EXPLORING EQUILIBRIUM RELATIONSHIPS IN ECONOMETRICS THROUGH STATIC MODELS: SOME MONTE CARLO EVIDENCE<sup>*</sup>

Oxford Bulletin of Economics and Statistics - Tập 48 Số 3 - Trang 253-277 - 1986
Anindya Banerjee1, Juan J. Dolado1, David F. Hendry1, Gregor W. Smith1
1#N#Nuffield College, Oxford#N#

Tóm tắt

Từ khóa


Tài liệu tham khảo

10.1214/aoms/1177706198

Anderson T. W., 1971, The Statistical Analysis of Time Series

Banerjee A. Dolado J. Hendry D. F.andSmith G. W.(1986).‘Tests of the LC/PI Hypothesis in the Presence of Random Walks’ (Nuffield College) Manuscript.

Bhargava A.(1983).‘On the Theory of Testing for Unit Roots in Observed Time Series’ LSE: ICERD No. 67.

10.2307/2231972

10.1016/0014-2921(81)90058-1

Dickey D. A., 1979, ‘Distributions of the Estimators for Autoregressive Time Series with a Unit Root’, Journal of American Statistical Association, 74, 427

10.2307/1912517

10.2307/1911521

10.2307/1910998

Fuller W. A., 1976, Introduction to Statistical Time Series

10.1016/0304-4076(81)90079-8

Granger C. W. J.(1983).‘Cointegrated Variables and Error Correcting Models’ UCSD Discussion Paper 83‐13a.

10.1016/0304-4076(74)90034-7

Granger C. W. J.andWeiss A. A.(1983).‘Time Series Analysis of Error Correcting Models’ UCSD Discussion Paper 82‐28.

Granger C. W. J.andEngle R. F.(1985).‘Dynamic Model Specification with Equilibrium Constraints: Cointegration and Error Correction’ UCSD mimeo.

10.1086/260724

10.1016/0014-2921(81)90059-3

10.1002/9780470316429

10.2307/2232053

Hendry D. F.(1983).‘An Expository Note on Cointegrability and Testing the Existence of Equilibrium Relationships’ Nuffield College Oxford mimeo.

Hendry D. F., 1984, Handbook of Econometrics, 937, 10.1016/S1573-4412(84)02008-0

Lucas R. E.,, 1980, ‘Two Illustrations of the Quantity Theory of Money’, American Economic Review, 70, 1005

Mankiw N. G.andShapiro M. D.(1985a).‘Do We Reject Too Often? Small Sample Properties of Tests of Rational Expectations Models’ Harvard Institute of Economic Research Discussion Paper No. 1191 andEconomics Letters Vol.20 1986 in Press.

10.1016/0304-3932(85)90028-5

10.1016/0304-3932(84)90023-0

Molinas C.(1986).‘A Note on Spurious Regressions with Integrated Moving Average Errors’ (this issue).

Phillips P. C. B.(1985a).‘Time Series Regression with Unit Roots’ Cowles Foundation D.P. 740.

Phillips P. C. B.(1985b).‘Understanding Spurious Regressions in Econometrics’ Cowles Foundation D.P. 757.

Phillips P. C. B.(1985c).‘Asymptotic Expansions in Nonstationary Vector Autoregressions’ Cowles Foundation D.P. 765.

Phillips P. C. B.andDurlauf S. N.(1985).‘Multiple Time Series Regression with Integrated Processes’ Cowles Foundation D.P. 768.

Rothenberg T. J., 1984, Handbook of Econometrics, 882

Sargan J. D., 1964, Econometric Analysis for National Economic Planning

10.2307/1912252

Stock J. H.(1984).‘Asymptotic Properties of a Least Squares Estimator of Cointegrating Vectors’ Harvard University mimeo.

Summers L. H., 1983, Macroeconomics, Prices, and Quantities, 201

Summers L. H.(1984).‘Estimating the Long‐Run Relationship Between Interest Rates and Inflation: A Response to McCallum’ Harvard Institute of Economic Research D. P. 1097.

10.2307/1912934

White H., 1984, Asymptotic Theory for Econometricians

10.1214/aoms/1177706450

10.1214/aoms/1177706213

Whiteman C. H., 1984, ‘Lucas on the Quantity Theory: Hypothesis Testing without Theory’, American Economic Review, 74, 742

Working H., 1934, ‘A Random Difference Series for Use in the Analysis of Time Series’, JASA, 29, 11, 10.1080/01621459.1934.10502683

10.2307/2341482