17
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Comment on “ estimating systems of trending variables”: estimating pushing trends and pulling equilibria

&
Pages 395-422 | Published online: 21 Mar 2007

References

  • Alogoskoufis , G. and Smith , R. 1991 . On Error Correction Models: Specification. Interpretation, Estimation, . Journal of Economic Surveys , 5 : 97 – 128 .
  • Anderson , T. W. 1971 . The Statistical Analysis of Time Series , New York : John Wiley and sons .
  • Anderson , T. W. 1984 . An Introduction to Multivariate Statistical Analysis , U.S.A : John Wiley and Sons .
  • Baillie , R. T. 1989 . Econometric Tests of Rationality and Market Efficiency, . Econometric Reviews , 8 : 151 – 186 .
  • Beveridge , S. and Nelson , C. R. 1981 . A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components with Particular Attention to Measurement of the ‘Business Cycle’ . Journal of Monetary Economics , 7 : 151 – 174 .
  • Bewley , R. and Fiebig , D. G. 1990 . Why are Long-Run Parameter Estimates So Disparate? . Review of Economics and Statistics , 72 : 345 – 349 .
  • Bewley R. Orden D. Fisher L. Box-Tiao and Johansen Canonical Estimators of Cointegrating Vectors report no. 9115 School of Economics, The University of New South Wales Australia 1991 Discussion Paper, forthcoming as Bewley, R., Orden, D., Yang, M., and Fisher, L. (1994), Comparison of Box Tiao and Johansen Canonical Estimators of Cointegrating Vectors in VEC(1) Models, Journal of Econometrics
  • Boswijk H. P. Cointegration, Identification and Exogeneity. Inference in Structural Error Correction Models Thesis Publishers Amsterdam, The Netherlands 1992 Chapter 6 forthcoming in Journal of Econometrics
  • Box , G. E. P. and Tiao , G. C. 1977 . A Canonical Analysis of Multiple Time Series, . Biometrika , 64 : 355 – 365 .
  • Campbell , J. Y. and Perron , P. 1991 . Pitfalls and Opportunities: What Macroeconomists should know about Unit Roots , Edited by: Blanchard , O. J. and Fisher , S. 141 – 201 . Cambridge, , U.S.A : MIT Press . report no. 100, National Bureau of Economic Research,in NBER Macroeconomics Annual 1991
  • Christiano , L. J. and Eichenbaum , M. . Unit Roots, Investment Measures and Other Essays . Carnegie-Rochester Conference Series on Public Policy . Edited by: Meltzer , A. H. pp. 7 – 62 . Amsterdam, , The Netherlands : Elsevier Science Publishers (North-Holland) . Unit Roots in Real GKP: Do We Know. and Do We Care?
  • Cochrane , J. H. 1988 . How Big is the Random Walk in GNP? . Journal of Political Economy , 96 : 893 – 919 .
  • Dickey , D. A. and Fuller , W. A. 1979 . Distribution of the Estimators for Autoregressive Time Series With a Unit Root . Journal of the American Statistical Association , 74 : 427 – 431 .
  • Dickey , D. A. and Fuller , W. 1981 . Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root . Econometrica , 4 : 1058 – 1072 .
  • Dickey , D. A. , Hasza , H. P. and Fuller , W. A. 1984 . Testing for Unit Roots in Seasonal Time Series . Journal of the American Statistical Association , 79 : 427 – 431 .
  • Fountis , N. G. and Dickey , D. A. 1989 . Testing for a Unit Root Konstationarity in Multivariate Autoregressive Time Series . The Annals of Statistics , 17 : 419 – 428 .
  • Gonzalo , J. 1994 . Five alternative methods of estimating long-run equilibrium relationships . Journal of Econometrics , 60 : 203 – 233 .
  • Gourieroux , C. , Maurel , F. and Monfort , A. 1987 . “ Regression and non stationarity ” . Paris, , France : Unité de Recherche . report no. 8708, Institut National de la Statistique et des Etudes Economiques
  • Gourieroux C. Peaucelle I. Detecting a Long Run Relationship Centre d′Études Prospectives dÉconomi Mathématique Appliquéesala Planification Paris, France 1989 report no. 8902 in French: ( 1993): Séries codépendantes: Application A. I'Hypothèse de Parité du Pouvoir d'Achat, in: Macroeconomic Developpements Récents, Economzca, 285-306
  • Granger , C. W. J. 1986 . Forecasting Economic Time Series , Academic Press . Harcourt Brace Jovanovich
  • Hasza , D. P. and Fuller , W. A. 1979 . Estimation for Autoregressive Processes with Unit Roots . The Annals of Statistics , 7 : 1106 – 1120 .
  • Hylleberg , S. and Mizon , G. E. 1989 . Cointegration and Error Correction Mechanisms . Economic Journal , 99 : 113 – 125 .
  • Joansen S. Estimating Systems of Trending Variables 1994 Econometric Reviews, this issue
  • Kang , H. 1985 . The Effects of Detrending in Granger Causality Tests . Journal of Business and Economic Statistics , 3 : 344 – 349 .
  • King , R. , Plosser , C. , Stock , J. and Watson , M. 1991 . Stochastic Trends and Economic Fluctuations . American Economic Review , 81 : 819 – 840 .
  • Koedijk , K. and Schotman , P. 1989 . Dominant Real Exchange Rate Movements, . Journal International Money and Finance , 8 : 517 – 531 .
  • Kool , H. 1989 . Multi–Step Prediction Models for Stationary Multivariate Time Series , Amsterdam, , The Netherlands : Free University Press .
  • Kugler , P. and Schwendener , P. 1990 . Codependence in a VAR Framework , Switzerland : Volkswirtschaftliches Institut Universität Bern .
  • Lo , A. W. 1991 . Long-Term Memory in Stock Market Prices . Econometrica , 59 : 1279 – 1313 .
  • Mandelbrot , B. B. 1972 . Statistical Methodology for Nonperiodic Cycles: From the Covariance to R/S .Analysis . Annals of Economic and Social Measurement , 1 : 259 – 290 .
  • Mariano , R. S. 1972 . Analytical Small–Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case . International Economic Review , 23 : 503 – 533 .
  • Mellander , E. and Warne , A. 1992 . Stochastic Trends and Economic Fluctuations in a Small Open Economy . Journal of Applied Econometrics , 7 : 369 – 394 .
  • Ohanian , L. E. 1991 . A Note on Spurious Inference in A Linearly Detrended Vector Autoregression . The Review of Economics and Statistics , 73 : 568 – 571 .
  • Perron , P. 1991 . A Test for Changes in a Polynomial Trend Function for a Dynamic Time Series , Princeton, , U.S.A : Princeton University . Econometric Research Program
  • Phillips , P. C. B. and Perron , P. 1988 . Testing for a Unit Root in Time Series Regression . Biometrika , 55 : 335 – 346 .
  • Phillips P.C.B. Ouliaris S. Testing for Cointegration Using Principal Component Methods Journal of Economic Dynamics and Control 205 230
  • Phillips , P. C. B. and Ouliaris , S. 1990 . Asymptotic Properties of Residual Based Tests for Cointegration . Econometrica , 58 : 165 – 193 .
  • Phillips , P. C. B. and Loretan , M. 1991 . Estimating Long-run Economic Equilibria . Review of Economic Studies , 58 : 407 – 436 .
  • Phillips , P. C. B. 1994 . Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models . Econometrica , 62 : 73 – 93 .
  • Porter–Hudak , S. 1990 . An Application of the Seasonal Fractionally Differenced Model to the Monetary Aggregates . Journal of the Amerzcan Statzstrcal Assoczatzon , 85 : 338 – 344 .
  • Reimers , H. E. 1991 . Comparisons of Tests for Multivariate Cointegration , Frankfurt am Main, , Germany : Deutsche Bundesbank . forthcoming in Statistical Papers
  • Reinsel , G. C. and Ahn , S. K. 1992 . Vector Autoregressive Models with Tiriit Roots and Reduced Rank Structure: Estimation, Likelihood Ratio Test, and Forecasting . Journal of Time Series Analysis , 13 : 353 – 375 .
  • Saikkonen , P. 1991 . Asymptotically Efficient Estimation of Cointegration Regressions . Econometric Theory , 7 : 1 – 21 .
  • Schmidt , P. 1990 . “ Dickey-Fuller Tests With Drift ” . In Advances in Econometrics , Edited by: Fomby , T. B. and Rhodes , G. F. Jr . Vol. 8 , 161 – 200 . Greenwich, , U.S.A : JAI Press . Co - Integration, Spurious Regressions, and Unit Roots
  • Stock , J. H. and Watson , M. W. 1988 . Testing for Common Trends, . Journal of the American Statistical Association , 83 : 1097 – 1107 .
  • Stock , J. H. and Watson , M. W. 1993 . A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems . Econometrica , 61 : 783 – 820 .
  • Tiao , G. C. and Tsay , R. S. 1989 . Model Specification in Multivariate Time Series (with Discussion) . Journal of the Royal Statistical Society , 51 : 157 – 195 . 208-213
  • Tsay , R. S. and Tiao , G. C. 1990 . Asymptotic Properties of Multivariate Nonstationary Processes with Applications to Aut,oregressions . The Annals of Statistics , 18 : 220 – 250 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.