Malcolm. The theory and practice of cointegration analysis in rats

Journal of Economic Surveys

Volumn 14, Issue 3, 2000, Pages 359-371

  Oxley, Les ^a  

^a UNIVERSITY OF WAIKATO   (New Zealand)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33744529675     PISSN: 09500804     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-6419.00114     Document Type: Article

References (14)

1. Amisano, G., Cesura, M., Giannini, C. and Seghelini, M. (1997) The transmission mechanism among Italian interest rates. Statistica, 57, 465-97.
2. Blanchard, O.J. (1989) A traditional interpretation of macro-economic fluctuations. American Economic Review, 79, 1146-1164.
3. Blanchard, O. J. and Quah, D. (1989) The dynamic effect of aggregate demand and supply disturbances. American Economic Review, 79, 1146-1164.
4. Engle, R. and Granger, C. W. J. (1987) Co-integration and error correction: Representation, estimation and testing. Econometrica, 55, 251-76.
5. Giannini, C., Lanzarotti, A. and Seghelini, M. (1995) A traditional interpretation of macroeconomic fluctuations: The case of Italy. European Journal of Political Economy, 11, 131-155.
6. Hansen, H. and Johansen, S. (1993) Recursice estimation of cointegrated VAR-models. University of Copenhagen, Institute of Mathematical Studies, preprint 1993-1.
7. Johansen, S. (1991) Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59, 1551-1580.
8. McAleer, M. and Oxley, L. (1998) MICROFIT 4.0 for Windows, Economic Journal, 1935-1947.
9. McAleer, M. and Oxley, L. (1999) Practical Issues in Cointegration Analysis. Oxford: Blackwell.
10. Mosconi, R. (1998) MALCOLM (MAximum Likelihood CQiiilegration analysis in Linear Models) The theory and practice of cointegration analysis'in RATS. Venezia: Libreria Editrice Cafoscarina.
11. Pesaran. M.H. and Pesaran, B. (1997) Working with Microfit 4.0: Interactive econometric analysis. Oxford: Oxford University Press.
12. Reimers, H. (1993) Lag order determination in cointegrated VAR systems with application to small German macro-models. Paper presented at ESEM '93, Uppsala, August 1993.
13. Smith, J. (1995) Gauss 3.2 and Coint 2.0. Journal of Economic Surveys, 483-101.
14. Sparks, G. (1999) Economteric Views 3.1. Journal of Economic Surveys, 483-490.