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Volumn 62, Issue 4, 2000, Pages 511-532

Permanent-transitory decomposition in var models with cointegration and common cycles

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Indexed keywords


EID: 0034400139     PISSN: 03059049     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0084.00185     Document Type: Article
Times cited : (34)

References (25)
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    • Ahn, S. K. (1997). Inference of Vector Autoregressive Models With Cointegration and Scalar Components, Journal of the American Statistical Association, Vol. 92, pp. 350-356.
    • (1997) Journal of the American Statistical Association , vol.92 , pp. 350-356
    • Ahn, S.K.1
  • 2
    • 0000304386 scopus 로고
    • Nested reduced rank autoregressive models for multiple time series
    • Ahn, S. K. and Reinsel, G. C. (1988). Nested Reduced Rank Autoregressive Models for Multiple Time Series, Journal of the American Statistical Association, Vol. 83, pp. 849-56.
    • (1988) Journal of the American Statistical Association , vol.83 , pp. 849-856
    • Ahn, S.K.1    Reinsel, G.C.2
  • 3
    • 0032728716 scopus 로고    scopus 로고
    • Common serial correlation and common business cycles: A cautious note
    • Cubadda, G. (1999). Common Serial Correlation and Common Business Cycles: A Cautious Note, Empirical Economics, Vol. 24, pp. 529-35.
    • (1999) Empirical Economics , vol.24 , pp. 529-535
    • Cubadda, G.1
  • 7
    • 84952524237 scopus 로고
    • Estimation of common long-memory components in cointegrated systems
    • Gonzalo, J. and Granger, C. W. J. (1995). Estimation of Common Long-Memory Components in Cointegrated Systems, Journal of Business and Economics Statistics, Vol. 33, pp. 27-35.
    • (1995) Journal of Business and Economics Statistics , vol.33 , pp. 27-35
    • Gonzalo, J.1    Granger, C.W.J.2
  • 13
    • 0002653201 scopus 로고
    • Common stochastic trends in international stock markets
    • Kasa, K. (1992). Common Stochastic Trends in International Stock Markets, Journal of Monetary Economics, Vol. 29, pp. 95-124.
    • (1992) Journal of Monetary Economics , vol.29 , pp. 95-124
    • Kasa, K.1
  • 16
  • 17
    • 84986397972 scopus 로고
    • Stochastic trends and economic fluctuations in small open economy
    • Mellander, E., Vredin, A. and Warne, A. (1992). Stochastic Trends and Economic Fluctuations in Small Open Economy, Journal of Applied Econometrics, Vol. 7, pp. 369-94.
    • (1992) Journal of Applied Econometrics , vol.7 , pp. 369-394
    • Mellander, E.1    Vredin, A.2    Warne, A.3
  • 18
    • 0002705407 scopus 로고
    • Testing the long-run implications of the neoclassical growth model
    • Neusser, K. (1991). Testing the Long-Run Implications of the Neoclassical Growth Model, Journal of Monetary Economics, Vol. 27, pp. 3-37.
    • (1991) Journal of Monetary Economics , vol.27 , pp. 3-37
    • Neusser, K.1
  • 19
    • 0031521967 scopus 로고    scopus 로고
    • Short run dynamics in cointegrated systems
    • Proietti, T. (1997). Short Run Dynamics in Cointegrated Systems, BULLETIN, Vol. 59, pp. 405-22.
    • (1997) BULLETIN , vol.59 , pp. 405-422
    • Proietti, T.1
  • 20
    • 0000230255 scopus 로고
    • The relative importance of permanent and transitory components: Identification and some theoretical bounds
    • Quah, D. (1992). The Relative Importance of Permanent and Transitory Components: Identification and some Theoretical Bounds, Econometrica, Vol. 60, pp. 107-18.
    • (1992) Econometrica , vol.60 , pp. 107-118
    • Quah, D.1
  • 21
    • 84981477914 scopus 로고
    • Vector autoregressive models with unit roots and reduced rank structure: Estimation, likelihood ratio tests, and forecasting
    • Reinsel, G. C. and Ahn, S. K. (1992). Vector Autoregressive Models with Unit Roots and Reduced Rank Structure: Estimation, Likelihood Ratio Tests, and Forecasting, Journal of Time Series Analysis, Vol. 13, pp. 353-75.
    • (1992) Journal of Time Series Analysis , vol.13 , pp. 353-375
    • Reinsel, G.C.1    Ahn, S.K.2
  • 25
    • 0000616445 scopus 로고
    • Reduced rank models for multivariate time series
    • Velu, R. P., Reinsel, G. C. and Wichern, D. W. (1986). Reduced Rank Models for Multivariate Time Series, Biometrika, Vol. 73, pp. 105-18.
    • (1986) Biometrika , vol.73 , pp. 105-118
    • Velu, R.P.1    Reinsel, G.C.2    Wichern, D.W.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.