Cointegration and speed of convergence to equilibrium
- 30 April 1996
- journal article
- Published by Elsevier BV in Journal of Econometrics
- Vol. 71 (1-2), 117-143
- https://doi.org/10.1016/0304-4076(94)01697-6
Abstract
No abstract availableThis publication has 20 references indexed in Scilit:
- Impulse response analysis in nonlinear multivariate modelsJournal of Econometrics, 1996
- Persistence profiles and business cycle fluctuations in a disaggregated model of U.K. output growthRicerche Economiche, 1993
- Nonlinear Dynamic StructuresEconometrica, 1993
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UKJournal of Econometrics, 1992
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive ModelsEconometrica, 1991
- Econometric Evaluation of the Exchange Rate in Models of the UK EconomyThe Economic Journal, 1990
- Statistical analysis of cointegration vectorsJournal of Economic Dynamics and Control, 1988
- Inference in dynamic models containing ‘surprise’ variablesJournal of Econometrics, 1987
- Co-Integration and Error Correction: Representation, Estimation, and TestingEconometrica, 1987
- A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’Journal of Monetary Economics, 1981