Impact factors

Journal of Econometrics

Volumn 128, Issue 1, 2005, Pages 31-68

  Omtzigt, Pieter ^a   Paruolo, Paolo ^b  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

^b UNIVERSITY OF INSUBRIA   (Italy)

Author keywords

(Generalized) Impulse Responses; Cointegration; Dynamic multipliers; Forecasting; I(1); I(2); Sensitivity; VAR

Indexed keywords

ECONOMICS; FORECASTING; IMPULSE RESPONSE; INFORMATION ANALYSIS; MATHEMATICAL MODELS; PERTURBATION TECHNIQUES; SENSITIVITY ANALYSIS; TIME SERIES ANALYSIS;

COINTEGRATION; DYNAMIC MULTIPLIERS; IMPACT FACTOR (IF); IMPULSE RESPONSES; VAR PROCESSES;

PREDICTIVE CONTROL SYSTEMS;

EID: 21744436523     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2004.08.007     Document Type: Article

References (35)

1. G. Amisano, and C. Giannini Topics in Structural VAR Econometrics second ed 1997 Springer Berlin
2. D.W.K. Andrews Tests for parameter instability and structural change with unknown change points Econometrica 61 1993 821 856
3. D.W.K. Andrews Tests for parameter instability and structural change with unknown change points a correction Econometrica 71 2003 395 397
4. A. Banerjee, L. Cockeress, and B. Russell An I(2) analysis of inflation and the markup Journal of Applied Econometrics 16 2001 221 240
5. A.N. Banerjee, and J. Magnus The sensitivity of OLS when the variance matrix is (partially) unknown Journal of Econometrics 92 1999 295 323
6. A.N. Banerjee, and J. Magnus On the sensitivity of the usual t- and F-tests to covariance mis-specification Journal of Econometrics 95 2000 157 176
7. C. Bedini, and R. Mosconi New tools for the dynamic analysis of cointegrated VAR models. Mimeo, Department of Economics and Production 2000 Politecnico di Milano Italy
8. M.P. Clements, and D.F. Hendry A Companion to Economic Forecasting 2002 Blackwell Oxford
9. Doornik, J.A., 1996. Testing vector autocorrelation and heteroscedasticity, working paper. Nuffield College, Oxford, available at http://www.nuff.ox.ac.uk/Users/Doornik/papers/.
10. Doornik, J.A., Hansen, H., 1994. An omnibus test for univariate and multivariate normality, working paper, Nuffield College, Oxford, available at http://www.nuff.ox.ac.uk/Users/Doornik/papers/.
11. A. Estrella Critical values and p values of Bessel Process Distributions computation and an application to structural break tests Econometric Theory 19 2003 1128 1143
12. M. Faliva, and M.G. Zoia On a partitioned inversion formula having useful applications in econometrics Econometric Theory 18 2002 525 530
13. Gourerioux, C., Monfort, A., 1995. Statistics and Econometric Models, vol. 1. Cambridge University Press, Cambridge.
14. D.F. Hendry Dynamic Econometrics 1995 Oxford University Press Oxford
15. Hoffmann-Jørgensen, J., 1994. Probability With a View Toward Statistics, vol. II. Chapman and Hall Probability Series, New York.
16. S. Johansen A representation of vector autoregressive processes integrated of Order 2 Econometric Theory 8 1992 188 202
17. S. Johansen A statistical analysis of cointegration for I(2) variables Econometric Theory 11 1995 25 59
18. S. Johansen Likelihood-based Inference in Cointegrated Vector Autoregressive Models, second printing 1996 Oxford University Press Oxford
19. S. Johansen A likelihood analysis of the I(2) mode Scandinavian Journal of Statistics 24 1997 433 462
20. Johansen, S., 2002. Statistical analysis of hypotheses on the cointegrating relations in the I(2) model, University of Copenhagen. Preprint 13/2002, available at http://www.math.ku.dk/ ∼ sjo, forthcoming Journal of Econometrics.
21. T. Kailath Linear Systems 1980 Prentice-Hall Englewood Cliffs
22. Kongsted, H.C., 2002. Testing the nominal-to-real transformation, discussion papers 02/06, University of Copenhagen Institute of Economics, available at http://www.econ.ku.dk/wpa/.
23. H.C. Kongsted An I(2) cointegration analysis of small country import price determination The Econometrics Journal 6 2003 53 71
24. G. Koop, M.H. Pesaran, and S.M. Potter Impulse response analysis in nonlinear multivariate models Journal of Econometrics 74 1996 119 147
25. H. Lütkepohl Introduction to Multiple Time Series Analysis 1991 Springer Berlin
26. Omtzigt, P., 2003. Topics in cointegration analysis. PhD Thesis, European University Institute, Florence.
27. P. Paruolo On the determination of integration indices in I(2) systems Journal of Econometrics 72 1996 313 356
28. P. Paruolo Asymptotic inference on the moving average impact matrix in cointegrated I(1) VAR systems Econometric Theory 13 1997 79 118
29. Paruolo, P., 1997b. Standard errors for the long-run variance matrix. Econometric Theory 13, Problem 97.1.1, 305, Econometric Theory 14, Solution 97.1.1, 152-153.
30. P. Paruolo Asymptotic efficiency of the two stage estimator in I(2) systems Econometric Theory 16 2000 524 550
31. P. Paruolo Asymptotic inference on the moving average impact matrix in cointegrated I(2) VAR systems Econometric Theory 18 2002 673 690
32. P. Paruolo, and A. Rahbek Weak exogeneity in I(2) VAR systems Journal of Econometrics 93 1999 281 308
33. H.H. Pesaran, and Y. Shin Generalized impulse response analysis in linear multivariate models Economics Letters 58 1998 17 29
34. P.C.B. Phillips Impulse response and forecast error variance asymptotics in nonstationary VARs Journal of Econometrics 83 1998 21 56
35. A. Rahbek, H.C. Kongsted, and C. Jørgensen Trend-stationarity in the I(2) cointegration model Journal of Econometrics 90 1999 265 289