Applied cointegration analysis in the mirror of macroeconomic theory

Journal of Applied Econometrics

Volumn 11, Issue 4, 1996, Pages 363-381

  Söderlind, Paul ^a  

^a STOCKHOLM SCHOOL OF ECONOMICS   (Sweden)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 21344444971     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/(sici)1099-1255(199607)11:4<363::aid-jae402>3.3.co;2-%23     Document Type: Article

References (10)

1. Burda, M. and C. Wyplosz (1993), Macroeconomics - a European Test, Oxford University Press, Oxford.
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3. Blanchard, O. J. and D. Quah (1989), "The dynamic effects of aggregate demand and supply disturbances', American Economic Review, 79, 655-673.
4. Campbell, J. Y. (1987), 'Does saving anticipate declining labor income? An alternative test of the permanent income hypothesis', Econometrica, 55, 1249-1273.
5. Cheung, Y.-W. and K. S. Lai (1993), 'Finite-sample sizes of Johansen's likelihood ratio tests for cointegration", Oxford Bulletin of Economics and Statistics, 55, 313-328.
6. Clements, M. P. and D. F. Hendry (1993), 'On the limitations of comparing mean square forecast errors', Journal of Forecasting, 12, 617-637.
7. Söderlind, P. (1994b), 'Cyclical properties of a real business cycle model', Journal of Applied Econometrics, 9, S113-S122.
8. Stock, J. H. and M. W. Watson (1988), 'Testing for common trends', Journal of the American Statistical Association,83, 1097-1107.
9. Stock, J. H. and M. W. Watson (1993), 'A simple estimator of cointegrating vectors in higher order integrated systems', Econometrica, 61, 783-820.
10. Wickens, M. (1993), 'Interpreting cointegrating vectors and common stochastic trends', Discussion Paper No. DP 14-93, Center for Economic Forecasting, London Business School.