References
- Andrews, W. 1993. “Tests for Parameter Instability and Structural Change with Unknown Change Point.” Econometrica : Journal of the Econometric Society 61 (4): 821–856.
- Andrews, W., and W. Ploberger. 1994. “Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative.” Econometrica : Journal of the Econometric Society 62 (6): 1383–1414.
- Balcilar, M., and A. Ozdemir. 2013. “The Export-Output Growth Nexus in Japan: A Bootstrap Rolling Window Approach.” Empirical Economics 44: 639–660.
- Balcilar, M., A. Ozdemir, and Y. Arslanturk. 2010. “Economic Growth and Energy Consumption Causal Nexus Viewed through a Bootstrap Rolling Window.” Energy Economics 32 (6): 1398–1410.
- Case, E., M. Quigley, and J. Shiller. 2005. “Comparing Wealth Effects: The Stock Market versus the Housing Market.” Advances in Macroeconomics 5 (1): 1235–1235.
- Hansen, E. 1992. “Test for Parameter Istability in Regressions with I(1) Processes.” Journal of Business and Economic Statistics 10: 321–336.
- Iacoviello, M. M. 2011. Housing Wealth and Consumption. FRB International Finance Discussion Paper, (1027), Board of Governors of the Federal Reserve System, USA.
- Johansen, S., and K. Juselius. 1990. “Maximum Likelihood Estimation and Inference on Cointegration-With Applications to the Demand for Money.” Oxford Bulletin of Economics and Statistics 52 (2): 169–210.
- Kiley, M. T., and J. M. Roberts (2017) Monetary Policy in a Low Interest Rate World, BPEA Conference Draft, March 23-24, 2017.
- Kwiatkowski, D., C. Phillips, P. Schmidt, and Y. Shin. 1992. “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root.” Journal of Econometrics 54 (1): 159–178.
- Lin, C., and H. Lin. 2011. “Are Stock and Real Estate Markets Integrated? an Empirical Study of Six Asian Economies.” Pacific-Basin Finance Journal 19 (5): 571–585.
- Liow, H., and H. Yang. 2005. “Long-Term Co-Memories and Short-Run Adjustment: Securitized Housing and Stock Markets.” The Journal of Housing Finance and Economics 31 (3): 283–300.
- Miller, N., L. Peng, and M. Sklarz. 2011. “House Prices and Economic Growth.” The Journal of Housing Finance and Economics 42 (4): 522–541.
- Ng, S., and P. Perron. 2001. “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power.” Econometrica : Journal of the Econometric Society 69 (6): 1519–1554.
- Nyakabawo, W., S. M. Miller, M. Balcilar, S. Das, and R. Gupta. 2015. “Temporal Causality between House Prices and Output in the US: A Bootstrap Rolling-Window Approach.” The North American Journal of Economics and Finance 33: 55–73.
- Nyblom, J. 1989. “Testing for the Constancy of Parameters over Time.” Journal of the American Statistical Association 84: 223–230.
- Perron, P. 1989. “The Great Crash.” The Oil Price Shock And The Unit Root Hypothesis, Econometrica 57 (6): 1361-1401.
- Pesaran, H., and A. Timmermann. 2005. “Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks.” Journal of Econometrics 129 (1): 183–217.
- Raymond, Y. C. T. 2001. “Impact of Property Prices on Stock Prices in Hong Kong.” Review of Pacific Basin Financial Markets and Policies 4 (1): 29–43.
- Toda, Y., and C. Phillips. 1994. “Vector Autoregression and Causality: A Theoretical Overview and Simulation Study.” Econometric Reviews 13 (2): 259–285.
- Toda, Y., and T. Yamamoto. 1995. “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes.” Journal of Econometrics 66 (1): 225–250.
- Tsai, I. C., C. F. Lee, and M. C. Chiang. 2012. “The Asymmetric Wealth Effect in the US Housing and Stock Markets: Evidence from the Threshold Cointegration Model.” The Journal of Real Estate Finance and Economics 45 (4): 1005–1020.
- Zeileis, A., F. Leisch, C. Kleiber, and K. Hornik. 2005. “Monitoring Structural Change in Dynamic Econometric Models.” Journal of Applied Econometrics 20 (1): 99–121.
- Zhou, X., and C. D. Carroll. 2012. “Dynamics of Wealth and Consumption: New and Improved Measures for US States.” The BE Journal of Macroeconomics 12 (2): 1-44.