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subject:"VAR model"
~isPartOf:"Discussion papers / Department of Economics, University of Copenhagen"
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VAR model
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13
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1
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models
Johansen, Søren
;
Swensen, Anders Rygh
-
2021
Persistent link: https://www.econbiz.de/10012627501
Saved in:
2
Nonstationary cointegration in the fractionally cointegrated VAR model
Johansen, Søren
;
Nielsen, Morten Ørregaard
-
2018
Persistent link: https://www.econbiz.de/10011865936
Saved in:
3
The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren
;
Nielsen, Bent
-
2016
Persistent link: https://www.econbiz.de/10011524568
Saved in:
4
Times series : cointegration
Johansen, Søren
-
2014
Persistent link: https://www.econbiz.de/10010418934
Saved in:
5
Real exchange rate persistence : the case of the Swiss franc-US dollar rate
Jusélius, Katarina
;
Assenmacher-Wesche, Katrin
-
2014
Persistent link: https://www.econbiz.de/10010434067
Saved in:
6
Optimal hedging with the cointegrated vector autoregressive model
Gatarek, Lukasz
;
Johansen, Søren
-
2014
Persistent link: https://www.econbiz.de/10010413752
Saved in:
7
Haavelmo's probability approach and the cointegrated VAR
Jusélius, Katarina
-
2012
Persistent link: https://www.econbiz.de/10009521529
Saved in:
8
Bootstrap determination of the co-integration rank in heteroskedastic VAR models
Cavaliere, Giuseppe
;
Rahbek, Anders
;
Taylor, Robert
-
2012
Persistent link: https://www.econbiz.de/10009614389
Saved in:
9
Imperfect knowledge, asset price swings and structural slumps : a cointegrated VAR analysis of their interdependence
Jusélius, Katarina
-
2010
Persistent link: https://www.econbiz.de/10008688531
Saved in:
10
An invariance property of the common trands under linear transformations of the data
Johansen, Søren
;
Jusélius, Katarina
-
2010
Persistent link: https://www.econbiz.de/10008688532
Saved in:
11
Bootstrap sequential determination of the co-integration rank in VAR-models
Cavaliere, Giuseppe
;
Rahbek, Anders
;
Taylor, Robert
-
2010
Persistent link: https://www.econbiz.de/10003932344
Saved in:
12
An extension of cointegration to fractional autoregressive processes
Johansen, Søren
-
2010
Persistent link: https://www.econbiz.de/10008663021
Saved in:
13
Likelihood inference for a fractionally cointegrated vector autoregressive model
Johansen, Søren
;
Nielsen, Morten Ørregaard
-
2010
Persistent link: https://www.econbiz.de/10003968607
Saved in:
14
On a numerical and graphical technique for evaluating : some models involving rational expectations
Johansen, Søren
;
Swensen, Anders Rygh
-
2009
Persistent link: https://www.econbiz.de/10003836319
Saved in:
15
An I(2) cointegration model with piecewise linear trends : likelihood analysis and application
Kurita, Takamitsu
;
Bohn Nielsen, Heino
;
Rahbek, Anders
-
2009
Persistent link: https://www.econbiz.de/10003859942
Saved in:
16
Malthus in cointegration space : a new look at living standards and population in pre-industrial England
Framroze Møller, Niels
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003746469
Saved in:
17
The PPP puzzle : what the data tell when allowed to speak freely
Jusélius, Katarina
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003603877
Saved in:
18
Testing hypothesis in an I(2) model with applications to the persistent long swings in the Dmk/$ rate
Johansen, Søren
;
Jusélius, Katarina
;
Frydman, Roman
; …
-
2007
Persistent link: https://www.econbiz.de/10003603881
Saved in:
19
Allowing the data to speak freely : the macroeconometrics of the cointegrated vector autoregression
Hoover, Kevin D.
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003603883
Saved in:
20
Some identification problems in the cointegrated vector autoregressive model
Johansen, Søren
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003571199
Saved in:
21
A general representation theorem for integrated vector autoregressive processes
Franchi, Massimo
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003365139
Saved in:
22
Extracting information from the data : a popperian view on empirical macro
Jusélius, Katarina
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10002706132
Saved in:
23
UK money demand 1873 - 2001 : a cointegrated VAR analysis with additive data corrections
Bohn Nielsen, Heino
(
contributor
)
-
2004
Persistent link: https://www.econbiz.de/10002378867
Saved in:
24
Inflation, money growth, and I(2) analysis
Jusélius, Katarina
(
contributor
)
-
2004
Persistent link: https://www.econbiz.de/10002475689
Saved in:
25
Wage, price, and unemployment dynamics and the convergence to purchasing power parity in the Euro area
Jusélius, Katarina
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001721401
Saved in:
26
Likelihood ratio testing for cointegration ranks in I(2) models
Bohn Nielsen, Heino
(
contributor
); …
-
2003
Persistent link: https://www.econbiz.de/10001839976
Saved in:
27
Cointegration analysis in the presence of outliers
Bohn Nielsen, Heino
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001743444
Saved in:
28
Analyzing I(2) systems by transformed vector autoregressions
Kongsted, Hans Christian
(
contributor
); …
-
2002
Persistent link: https://www.econbiz.de/10001716142
Saved in:
29
High inflation, hyperinflation and explosive roots : the case of Yugoslavia
Jusélius, Katarina
(
contributor
); …
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001719829
Saved in:
30
An I(2) cointegration analysis of price and quantity formation in Danish manufactured exports
Bohn Nielsen, Heino
(
contributor
)
-
2001
Persistent link: https://www.econbiz.de/10001592921
Saved in:
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