메뉴 건너뛰기




Volumn 41, Issue 1, 1997, Pages 61-73

Estimating a cointegrating demand system

Author keywords

Conintegration; Demand system; Homogeneity

Indexed keywords


EID: 0002533529     PISSN: 00142921     EISSN: None     Source Type: Journal    
DOI: 10.1016/0014-2921(95)00062-3     Document Type: Article
Times cited : (60)

References (18)
  • 1
    • 0009044923 scopus 로고
    • Estimation and testing when explanatory variables are endogenous
    • Attfield, C.L.F., 1991, Estimation and testing when explanatory variables are endogenous, Journal of Econometrics 48, 395-408.
    • (1991) Journal of Econometrics , vol.48 , pp. 395-408
    • Attfield, C.L.F.1
  • 2
    • 0040963848 scopus 로고
    • A Bartlett adjustment to the likelihood ratio test for a system of equations
    • Attfield, C.L.F., 1995, A Bartlett adjustment to the likelihood ratio test for a system of equations, Journal of Econometrics 66, 207-223.
    • (1995) Journal of Econometrics , vol.66 , pp. 207-223
    • Attfield, C.L.F.1
  • 5
    • 0000013567 scopus 로고
    • Co-integration and error correction: Representation, estimation and testing
    • Engle, Robert F. and C.W.J. Granger, 1987, Co-integration and error correction: Representation, estimation and testing, Econometrica 55, 251-276.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 6
    • 0002340768 scopus 로고
    • The effect of seasonal adjustment filters on tests for a unit root
    • Ghysels, E. and P. Perron, 1993, The effect of seasonal adjustment filters on tests for a unit root, Journal of Econometrics 55, 57-98.
    • (1993) Journal of Econometrics , vol.55 , pp. 57-98
    • Ghysels, E.1    Perron, P.2
  • 9
    • 85011440465 scopus 로고
    • Tests for cointegration: A Monte Carlo comparison
    • forthcoming
    • Haug, A.A., 1995, Tests for cointegration: A Monte Carlo comparison, Journal of Econometrics, forthcoming.
    • (1995) Journal of Econometrics
    • Haug, A.A.1
  • 10
    • 0000706085 scopus 로고
    • A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, W. and K.D. West, 1987, A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.1    West, K.D.2
  • 12
    • 0012867024 scopus 로고
    • The exact distribution of the Wald statistic
    • Phillips, P.C.B., 1986, The exact distribution of the Wald statistic, Econometrica 54, 881-895.
    • (1986) Econometrica , vol.54 , pp. 881-895
    • Phillips, P.C.B.1
  • 13
    • 0000880923 scopus 로고
    • Optimal inference in cointegrated systems
    • Phillips, P.C.B., 1991, Optimal inference in cointegrated systems, Econometrica 59, 283-306.
    • (1991) Econometrica , vol.59 , pp. 283-306
    • Phillips, P.C.B.1
  • 14
    • 0002028631 scopus 로고
    • Some exact distribution theory for maximum likelihood estimators of cointegrating coefficients in error correction models
    • Phillips, P.C.B., 1994, Some exact distribution theory for maximum likelihood estimators of cointegrating coefficients in error correction models, Econometrica 62, 73-93.
    • (1994) Econometrica , vol.62 , pp. 73-93
    • Phillips, P.C.B.1
  • 15
    • 0000784320 scopus 로고
    • Asymptotic properties of residual based tests for cointegration
    • Phillips, P.C.B. and S. Ouliaris, 1990, Asymptotic properties of residual based tests for cointegration, Econometrica 58, 165-193.
    • (1990) Econometrica , vol.58 , pp. 165-193
    • Phillips, P.C.B.1    Ouliaris, S.2
  • 16
    • 77956888124 scopus 로고
    • Testing for a unit root in time series regression
    • Phillips, P.C.B. and P. Perron, 1988, Testing for a unit root in time series regression, Biometrika 75, 335-346.
    • (1988) Biometrika , vol.75 , pp. 335-346
    • Phillips, P.C.B.1    Perron, P.2
  • 17
    • 0000769775 scopus 로고
    • Asymptotic properties of least squares estimators of cointegrating vectors
    • Stock, James H., 1987, Asymptotic properties of least squares estimators of cointegrating vectors, Econometrica 55, 1035-1056.
    • (1987) Econometrica , vol.55 , pp. 1035-1056
    • Stock James, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.