1. Between cointegration and multicointegration: Modelling time series dynamics by cumulative error correction models. (2013). Scheiblecker, Marcus.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:31:y:2013:i:c:p:511-517.

   Full description at Econpapers || Download paper

2. Testing for multicointegration in panel data with common factors. (2006). Carrion-i-Silvestre, Josep ; Berenguer-Rico, Vanessa.
   In: Working Papers in Economics.
   RePEc:bar:bedcje:2006160.

   Full description at Econpapers || Download paper

3. Long-run forecasting in multicointegrated systems. (2004). Siliverstovs, Boriss ; Haldrup, Niels ; Engsted, Tom.
   In: Journal of Forecasting.
   RePEc:jof:jforec:v:23:y:2004:i:5:p:315-335.

   Full description at Econpapers || Download paper

1. Advanced Texts in Econometrics. Oxford: Oxford University Press. Johansen, S. (2002). The statistical analysis of hypotheses on the cointegrating relations in the I(2) model. mimeo, Department of Statistics and Operations Research, University of Copenhagen.

2. Ando, A. and F. Modigliani (1963). The life-cycle hypothesis of saving: Aggregate implications and tests. American Economic Review 53(1), 5584.
   Paper not yet in RePEc: Add citation now
   
3. Auerback, M. (2000). Q1 US flow funds and the stock market. International Perspective, June 20, 2000: available online: http://www.prudentbear.com.
   Paper not yet in RePEc: Add citation now
   

4. Banerjee, A., L. Cockerell, and B. Russell (2001). An I(2) analysis of inflation and the markup.

5. Campbell, J. Y. (1987). Does saving anticipate declining labour income? An alternative test of the permanent income hypothesis. Econometrica 55, 12491273.

6. Campbell, J. Y. and A. S. Deaton (1989). Why consumption so smooth? Review of Economic Studies 56, 357374.
   Paper not yet in RePEc: Add citation now
   

7. Davidson, J. E. H., D. F. Hendry, S. Srba, and S. Yeo (1978). Econometric modelling of the aggregate time-series relationship between consumers expenditure and income in the United Kingdom. Economic Journal 80, 661692.

8. Discussion Paper, Nuffield College, Oxford. Doornik, J. A. and D. F. Hendry (2001a). GiveWin: An Interface to Empirical Modelling. London: Timberlake Consultants Press.
   Paper not yet in RePEc: Add citation now
   
9. Doornik, J. (1995). Testing vector autocorrelation and heteroscedasticity in dynamic models.
   Paper not yet in RePEc: Add citation now
   
10. Doornik, J. A. and D. F. Hendry (2001b). Modelling Dynamic Systems Using PcGive, Volume II.
    Paper not yet in RePEc: Add citation now
    
11. Doornik, J. A. and H. Hansen (1994). A practical test for univariate and multivariate normality.
    Paper not yet in RePEc: Add citation now
    
12. Econometrics Journal 6, 5371. Kongsted, H. C. and H. B. Nielsen (2002). Analyzing I(2) systems by transformed vector regressions.
    Paper not yet in RePEc: Add citation now
    

13. Engle, R. F. and C. W. J. Granger (1987). Cointegration and error correction: Representation, estimation and testing. Econometrica 55, 251276.

14. Engsted, T. and N. Haldrup (1999). Multicointegration in stock-flow models. Oxford Bulletin of Economics and Statistics 61, 237254.

15. Engsted, T. and S. Johansen (1999). Grangers representation theorem and multicointegration. In R. Engle and H. White (Eds.), Cointegration, Causality and Forecasting, Festschrift in Honour of Clive Granger, Oxford. Oxford University Press.
    Paper not yet in RePEc: Add citation now
    

16. Flavin, M. (1993). The excess smoothness of consumption: Identification and interpretation. The Review of Economic Studies 60(3), 651666.

17. Friedman, M. (1957). A Theory of the Consumption Function. Princeton, NJ: Princeton University Press.

18. Fuller, W. A. (1976). Introduction to Statistical Time Series. New York: John Wiley.
    Paper not yet in RePEc: Add citation now
    

19. Gale, W. G. and J. Sabelhaus (1999). Perspectives on the household saving rate. Brookings Papers on Economic Activity 1, 181224.

20. Godfrey, L. G. (1978). Testing for higher order serial correlation in regression equations when the regressors include lagged dependent variables. Econometrica 46, 13031313.

21. Gonzalo, J. (1994). Five alternative methods of estimating long-run equilibrium relationships.

22. Granger (Eds.), Long-Run Economic Relationships. Reading in Cointegration, Advanced Texts in Econometrics, Oxford. Oxford University Press. Haldrup, N. (1998). An econometric analysis of I(2) variables. Journal of Economic Surveys 12(5), 595650.

23. Granger, C. W. J. and T. H. Lee (1989). Investigation of production, sales and inventory rela- tions using multicointegration and non-symmetric error correction models. Journal of Applied Econometrics 4, S145S159.

24. Hendry, D. F. and T. von Ungern-Sternberg (1981). Liquidity and inflation effects on consumers expenditure. In A. S. Deaton (Ed.), Essays in the Theory and Measurement of Consumers Behaviour: In Honour of Sir Richard Stone, Cambridge. Cambridge University Press.
    Paper not yet in RePEc: Add citation now
    

25. Johansen, S. (1992). Testing weak exogeneity and the order of integration in UK money demand data. Journal of Policy Modeling 14, 315335.

26. Johansen, S. (1995). Likelihood-Based Inference in Cointegrated Vector Autoregressive Models.

27. Journal of Applied Econometrics 16, 221240. Blinder, A. S. and A. S. Deaton (1985). The time-series consumption revisited. Brooking Papers on Economic Activity 1985(2), 465511.
    Paper not yet in RePEc: Add citation now
    
28. Keynes, J. M. (1936). The General Theory of Employment, Interest and Money. London: Macmil- lan.
    Paper not yet in RePEc: Add citation now
    

29. Kongsted, H. C. (2003). I(2) cointegration analysis of small country import price determination.

30. Lee, T. H. (1996). Stock adjustment for multicointegrated series. Empirical Economics 21, 63639.

31. London: Timberlake Consultants Press. Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50, 9871007.

32. Muellbauer, J. and R. Lattimore (1995). The consumption function: A theoretical and empirical overview. In M. H. Pesaran and M. R. Wickens (Eds.), Handbook of Applied Econometrics, Oxford and Malden, Mass., pp. 221311. Blackwell.
    Paper not yet in RePEc: Add citation now
    

33. Nielsen, H. B. (2002). An I(2) cointegration analysis of price and quantity formation in Danish manufactured exports. Oxford Bulletin of Economics and Statistics 64(5), 449472.

34. Paruolo, P. (1994). The role of the drift in I(2) systems. Journal of Italian Statistical Society 3(1), 93123.

35. Phillips, A. W. (1954). Stabilization policy in the closed economy. The Economic Journal 64, 290323.
    Paper not yet in RePEc: Add citation now
    
36. Phillips, A. W. (1957). Stabilization policy and the time-forms of lagged responses. The Economic Journal 67, 26577.
    Paper not yet in RePEc: Add citation now
    

37. Rahbek, A., H. . C. Kongsted, and C. Jørgensen (1999). Trend-stationarity in the I(2) cointegration model. Journal of Econometrics 90, 265289.

38. Stone, R. (1966). Spending and saving in relation to income and wealth. Lindustria 4, 471499.
    Paper not yet in RePEc: Add citation now
    
39. Stone, R. (1973). Personal spending and saving in postwar Britain. In H. C. Bos, H. Linneman, and P. de Wolff (Eds.), Economic Structure and Development (Essays in Honour of Jan Tinbergen), Amsterdam. North-Holland Publishing Co.
    Paper not yet in RePEc: Add citation now
    

40. Vahid, F. and R. Engle (1993). Common trends and common cycles. Journal of Applied Econo- metrics 8, 341360.

1. High-dimensional IV cointegration estimation and inference. (2024). Phillips, Peter ; Kheifets, Igor L.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:238:y:2024:i:2:s030440762300338x.

   Full description at Econpapers || Download paper

2. Fully modified least squares cointegrating parameter estimation in multicointegrated systems. (2023). Phillips, Peter ; Kheifets, Igor L.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:232:y:2023:i:2:p:300-319.

   Full description at Econpapers || Download paper

3. Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems. (2021). , Peter ; PEter, ; Kheifets, Igor L.
   In: Papers.
   RePEc:arx:papers:2108.03486.

   Full description at Econpapers || Download paper

4. A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing. (2020). Wagner, Martin ; Matuschek, Lukas ; Bauer, Dietmar ; de Matos, Patrick .
   In: Econometrics.
   RePEc:gam:jecnmx:v:8:y:2020:i:4:p:42-:d:442543.

   Full description at Econpapers || Download paper

5. Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data. (2020). Kurita, Takamitsu.
   In: Journal of Multivariate Analysis.
   RePEc:eee:jmvana:v:178:y:2020:i:c:s0047259x19300910.

   Full description at Econpapers || Download paper

6. A cointegration model of money and wealth. (2020). Assenmacher, Katrin ; Beyer, Andreas.
   In: Working Paper Series.
   RePEc:ecb:ecbwps:20202365.

   Full description at Econpapers || Download paper

7. A cointegration model of money and wealth. (2019). Assenmacher, Katrin ; Beyer, Andreas ; Assenmacher-Wesche, Katrin .
   In: CFS Working Paper Series.
   RePEc:zbw:cfswop:619.

   Full description at Econpapers || Download paper

8. Searching for a theory that fits the data: A personal research odyssey. (2018). juselius, katarina.
   In: Discussion Papers.
   RePEc:kud:kuiedp:1807.

   Full description at Econpapers || Download paper

9. The cointegrated vector autoregressive model with general deterministic terms. (2018). Nielsen, Morten ; Johansen, Soren.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:202:y:2018:i:2:p:214-229.

   Full description at Econpapers || Download paper

10. A CVAR scenario for a standard monetary model using theory-consistent expectations. (2017). juselius, katarina.
    In: Discussion Papers.
    RePEc:kud:kuiedp:1708.

    Full description at Econpapers || Download paper

11. Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge. (2017). juselius, katarina.
    In: Discussion Papers.
    RePEc:kud:kuiedp:1707.

    Full description at Econpapers || Download paper

12. Short-Term Expectation Formation Versus Long-Term Equilibrium Conditions: The Danish Housing Market. (2017). Hetland, Andreas.
    In: Econometrics.
    RePEc:gam:jecnmx:v:5:y:2017:i:3:p:40-:d:110779.

    Full description at Econpapers || Download paper

13. Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge. (2017). juselius, katarina.
    In: Econometrics.
    RePEc:gam:jecnmx:v:5:y:2017:i:3:p:30-:d:104032.

    Full description at Econpapers || Download paper

14. Modeling Real Exchange Rate Persistence in Chile. (2017). Salazar, Leonardo.
    In: Econometrics.
    RePEc:gam:jecnmx:v:5:y:2017:i:3:p:29-:d:103932.

    Full description at Econpapers || Download paper

15. Likelihood Ratio Tests of Restrictions on Common Trends Loading Matrices in I(2) VAR Systems. (2017). Paruolo, Paolo ; Boswijk, H. Peter.
    In: Econometrics.
    RePEc:gam:jecnmx:v:5:y:2017:i:3:p:28-:d:103006.

    Full description at Econpapers || Download paper

16. The Cointegrated Vector Autoregressive Model With General Deterministic Terms. (2016). Nielsen, Morten ; Johansen, Soren.
    In: Working Paper.
    RePEc:qed:wpaper:1363.

    Full description at Econpapers || Download paper

17. The cointegrated vector autoregressive model with general deterministic terms. (2016). Nielsen, Morten ; Johansen, Soren.
    In: Discussion Papers.
    RePEc:kud:kuiedp:1607.

    Full description at Econpapers || Download paper

18. The cointegrated vector autoregressive model with general deterministic terms. (2016). Nielsen, Morten ; Johansen, Soren.
    In: CREATES Research Papers.
    RePEc:aah:create:2016-22.

    Full description at Econpapers || Download paper

19. Exchange Rate Dynamics and Forecast Errors about Persistently Trending Fundamentals. (2015). Stillwagon, Josh.
    In: Working Papers.
    RePEc:tri:wpaper:1501.

    Full description at Econpapers || Download paper

20. Testing for near I(2) trends when the signal-to-noise ratio is small. (2014). juselius, katarina.
    In: Economics - The Open-Access, Open-Assessment E-Journal.
    RePEc:zbw:ifweej:201421.

    Full description at Econpapers || Download paper

21. Rank and order conditions for identification in simultaneous system of cointegrating equations with integrated variables of order two. (2014). Paruolo, Paolo ; Mosconi, Rocco .
    In: MPRA Paper.
    RePEc:pra:mprapa:53589.

    Full description at Econpapers || Download paper

22. Vector autoregressive models. (2013). tkepohl, Helmut L ; Ltkepohl, Helmut.
    In: Chapters.
    RePEc:elg:eechap:14327_6.

    Full description at Econpapers || Download paper

23. Between cointegration and multicointegration: Modelling time series dynamics by cumulative error correction models. (2013). Scheiblecker, Marcus.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:31:y:2013:i:c:p:511-517.

    Full description at Econpapers || Download paper

24. Modelling Short-run Money Demand for the USA. (2012). Scheiblecker, Marcus.
    In: WIFO Working Papers.
    RePEc:wfo:wpaper:y:2012:i:442.

    Full description at Econpapers || Download paper

25. Between Cointegration and Multicointegration. Modelling Time Series Dynamics by Cumulative Error Correction Models. (2012). Scheiblecker, Marcus.
    In: WIFO Working Papers.
    RePEc:wfo:wpaper:y:2012:i:431.

    Full description at Econpapers || Download paper

26. Econometric Analysis of the Impact of Propensities on Economic Occurrences: A Macroeconomic Perspective. (2012). Mariusz, Doszy .
    In: Folia Oeconomica Stetinensia.
    RePEc:vrs:foeste:v:10:y:2012:i:2:p:138-154:n:1.

    Full description at Econpapers || Download paper

27. Model monetarny kursu równowagi złoty/euro: analiza kointegracyjna. (2011). Wdowiski, Piotr.
    In: Gospodarka Narodowa.
    RePEc:sgh:gosnar:y:2011:i:3:p:67-86.

    Full description at Econpapers || Download paper

28. Vector Autoregressive Models. (2011). Lütkepohl, Helmut ; Luetkepohl, Helmut .
    In: Economics Working Papers.
    RePEc:eui:euiwps:eco2011/30.

    Full description at Econpapers || Download paper

29. Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate. (2010). juselius, katarina ; Johansen, Soren ; Frydman, Roman ; Goldberg, Michael .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:158:y:2010:i:1:p:117-129.

    Full description at Econpapers || Download paper

30. A note on testing parameter constancy in cointegrated vector autoregression: the case of near I(2) processes. (2009). Kurita, Takamitsu.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-09-00083.

    Full description at Econpapers || Download paper

31. A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings. (2009). juselius, katarina ; Johansen, Soren ; Frydman, Roman ; Goldberg, Michael D..
    In: CREATES Research Papers.
    RePEc:aah:create:2009-01.

    Full description at Econpapers || Download paper

32. A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings. (2008). juselius, katarina ; Johansen, Soren ; Goldberg, Michael D. ; Frydman, Roman .
    In: Discussion Papers.
    RePEc:kud:kuiedp:0831.

    Full description at Econpapers || Download paper

33. Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate. (2008). juselius, katarina ; Johansen, Soren ; Frydberg, Roman ; Goldberg, Michael .
    In: CREATES Research Papers.
    RePEc:aah:create:2008-03.

    Full description at Econpapers || Download paper

34. Econometric Analysis with Vector Autoregressive Models. (2007). Lütkepohl, Helmut ; Luetkepohl, Helmut .
    In: Economics Working Papers.
    RePEc:eui:euiwps:eco2007/11.

    Full description at Econpapers || Download paper

35. Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview. (2003). Doornik, Jurgen ; Boswijk, H. Peter.
    In: Economics Papers.
    RePEc:nuf:econwp:0310.

    Full description at Econpapers || Download paper

36. Multicointegration in US Consumption Data. (2003). Siliverstovs, Boriss.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp382.

    Full description at Econpapers || Download paper

Report date: 2025-02-26 11:46:01 || Missing content? Let us know