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Structural FECM : cointegration in large‐scale structural FAVAR models
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - In: Journal of applied econometrics 32 (2017) 6, pp. 1069-1086
Persistent link: https://www.econbiz.de/10011862314
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Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.; Nielsen, Morten Ørregaard - In: Journal of applied econometrics 29 (2014) 1, pp. 161-171
Persistent link: https://www.econbiz.de/10010414227
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Distribution approximations for cointegration tests with stationary exogenous regressors
Boswijk, Herman Peter; Doornik, Jurgen A. - In: Journal of applied econometrics 20 (2005) 6, pp. 797-810
Persistent link: https://www.econbiz.de/10003168945
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Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy
Jochmann, Markus; Koop, Gary; Leon-Gonzalez, Roberto; … - In: Journal of applied econometrics 28 (2013) 1, pp. 62-81
Persistent link: https://www.econbiz.de/10009733363
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Adaptive estimation of cointegrated models : simulation evidence and an application to the forward exchange market
Hodgson, Douglas J. - In: Journal of applied econometrics 14 (1999) 6, pp. 627-650
Persistent link: https://www.econbiz.de/10001440633
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Persistence of shocks on seasonal processes
Proietti, Tommaso - In: Journal of applied econometrics 11 (1996) 4, pp. 383-398
Persistent link: https://www.econbiz.de/10001202517
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Estimating shocks and impulse response functions
Wickens, Michael R.; Motto, Roberto - In: Journal of applied econometrics 16 (2001) 3, pp. 371-387
Persistent link: https://www.econbiz.de/10001592352
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Identifying factor-augmented vector autoregression models via changes in shock variances
Yamamoto, Yohei; Hara, Naoko - In: Journal of applied econometrics 37 (2022) 4, pp. 722-745
Persistent link: https://www.econbiz.de/10013332683
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Statistically identified structural VAR model with potentially skewed and fat-tailed errors
Anttonen, Jetro; Lanne, Markku; Luoto, Jani - In: Journal of applied econometrics 39 (2024) 3, pp. 422-437
Persistent link: https://www.econbiz.de/10014517491
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International evidence on the efficacy of new-Keynesian models of inflation persistence
Korenok, Oleg; Radchenko, Stanislav; Swanson, Norman R. - In: Journal of applied econometrics 25 (2010) 1, pp. 31-54
Persistent link: https://www.econbiz.de/10008666817