Cointegration and speed of convergence to equilibrium

Journal of Econometrics

Volumn 71, Issue 1-2, 1996, Pages 117-143

  Pesaran, M Hashem ^a   Shin, Yongcheol ^b  

^a TRINITY COLLEGE   (United Kingdom)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

Cointegration; Impulse response functions; Persistence profiles; Speed of convergence

Indexed keywords

EID: 0001283214     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(94)01697-6     Document Type: Article

References (32)

1. Baillie, R.T., 1987, Inference in dynamic models containing 'surprise variables', Journal of Econometrics 35, 101-117.
2. Beveridge, S. and C.R. Nelson, 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.
3. Blanchard, O. and D. Quah, 1989, The dynamic effects of aggregate demand and supply disturbances, American Economic Review 79, 655-673.
4. Canova, F., 1995, Vector autoregressive models: specification, estimation, inference and forecasting, in: M.H. Pesaran and M. Wickens, eds., Handbook of applied econometrics, Vol. 1 (Basil Blackwell, Oxford).
5. Engle, R.F. and C.W.J. Granger, 1987, Cointegration and error correction representation: Estimation and testing, Econometrica, 55, 251-276.
6. Engle, R.F. and C.W.J. Granger, 1991, Long-run economic relationships (Oxford University Press, Oxford).
7. Fisher, P.G., S.K. Tanna, D.S. Turner, K.F. Wallis, and J.D. Whitley, 1990, Econometric evaluation of the exchange rate in models of the UK economy, Economic Journal 100, 1230-1244.
8. Gallant, A.R., P.E. Rossi, and G. Tauchen, 1993, Nonlinear dynamic structures, Econometrica 61, 871-907.
9. Hansen, L.P. and T.J. Sargent, 1991, Rational expectations econometrics (Westview Press, Boulder, CT) 67-71.
10. Hall, P., 1988, The bootstrap and Edgeworth expansion (Springer-Verlag, New York, NY).
11. Johansen, S., 1988. Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control 12, 231-254.
12. Johansen, S., 1991, Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models, Econometrica 59, 1551-1580.
13. Johansen, S., 1992, Identifying restrictions of linear equations, Preprint (Institute of Mathematical Statistics, University of Copenhagen).
14. Johansen, S. and K. Juselius, 1992, Testing structural hypotheses in a multivariate cointegration analysis of the PPP and UIP for UK, Journal of Econometrics 53, 211-244.
15. Keynes, J.M., 1923, A tract on monetary reform (MacMillan, London).
16. King, R.G., C.I. Plosser, J.H. Stock, and M.W. Watson, 1991, Stochastic trends and economic fluctuations, American Economic Review 81, 819-840.
17. Koop, G., M.H. Pesaran, and S. Potter, 1996, Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, forthcoming.
18. Lee, K.C. and M.H. Pesaran, 1993, Persistence profiles and business cycle fluctuations in a disaggregated model of UK output growth, Richerche Economiche 47, 293-322.
19. Lee, K.C., M.H. Pesaran, and R.G. Pierse, 1992. Persistence of shocks and its sources in a multisectoral model of UK output growth, Economic Journal 102, 342-356.
20. Lütkepohl, H., 1991, Introduction to multiple time series analysis (Springer-Verlag, New York, NY).
21. Lütkepohl, H. and H.E. Reimers, 1992, Impulse response analysis of cointegrated systems, Journal of Economic Dynamics and Control 16, 53-78.
22. Magnus. J.R. and H. Neudecker, 1988, Matrix differential calculus with applications in statistics and economics (Wiley, New York, NY).
23. Mellander, E., A. Vredin, and A. Warne, 1992, Stochastic trends and economic fluctuations in a small open economy, Journal of Applied Econometrics 7, 369-394.
24. Pesaran, M.H. and Y. Shin, 1994, Long-run structural modelling, DAE working paper 9411 (University of Cambridge, Cambridge).
25. Pesaran, M.H. and R. Smith, 1995, The role of theory in econometrics, Journal of Econometrics 67, 61-79.
26. Pesaran, M.H., R.G. Pierse, and K.C. Lee, 1993, Persistence, cointegration and aggregation: A disaggregated analysis of output fluctuations in the U.S. economy. Journal of Econometrics 56, 57-88.
27. Phillips, P.C.B., 1991, Optimal inference in cointegrated systems, Econometrica 59, 283-306.
28. Phillips, P.C.B. and S. Durlauf, 1986, Multiple time series with integrated variables, Review of Economic Studies 53, 473-496.
29. Saikkonen, P., 1993, Estimation of cointegration vectors with linear restrictions. Econometric Theory 9, 19-35.
30. Sims C., 1980, Macroeconomics and reality, Econometrica 48, 1-48.
31. Stock, J.H., 1987, Asymptotic properties of least squares estimators of cointegrating vectors, Econometrica 55, 1035-56.
32. Watson, M.W., 1994, Vector autoregressions and cointegration, in: R.F. Engle and D. McFadden eds., Handbook of econometrics, Vol. 4 (North-Holland, Amsterdam) forthcoming.