@Article{RePEc-bla-jecsur-v-5-y-1991-i-1-p-97-128,
author = {Alogoskoufis, G and Smith, R},
title = {On Error Correction Models: Specification, Interpretation, Estimation},
year = {1991},
URL = {http://ideas.repec.org/a/bla/jecsur/v5y1991i1p97-128.html},
journal = {Journal of Economic Surveys},
volume = {5},
number = {1},
pages = {97-128}
}
@Book{BaardsenEtAl2005,
author = {B{\aa}rdsen, G and Eitrheim, {\O} and Jansen, E.S and Nymoen, R},
title = {The Econometrics of Macroeconomic Modelling},
year = {2005},
publisher = {Oxford University Press}
}
@Book{ChiangWainwright2005,
author = {Chiang, A.C and Wainwright, K},
title = {Fundamental Methods of Mathematical Economics},
year = {2005},
publisher = {McGraw-Hill},
number = {Fourth ed}
}
@Book{DennisEtAl2006,
author = {Dennis, J. G and Hansen, H and Juselius, K},
title = {CATS in RATS. Cointegration Analysis of Time Series},
year = {2006},
publisher = {Evanston, Illinois, USA: Estima},
volume = {Version 2}
}
@Article{RePEc-ecm-emetrp-v-55-y-1987-i-2-p-251-76,
author = {Engle, R.F and Granger, C.W.J},
title = {Co-integration and Error Correction: Representation, Estimation, and Testing},
year = {1987},
URL = {http://econpapers.repec.org/RePEc:ecm:emetrp:v:55:y:1987:i:2:p:251-76},
abstract = {The relationship between cointegration and error correction models, first suggested by Granger, is here extended and used to develop estimation procedures, tests, and empirical examples. A vector of time series is said to be cointegrated with cointegrating vector a if each element is stationary only after differencing while linear combinations a8xt are themselves stationary. A representation theorem connects the moving average , autoregressive, and error correction representations for cointegrated systems. A simple but asymptotically efficient two-step estimator is proposed and applied. Tests for cointegration are suggested and examined by Monte Carlo simulation. A series of examples are presented. Copyright 1987 by The Econometric Society.},
journal = {Econometrica},
volume = {55},
number = {2},
pages = {251-76}
}
@Article{EngleEtAl1983,
author = {Engle, R.F and Hendry, D. F and Richard, J.-F},
title = {Exogeneity},
year = {1983},
URL = {http://ideas.repec.org/a/ecm/emetrp/v51y1983i2p277-304.html},
journal = {Econometrica},
volume = {5},
number = {2},
pages = {277-304}
}
@Article{EricssonEtAl1998,
author = {Ericsson, N.R and Hendry, D.F and Mizon, G.E},
title = {Exogeneity, Cointegration, and Economic Policy Analysis},
year = {1998},
URL = {http://www.jstor.org/pss/1392607},
journal = {Journal of Business and Economic Statistics},
volume = {16},
number = {4},
pages = {370-387}
}
@Techreport{RePEc-nbr-nberwo-7551,
author = {Gali, J and Gertler, M},
title = {Inflation Dynamics: A Structural Econometric Analysis},
year = {2000},
month = {Feb},
URL = {http://ideas.repec.org/p/nbr/nberwo/7551.html},
institution = {National Bureau of Economic Research, Inc},
publication\_type = {type},
number = {7551}
}
@Article{Granger1981,
author = {Granger, C.W.J},
title = {Some Properties of Time Series Data and Their Use in Econometric Model Specification},
year = {1981},
URL = {http://ideas.repec.org/a/eee/econom/v16y1981i1p121-130.html},
journal = {Journal of Econometrics},
volume = {16},
number = {1},
pages = {121-130}
}
@Book{Hendry1995,
author = {Hendry, D.F},
title = {Dynamic Econometrics},
year = {1995},
publisher = {Oxford University Press}
}
@Techreport{HooverEtAl2007,
author = {Hoover, K and Juselius, K and Johansen, S},
title = {Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression},
year = {2007},
URL = {http://ideas.repec.org/p/kud/kuiedp/0735.html},
institution = {University of Copenhagen},
publication\_type = {type},
number = {07-35}
}
@Incollection{Intriligator1983,
author = {Intriligator, M.D},
title = {Economic and Econometric Models},
year = {1983},
URL = {http://ideas.repec.org/h/eee/ecochp/1-03.html},
booktitle = {Handbook of Econometrics},
editor = {Z. Griliches and M.D. Intriligator},
volume = {1},
publication\_type = {type},
publisher = {Elsevier},
chapter = {3},
pages = {181-221}
}
@Incollection{Johansen2006,
author = {Johansen, S},
title = {Confronting the Economic Model with the Data},
year = {2006},
booktitle = {Post Walrasian Macroeconomics: Beyond the Dynamic Stochastic General Equilibrium Model},
editor = {D. Colander},
volume = {Volume 1},
publication\_type = {type},
publisher = {Cambridge University Press},
chapter = {Chapter 15},
pages = {287-300}
}
@Book{Johansen1996,
author = {Johansen, S},
title = {Likelihood-Based Inference in Cointegrated Vector Autoregressive Models},
year = {1996},
publisher = {Oxford University Press},
address = {Oxford}
}
@Article{Johansen2006a,
author = {Johansen, S},
title = {Interpretation of Cointegrating Coefficients in the Cointegrated Vector Autoregressive Model},
year = {2006},
URL = {http://ideas.repec.org/a/bla/obuest/v67y2005i1p93-104.html},
journal = {Oxford Bulletin of Economics and Statistics},
volume = {67},
number = {1},
pages = {93-104}
}
@Techreport{RePEc-fth-helsin-78,
author = {Johansen, S},
title = {Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data},
year = {1991},
URL = {http://ideas.repec.org/p/fth/helsin/78.html},
abstract = {The primary aim of the paper is to place current methodological discussions in macroeconometric modeling contrasting the {\^{a}}{\texteuro}{\texttildelow}theory first{\^{a}}{\texteuro}{\texttrademark} versus the {\^{a}}{\texteuro}{\texttildelow}data first{\^{a}}{\texteuro}{\texttrademark} perspectives in the context of a broader methodological framework with a view to constructively appraise them. In particular, the paper focuses on Colander{\^{a}}{\texteuro}{\texttrademark}s argument in his paper {\^{a}}{\texteuro}{\oe}Economists, Incentives, Judgement, and the European CVAR Approach to Macroeconometrics{\^{a}}{\texteuro}? contrasting two different perspectives in Europe and the US that are currently dominating empirical macroeconometric modeling and delves deeper into their methodological/philosophical underpinnings. It is argued that the key to establishing a constructive dialogue between them is provided by a better understanding of the role of data in modern statistical inference, and how that relates to the centuries old issue of the realisticness of economic theories.},
institution = {Helsinki - Department of Economics},
publication\_type = {type},
number = {78},
keywords = {Econometric methodology; {\^{a}}{\texteuro}{\texttildelow}general-to-specific{\^{a}}{\texteuro}{\texttrademark}; pre-eminence of theory; cointegrated VAR; st}
}
@Book{JohansenHansen1998,
author = {Johansen, S and Hansen, P.R},
title = {Workbook on Cointegration},
year = {1998},
publisher = {Oxford University Press}
}
@Book{Juselius2006,
author = {Juselius, K},
title = {The Cointegrated VAR Model: Econometric Methodology and Macroeconomics Applications},
year = {2006},
publisher = {Oxford University Press}
}
@Incollection{LaroqueSalanie1995,
author = {Laroque, G and Salanie, B},
title = {Macroeconometric Disequilibrium Models},
year = {1995},
booktitle = {Handbook of Applied Econometrics},
editor = {H. Pesaran and M. Wickens},
publication\_type = {type},
publisher = {Basil Blackwell},
pages = {391-414}
}
@Techreport{MoellerSharp2008,
author = {M{\o}ller, N.F and Sharp, P},
title = {Malthus in Cointegration Space: A New Look at Living Standards and Population in Pre-industrial England},
year = {2008},
URL = {http://ideas.repec.org/p/kud/kuiedp/0816.html},
institution = {University of Copenhagen},
publication\_type = {type},
number = {08-16}
}
@Article{RePEc-bla-obuest-v-47-y-1985-i-2-p-119-29,
author = {Nickell, S},
title = {Error Correction, Partial Adjustment and All That: An Expository Note},
year = {1985},
month = {May},
URL = {http://ideas.repec.org/a/bla/obuest/v47y1985i2p119-29.html},
abstract = {This paper analyzes the relationship between banks{\\~{A}}{\textcent}{\^{a}}{,}$\lnot${\^{a}}{,,}{\textcent} divergent strategies toward specialization and diversification of financial activities and their ability to withstand a banking sector crash. We first generate market-based measures of banks{\\~{A}}{\textcent}{\^{a}}{,}$\lnot${\^{a}}{,,}{\textcent} systemic risk exposures using extreme value analysis. Systemic banking risk is measured as the tail beta, which equals the probability of a sharp decline in a bank{\\~{A}}{\textcent}{\^{a}}{,}$\lnot${\^{a}}{,,}{\textcent}s stock price conditional on a crash in a banking index. Subsequently, the impact of (the correlation between) interest income and the components of non-interest income on this risk measure is assessed. The heterogeneity in extreme bank risk is attributed to differences in the scope of non-traditional banking activities: non-interest generating activities increase banks{\\~{A}}{\textcent}{\^{a}}{,}$\lnot${\^{a}}{,,}{\textcent} tail beta. In addition, smaller banks and better-capitalized banks are better able to withstand extremely adverse conditions. These relationships are stronger during turbulent times compared to normal economic conditions. Overall, diversifying financial activities under one umbrella institution does not improve banking system stability, which may explain why financial conglomerates trade at a discount.},
journal = {Oxford Bulletin of Economics and Statistics},
volume = {47},
number = {2},
pages = {119-129}
}
@Article{RePEc-mcb-jmoncb-v-27-y-1995-i-4-p-975-84,
author = {Roberts, J.M},
title = {New Keynesian Economics and the Phillips Curve},
year = {1995},
month = {November},
URL = {http://ideas.repec.org/a/mcb/jmoncb/v27y1995i4p975-84.html},
journal = {Journal of Money, Credit and Banking},
volume = {27},
number = {4},
pages = {975-984}
}
@Article{Samuelson1941,
author = {Samuelson, P.A},
title = {The Stability of Equilibrium: Comparative Statics and Dynamics},
year = {1941},
URL = {http://www.jstor.org/pss/1906872},
volume = {9},
number = {2},
pages = {97-120}
}
@Book{SoerensenWhitta-Jacobsen2005,
author = {S{\o}rensen, P.B and Whitta-Jacobsen, H.J},
title = {Introducing Advanced Macroeconomics: Growth and Business Cycles},
year = {2005},
publisher = {McGraw-Hill}
}