development in Bangladesh. Applied Economics Letters 23:14, pages 995-998.
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Abdulnasser Hatemi-J & Youssef El-Khatib. (2016) An extension of the asymmetric causality tests for dealing with deterministic trend components. Applied Economics 48:42, pages 4033-4041.
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Abdulnasser Hatemi-J. (2016) On the tourism-led growth hypothesis in the UAE: a bootstrap approach with leveraged adjustments. Applied Economics Letters 23:6, pages 424-427.
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Giray Gozgor. (2015) Causal relation between economic growth and domestic credit in the economic globalization: Evidence from the Hatemi-J's test. The Journal of International Trade & Economic Development 24:3, pages 395-408.
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Abdulnasser Hatemi-J. (2014) On the interaction between government spending and economic performance in Sweden: an asymmetric approach. Applied Economics Letters 21:15, pages 1099-1103.
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Abdulnasser Hatemi-J & Gazi Salah Uddin. (2014) On the causal nexus of remittances and poverty reduction in Bangladesh. Applied Economics 46:4, pages 374-382.
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Abdulnasser Hatemi-J & Eduardo Roca. (2012) A re-examination of the unbiased forward rate hypothesis in the presence of multiple unknown structural breaks. Applied Economics 44:11, pages 1443-1448.
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MazinA. M. Al Janabi, Abdulnasser Hatemi-J & Manuchehr Irandoust. (2010) Modeling Time-Varying Volatility and Expected Returns: Evidence from the GCC and MENA Regions. Emerging Markets Finance and Trade 46:5, pages 39-47.
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Abdulnasser Hatemi-J. (2008) Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models. Applied Economics Letters 15:4, pages 239-243.
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Abdulnasser Hatemi-J & Eduardo D. Roca. (2007) Equity market price interdependence based on bootstrap causality tests: evidence from Australia and its major trading partners. Applied Financial Economics 17:10, pages 827-835.
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R. Scott Hacker & Abdulnasser Hatemi-J. (2006) Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application. Applied Economics 38:13, pages 1489-1500.
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Lokman Gunduz & Abdulnasser Hatemi-J. (2005) Is the tourism-led growth hypothesis valid for Turkey?. Applied Economics Letters 12:8, pages 499-504.
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R. Scott Hacker & Abdulnasser Hatemi-J . (2005) A test for multivariate ARCH effects. Applied Economics Letters 12:7, pages 411-417.
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Abdulnasser Hatemi-J & Eduardo Roca . (2005) Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries. Applied Financial Economics 15:8, pages 539-546.
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Abdulnasser Hatemi-J & Eduardo D. Roca. (2004) An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method. The European Journal of Finance 10:6, pages 475-488.
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