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Structural analysis of vector error correction models with exogenous I (1) variables
Pesaran, M. Hashem; Shin, Yongcheol; Smith, Richard J. - In: Journal of econometrics 97 (2000) 2, pp. 293-343
Persistent link: https://www.econbiz.de/10001496593
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Long run macroeconomic relations in the global economy
Dées, Stéphane; Holly, Sean; Pesaran, M. Hashem; … - 2007
This paper presents tests of long run macroeconomic relations involving interest rates, equity, prices and exchange rates suggested by arbitrage in financial and goods markets. It uses the global vector autoregressive (GVAR) model to test for long run restrictions in each country/region...
Persistent link: https://www.econbiz.de/10003468236
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Long run macroeconomic relations in the global economy
Dées, Stéphane; Holly, Sean; Pesaran, M. Hashem; … - 2007
This paper focuses on testing long run macroeconomic relations for interest rates, equity, prices and exchange rates suggested by arbitrage in financial and goods markets. It uses the global vector autoregressive (GVAR) model to test for long run restrictions in each country/region conditioning...
Persistent link: https://www.econbiz.de/10003472990
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Long run macroeconomic relations in the global economy
Dées, Stéphane; Holly, Sean; Pesaran, M. Hashem; … - 2007
Persistent link: https://www.econbiz.de/10003463159
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Long run macroeconomic relations in the global economy
Dées, Stéphane; Holly, Sean; Pesaran, M. Hashem; … - 2007
This paper focuses on testing long run macroeconomic relations for interest rates, equity, prices and exchange rates within a model of the global economy. It considers a number of plausible long run relationships suggested by arbitrage in financial and goods markets, and uses the global vector...
Persistent link: https://www.econbiz.de/10003625887
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Long run macroeconomic relations in the global economy
Holly, Sean (contributor); Pesaran, M. Hashem (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003565786
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Long Run Macroeconomic Relations in the Global Economy
Dees, Stephane; Holly, Sean; Pesaran, M. Hashem; Smith, … - 2011
This paper focuses on testing long run macroeconomic relations for interest rates, equity, prices and exchange rates within a model of the global economy. It considers a number of plausible long run relationships suggested by arbitrage in financial and goods markets, and uses the global vector...
Persistent link: https://www.econbiz.de/10014048990
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Long Run Macroeconomic Relations in the Global Economy
Pesaran, M. Hashem - 2011
This paper presents tests of long run macroeconomic relations involving interest rates, equity, prices and exchange rates suggested by arbitrage in financial and goods markets. It uses the global vector autoregressive (GVAR) model to test for long run restrictions in each country/region...
Persistent link: https://www.econbiz.de/10013132792
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Estimation and inference in short panel vector autoregressions with unit roots and cointegration
Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - 2000
This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time … derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that …) estimation as an alternative to our proposed ML estimator, it is shown that conventional GMM estimators based on standard …
Persistent link: https://www.econbiz.de/10009786715
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Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration
Pesaran, M. Hashem; Binder, Michael; Hsiao, Cheng - 2021
This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time … derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that …) estimation as an alternative to our proposed ML estimator, it is shown that conventional GMM estimators based on standard …
Persistent link: https://www.econbiz.de/10013321199