Estimation and inference in short panel vector autoregressions with unit roots and cointegration

Autocorrelation-robust inference

Robinson, P.
Velasco, C.
Suntory and Toyota International Centres for Economics and Related Disciplines, London (United Kingdom). Economics of Industry Group

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.442(STICERD-DP-EM--96/316) / BLD...

Criterion-based inference for GMM in autoregressive panel data models

Bond, S.
Bowsher, C.
Windmeijer, F.
Institute for Fiscal Studies, London (United Kingdom)

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:4363.343505(02/01) / BLDSC - British ...

Bayes estimation of short-run coefficients in dynamic panel data models

Tahmiscioglu, A.
Pesaran, M.H.
Hsiao, C.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1997

Available from British Library Document Supply Centre-DSC:3509.880(9804) / BLDSC - British Library D...

Forecasting, causality and cointegration analysis using vector autoregressions

Charemza, W.W.
Deadman, D.F
Leicester Univ. (United Kingdom). Dept. of Economics

January 1991

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.7879(LU-DE-DP--150) / BLDSC - B...

Inference for unit roots in dynamic panels with heteroscedastic and serially correlated errors

Harris, R.D.
Tzavalis, E.
Exeter Univ. (United Kingdom). Dept. of Economics

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9295(98/06) / BLDSC - British Li...

Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration

Michael Binder
Cheng Hsiao
M. Hashem Pesaran

This paper considers estimation and inference in panel vector autoregressions with fixed effects whe...

Vector autoregression modelling and forecasting

Holden, K.
Liverpool John Moores Univ. (United Kingdom). Centre for International Banking, Economics and Finance

January 1994

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9663(5/94) / BLDSC - British Lib...

Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration

Michael Binder, Cheng Hsiao, and M. Hashem Pesaran

This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed eff...

Estimation and inference in large heterogeneous panels with cross section dependence

Pesaran, M. Hashem
University of Cambridge. Department of Applied Economics (United Kingdom)

January 2003

Includes bibliographical referencesAvailable from British Library Document Supply Centre- DSC:3509. ...

The likelihood of a continuous-time vector autoregressive model

McCrorie, J.R.
Queen Mary Coll., London (United Kingdom). Dept. of Economics

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:6392.9265(no 419) / BLDSC - British L...

Testing for changes in the long-run causal structure of cointegrated vector autoregressions

Barassi, M.R.
Caporale, G.M.
Hall, S.G.
Birmingham Univ. (United Kingdom). Dept. of Economics

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:3553.800(01/09) / BLDSC - British Lib...

Recent developments in modelling nonstationary vector autoregressions

Mills, T.C.
Loughborough Univ. of Technology (United Kingdom). Dept. of Economics

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3654.479(96/21) / BLDSC - British Lib...

A structural vector autoregression model of the UK business cycle

Turner, P.M
Leeds Univ. (United Kingdom). School of Business and Economic Studies

January 1991

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.9795(LU-SBES-DP-G--91/16) / BLD...

Interpreting conitegrating vectors and common stochastic trends

Wickens, M
London Business School (United Kingdom). Centre for Economic Forecasting

January 1993

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.3859(LBS-CEF-DP--14/93) / BLDSC...

Exploiting cross section variation for unit root inference in dynamic data

Quah, D
London School of Economics and Political Science (United Kingdom). Suntory-Toyota International Centre for Economics and Related Disciplines

January 1993

Econometrics seriesSIGLEAvailable from British Library Document Supply Centre- DSC:3597.442(STICERD-...

Autocorrelation-robust inference

Robinson, P.
Velasco, C.
Suntory and Toyota International Centres for Economics and Related Disciplines, London (United Kingdom). Economics of Industry Group

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.442(STICERD-DP-EM--96/316) / BLD...

Criterion-based inference for GMM in autoregressive panel data models

Bond, S.
Bowsher, C.
Windmeijer, F.
Institute for Fiscal Studies, London (United Kingdom)

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:4363.343505(02/01) / BLDSC - British ...

Bayes estimation of short-run coefficients in dynamic panel data models

Tahmiscioglu, A.
Pesaran, M.H.
Hsiao, C.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1997

Available from British Library Document Supply Centre-DSC:3509.880(9804) / BLDSC - British Library D...

Forecasting, causality and cointegration analysis using vector autoregressions

Charemza, W.W.
Deadman, D.F
Leicester Univ. (United Kingdom). Dept. of Economics

January 1991

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.7879(LU-DE-DP--150) / BLDSC - B...

Inference for unit roots in dynamic panels with heteroscedastic and serially correlated errors

Harris, R.D.
Tzavalis, E.
Exeter Univ. (United Kingdom). Dept. of Economics

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9295(98/06) / BLDSC - British Li...

Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration

Michael Binder
Cheng Hsiao
M. Hashem Pesaran

This paper considers estimation and inference in panel vector autoregressions with fixed effects whe...

Vector autoregression modelling and forecasting

Holden, K.
Liverpool John Moores Univ. (United Kingdom). Centre for International Banking, Economics and Finance

January 1994

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9663(5/94) / BLDSC - British Lib...

Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration

Michael Binder, Cheng Hsiao, and M. Hashem Pesaran

This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed eff...

Estimation and inference in large heterogeneous panels with cross section dependence

Pesaran, M. Hashem
University of Cambridge. Department of Applied Economics (United Kingdom)

January 2003

Includes bibliographical referencesAvailable from British Library Document Supply Centre- DSC:3509. ...

The likelihood of a continuous-time vector autoregressive model

McCrorie, J.R.
Queen Mary Coll., London (United Kingdom). Dept. of Economics

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:6392.9265(no 419) / BLDSC - British L...

Testing for changes in the long-run causal structure of cointegrated vector autoregressions

Barassi, M.R.
Caporale, G.M.
Hall, S.G.
Birmingham Univ. (United Kingdom). Dept. of Economics

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:3553.800(01/09) / BLDSC - British Lib...

Recent developments in modelling nonstationary vector autoregressions

Mills, T.C.
Loughborough Univ. of Technology (United Kingdom). Dept. of Economics

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3654.479(96/21) / BLDSC - British Lib...

A structural vector autoregression model of the UK business cycle

Turner, P.M
Leeds Univ. (United Kingdom). School of Business and Economic Studies

January 1991

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.9795(LU-SBES-DP-G--91/16) / BLD...

Interpreting conitegrating vectors and common stochastic trends

Wickens, M
London Business School (United Kingdom). Centre for Economic Forecasting

January 1993

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.3859(LBS-CEF-DP--14/93) / BLDSC...

Exploiting cross section variation for unit root inference in dynamic data

Quah, D
London School of Economics and Political Science (United Kingdom). Suntory-Toyota International Centre for Economics and Related Disciplines

January 1993

Econometrics seriesSIGLEAvailable from British Library Document Supply Centre- DSC:3597.442(STICERD-...

Autocorrelation-robust inference

Robinson, P.
Velasco, C.
Suntory and Toyota International Centres for Economics and Related Disciplines, London (United Kingdom). Economics of Industry Group

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.442(STICERD-DP-EM--96/316) / BLD...

Criterion-based inference for GMM in autoregressive panel data models

Bond, S.
Bowsher, C.
Windmeijer, F.
Institute for Fiscal Studies, London (United Kingdom)

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:4363.343505(02/01) / BLDSC - British ...

Bayes estimation of short-run coefficients in dynamic panel data models

Tahmiscioglu, A.
Pesaran, M.H.
Hsiao, C.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1997

Available from British Library Document Supply Centre-DSC:3509.880(9804) / BLDSC - British Library D...

Estimation and inference in short panel vector autoregressions with unit roots and cointegration

Abstract

Extracted data

Estimation and inference in short panel vector autoregressions with unit roots and cointegration

Abstract

Extracted data

Related items

Related items