Log in

Relevant bibliographies by topics / Cointegrated VAR / Journal articles

To see the other types of publications on this topic, follow the link: Cointegrated VAR.

Journal articles on the topic 'Cointegrated VAR'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the top 50 journal articles for your research on the topic 'Cointegrated VAR.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Browse journal articles on a wide variety of disciplines and organise your bibliography correctly.

1

Warne, Anders. "Inference in Cointegrated VAR Systems." Review of Economics and Statistics 79, no. 3 (1997): 508–11. http://dx.doi.org/10.1162/003465300556922.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Saikkonen, Pentti, and HELMUT Lütkepohl. "Infinite-Order Cointegrated Vector Autoregressive Processes." Econometric Theory 12, no. 5 (1996): 814–44. http://dx.doi.org/10.1017/s0266466600007179.

Full text

Abstract:

Estimation of cointegrated systems via autoregressive approximation is considered in the framework developed by Saikkonen (1992, Econometric Theory 8, 1-27). The asymptotic properties of the estimated coefficients of the autoregressive error correction model (ECM) and the pure vector autoregressive (VAR) representations are derived under the assumption that the autoregressive order goes to infinity with the sample size. These coefficients are often used for analyzing the relationships between the variables; therefore, they are important for applied work. Tests for linear restrictions on the co

APA, Harvard, Vancouver, ISO, and other styles

3

Juselius, Katarina. "HAAVELMO’S PROBABILITY APPROACH AND THE COINTEGRATED VAR." Econometric Theory 31, no. 2 (2014): 213–32. http://dx.doi.org/10.1017/s0266466614000279.

Full text

Abstract:

Some key econometric concepts and problems of great importance to Trygve Haavelmo and Ragnar Frisch are discussed within the general framework of a cointegrated VAR. The focus is on problems typical of time-series data such as multicollinearity, spurious correlation and regression, time dependent residuals, model selection, missing simultaneity, autonomy, and identification. The paper argues that the more recent development of unit root econometrics has been instrumental for a solution to the above problems.

APA, Harvard, Vancouver, ISO, and other styles

4

Engsted, Tom. "Explosive bubbles in the cointegrated VAR model." Finance Research Letters 3, no. 2 (2006): 154–62. http://dx.doi.org/10.1016/j.frl.2006.03.004.

Full text

APA, Harvard, Vancouver, ISO, and other styles

5

SACHDEVA, J. K., and Jyoti Nair. "Cointegration of East Asian, Indian and European Marketsâ€“ A Study of Impact on Indian Bourses." Journal of Global Economy 14, no. 1 (2018): 3–27. http://dx.doi.org/10.1956/jge.v14i1.490.

Full text

Abstract:

With huge investments flowing from all over the world to India, FIIs (Foreign Institutional Investors) and DIIs (Domestic Institutional Investors), retail investors, investment advisors, brokers and portfolio consultants keep abreast with latest research on fundamentals and technicals. Interdependence between stock markets is an important aspect of international portfolio management. In this paper, impact of Asian Indices like Hang Sang, KOSPI, SET SIT and TSEC on opening prices of Indian index Nifty was studied with various tools like Johansen Cointegration Test, VAR Granger Causality and Pai

APA, Harvard, Vancouver, ISO, and other styles

6

Johansen, Søren, and Morten Ørregaard Nielsen. "Nonstationary Cointegration in the Fractionally Cointegrated VAR Model." Journal of Time Series Analysis 40, no. 4 (2018): 519–43. http://dx.doi.org/10.1111/jtsa.12438.

Full text

APA, Harvard, Vancouver, ISO, and other styles

7

Dolado, Juan J., and Helmut Lütkepohl. "Making wald tests work for cointegrated VAR systems." Econometric Reviews 15, no. 4 (1996): 369–86. http://dx.doi.org/10.1080/07474939608800362.

Full text

APA, Harvard, Vancouver, ISO, and other styles

8

Park, Joon Y., and Peter C. B. Phillips. "Statistical Inference in Regressions with Integrated Processes: Part 2." Econometric Theory 5, no. 1 (1989): 95–131. http://dx.doi.org/10.1017/s0266466600012287.

Full text

Abstract:

This paper continues the theoretical investigation of Park and Phillips. We develop an asymptotic theory of regression for multivariate linear models that accommodates integrated processes of different orders, nonzero means, drifts, time trends, and cointegrated regressors. The framework of analysis is general but has a common architecture that helps to simplify and codify what would otherwise be a myriad of isolated results. A good deal of earlier research by the authors and by others comes within the new framework. Special models of some importance are considered in detail, such as VAR syste

APA, Harvard, Vancouver, ISO, and other styles

9

Hansen, Henrik, and Søren Johansen. "Some tests for parameter constancy in cointegrated VAR‐models." Econometrics Journal 2, no. 2 (1999): 306–33. http://dx.doi.org/10.1111/1368-423x.00035.

Full text

APA, Harvard, Vancouver, ISO, and other styles

10

Pétursson, Thórarinn G., and Torsten Sløk. "Wage formation and employment in a cointegrated VAR model." Econometrics Journal 4, no. 2 (2001): 191–209. http://dx.doi.org/10.1111/1368-423x.00062.

Full text

APA, Harvard, Vancouver, ISO, and other styles

11

Camarero, M., J. Ordónez, and C. R. Tamarit. "Monetary transmission in Spain: a structural cointegrated VAR approach." Applied Economics 34, no. 17 (2002): 2201–12. http://dx.doi.org/10.1080/00036840210138419.

Full text

APA, Harvard, Vancouver, ISO, and other styles

12

Crowder, William J., and Mark E. Wohar. "A cointegrated structural VAR model of the Canadian economy." Applied Economics 36, no. 3 (2004): 195–213. http://dx.doi.org/10.1080/0003684042000175325.

Full text

APA, Harvard, Vancouver, ISO, and other styles

13

Dolado, Juan J. "A note on weak exogeneity in VAR cointegrated models." Economics Letters 38, no. 2 (1992): 139–43. http://dx.doi.org/10.1016/0165-1765(92)90044-y.

Full text

APA, Harvard, Vancouver, ISO, and other styles

14

Gričar, Sergej, and Štefan Bojnec. "Technical Analysis of Tourism Price Process in the Eurozone." Journal of Risk and Financial Management 14, no. 11 (2021): 517. http://dx.doi.org/10.3390/jrfm14110517.

Full text

Abstract:

This study is a specific contribution to investigating normalities in prices to a well-established cointegrated vector autoregressive model (VAR). While the role of prices in computational economics has been investigated, the real prices vis-à-vis nominal prices in the decision process has been neglected. The paper investigates the transition from nominal to real time-series of prices without losing information in the data set when deflating or de-seasonalizing. The likelihood approach is based on careful specifications of the (co)integration characteristics of tourism prices. The results conf

APA, Harvard, Vancouver, ISO, and other styles

15

Hetland, Andreas. "The Stochastic Stationary Root Model." Econometrics 6, no. 3 (2018): 39. http://dx.doi.org/10.3390/econometrics6030039.

Full text

Abstract:

We propose and study the stochastic stationary root model. The model resembles the cointegrated VAR model but is novel in that: (i) the stationary relations follow a random coefficient autoregressive process, i.e., exhibhits heavy-tailed dynamics, and (ii) the system is observed with measurement error. Unlike the cointegrated VAR model, estimation and inference for the SSR model is complicated by a lack of closed-form expressions for the likelihood function and its derivatives. To overcome this, we introduce particle filter-based approximations of the log-likelihood function, sample score, and

APA, Harvard, Vancouver, ISO, and other styles

16

Lange, Ronald Henry. "Monetary Policy Behaviour over the Long Run in a Small Open Economy: A Markov-Switching Vector Error-Correction Approach." Research in Applied Economics 10, no. 3 (2018): 69. http://dx.doi.org/10.5296/rae.v10i3.13223.

Full text

Abstract:

This study identifies a long-run equilibrium relationship among important information variables with stochastic trends for monetary policy in Canada. The variables serve as both target policy variables for the domestic macroeconomy and reaction variables to external economic disturbances. The parameters of the cointegrated vector of information variables are found to be quite stable. A Markov-switching cointegrated VAR model captures two stochastic policy regimes with low- and high-variances. The weighting matrix for the error-correction terms for both inflation and output are found to be rela

APA, Harvard, Vancouver, ISO, and other styles

17

Pelipas, Igor. "Money demand and inflation in Belarus: Evidence from cointegrated VAR." Research in International Business and Finance 20, no. 2 (2006): 200–214. http://dx.doi.org/10.1016/j.ribaf.2005.09.002.

Full text

APA, Harvard, Vancouver, ISO, and other styles

18

Bellini, Tiziano. "The forward search interactive outlier detection in cointegrated VAR analysis." Advances in Data Analysis and Classification 10, no. 3 (2015): 351–73. http://dx.doi.org/10.1007/s11634-015-0216-8.

Full text

APA, Harvard, Vancouver, ISO, and other styles

19

Kivedal, Bjørnar Karlsen. "A DSGE model with housing in the cointegrated VAR framework." Empirical Economics 47, no. 3 (2013): 853–80. http://dx.doi.org/10.1007/s00181-013-0765-7.

Full text

APA, Harvard, Vancouver, ISO, and other styles

20

Boug, Pål, and Andreas Fagereng. "Exchange rate volatility and export performance: a cointegrated VAR approach." Applied Economics 42, no. 7 (2010): 851–64. http://dx.doi.org/10.1080/00036840802600491.

Full text

APA, Harvard, Vancouver, ISO, and other styles

21

Moon, Choon-Geol, and Parul Jain. "Macroeconomic aspects of Korea's liberalization policy: A cointegrated VAR study." Journal of Asian Economics 6, no. 4 (1995): 469–92. http://dx.doi.org/10.1016/1049-0078(95)90025-x.

Full text

APA, Harvard, Vancouver, ISO, and other styles

22

Di Sanzo, Silvestro, Mariano Bella, and Giovanni Graziano. "Tax Structure and Economic Growth: A Panel Cointegrated VAR Analysis." Italian Economic Journal 3, no. 2 (2017): 239–53. http://dx.doi.org/10.1007/s40797-017-0056-0.

Full text

APA, Harvard, Vancouver, ISO, and other styles

23

Hashim, Emilda, Norimah Rambeli, Asmawi Hashim, Norasibah Abdul Jalil, Shahrun Nizam Abdul Aziz, and Noor Al Huda Abdul Karim. "Dynamic Relationship Between Real Export, Real Import, Real Exchange Rate, Labor Force and Real Gross Domestic Product in Malaysia." Research in World Economy 10, no. 5 (2019): 20. http://dx.doi.org/10.5430/rwe.v10n5p20.

Full text

Abstract:

This study examined short run and long run relationship between endogenous and exogenous variables. Specifically, it studied the relationship between real export, real import, labor force participation and real effective exchange rate (REER) and real GDP in Malaysia from 1988 to 2017. These variables were tested in various tests, namely, unit root test, granger causality test, vector autoregressive (VAR), Johansen Juselius test and Error Correction Term (ECT). The result revealed that all variables were non-stationary at the level form and stationary at first difference in ADF unit root test.

APA, Harvard, Vancouver, ISO, and other styles

24

Nabyonga, Barbra, and Nawaz Hina. "The Relationship Between Foreign Direct Investment Oriented Economic Growth in Uganda: An Empirical Study Based on VAR Model." Ec 4, no. 3 (2021): 90–98. https://doi.org/10.31014/aior.1992.04.03.372.

Full text

Abstract:

The purpose of this paper is to investigate the relationship between Foreign Direct Investment (FDI) and Economic growth as measured by Gross Domestic Product (GDP) over Uganda, from 1980-2018. Vector Autoregressive Model (VAR) and Granger Causality test were used. The results show thatlag 1 is the optimal lag hence bivariate VAR (1) model was used. GDP and FDI exhibits long-term equilibrium since the two-time series are cointegrated in long run. The causality test indicates that there exists a unilateral relationship between FDI and GDP, and FDI causes GDP growth and not vice versa. Understan

APA, Harvard, Vancouver, ISO, and other styles

25

Ejem, Chukwu Agwu, Bonaventure Ofasia Oriko, and Ogechi Blessing Nwakodo. "Does Recurrent Expenditure Drive Growth In Nigeria? A Cointegrated Var Approach." International Journal of Scientific and Research Publications (IJSRP) 9, no. 6 (2019): p9085. http://dx.doi.org/10.29322/ijsrp.9.06.2019.p9085.

Full text

APA, Harvard, Vancouver, ISO, and other styles

26

Nielsen, Heino Bohn. "Influential observations in cointegrated VAR models: Danish money demand 1973–2003." Econometrics Journal 11, no. 1 (2008): 39–57. http://dx.doi.org/10.1111/j.1368-423x.2007.00226.x.

Full text

APA, Harvard, Vancouver, ISO, and other styles

27

Pétursson, Thórarinn G. "The representative household's demand for money in a cointegrated VAR model." Econometrics Journal 3, no. 2 (2000): 162–76. http://dx.doi.org/10.1111/1368-423x.00044.

Full text

APA, Harvard, Vancouver, ISO, and other styles

28

Jones, Maggie E. C., Morten Ørregaard Nielsen, and Michał Ksawery Popiel. "A fractionally cointegrated VAR analysis of economic voting and political support." Canadian Journal of Economics/Revue canadienne d'économique 47, no. 4 (2014): 1078–130. http://dx.doi.org/10.1111/caje.12115.

Full text

APA, Harvard, Vancouver, ISO, and other styles

29

Kurita, Takamitsu. "Likelihood-Based Inference for Weak Exogeneity inI(2) Cointegrated VAR Models." Econometric Reviews 31, no. 3 (2012): 325–60. http://dx.doi.org/10.1080/07474938.2011.607346.

Full text

APA, Harvard, Vancouver, ISO, and other styles

30

todani, k. r. "LONG-RUN M3 DEMAND IN SOUTH AFRICA: A COINTEGRATED VAR MODEL." South African Journal of Economics 75, no. 4 (2007): 681–92. http://dx.doi.org/10.1111/j.1813-6982.2007.00150.x.

Full text

APA, Harvard, Vancouver, ISO, and other styles

31

Signoretto, M., and J. A. K. Suykens. "Convex Estimation of Cointegrated VAR Models by a Nuclear Norm Penalty." IFAC Proceedings Volumes 45, no. 16 (2012): 95–100. http://dx.doi.org/10.3182/20120711-3-be-2027.00322.

Full text

APA, Harvard, Vancouver, ISO, and other styles

32

Assenmacher-Wesche, Katrin. "Modeling Monetary Transmission in Switzerland with a Structural Cointegrated VAR Model." Swiss Journal of Economics and Statistics 144, no. 2 (2008): 197–246. http://dx.doi.org/10.1007/bf03399253.

Full text

APA, Harvard, Vancouver, ISO, and other styles

33

Kitamura, Yuichi. "LIKELIHOOD-BASED INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS." Econometric Theory 14, no. 4 (1998): 517–24. http://dx.doi.org/10.1017/s0266466698144067.

Full text

Abstract:

Since the notion of cointegration was established by Engel and Granger (1987), many statistical methods have been suggested to estimate and test cointegrated models. Undoubtedly the Gaussian likelihood–based method advocated by Johansen (1988, 1991) is one of the most popular choices among practitioners. In his 1988 paper, Johansen applied Anderson's (1951) maximum likelihood estimation procedure for reduced rank regression (RRR) models to isolate common stochastic trends in multiple time series. This was a remarkable breakthrough, which he and other authors have extended into various directio

APA, Harvard, Vancouver, ISO, and other styles

34

Kleibergen, Frank, and Herman K. van Dijk. "On the Shape of the Likelihood/Posterior in Cointegration Models." Econometric Theory 10, no. 3-4 (1994): 514–51. http://dx.doi.org/10.1017/s0266466600008653.

Full text

Abstract:

A vector autoregressive (VAR) model is specified with equation system parameters, which directly reflect the possible cointegrating nature of the analyzed time series. By using a flat/diffuse prior, we show that the marginal posteriors of the parameters of interest (multipliers of the cointegrating vectors) may be nonintegrable and favor difference stationary models in an undesired way. To choose between stationary, cointegrated, and difference stationary models in a meaningful way, the Jeffreys prior principle is used. We investigate the sensitivity of the posterior results with respect to th

APA, Harvard, Vancouver, ISO, and other styles

35

Doornik, Jurgen A. "Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications." Scandinavian Journal of Statistics 45, no. 2 (2018): 283–300. http://dx.doi.org/10.1111/sjos.12311.

Full text

APA, Harvard, Vancouver, ISO, and other styles

36

Belke, Ansgar, Ingo G. Bordon, and Torben W. Hendricks. "Global liquidity and commodity prices–a cointegrated VAR approach for OECD countries." Applied Financial Economics 20, no. 3 (2010): 227–42. http://dx.doi.org/10.1080/09603100903282713.

Full text

APA, Harvard, Vancouver, ISO, and other styles

37

Arai, Yoichi, and Taku Yamamoto. "Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems." Economics Letters 67, no. 3 (2000): 261–71. http://dx.doi.org/10.1016/s0165-1765(99)00278-5.

Full text

APA, Harvard, Vancouver, ISO, and other styles

38

Martin, Bernhard, and Svetlozar T. Rachev. "A Stable Cointegrated Var Model for Credit Returns with Time-Varying Volatility." IFAC Proceedings Volumes 34, no. 20 (2001): 207–12. http://dx.doi.org/10.1016/s1474-6670(17)33066-5.

Full text

APA, Harvard, Vancouver, ISO, and other styles

39

Dal Colle, Alessandra. "Finance–growth nexus: does causality withstand financial liberalization? Evidence from cointegrated VAR." Empirical Economics 41, no. 1 (2010): 127–54. http://dx.doi.org/10.1007/s00181-010-0439-7.

Full text

APA, Harvard, Vancouver, ISO, and other styles

40

Kurita, Takamitsu. "A note on potential one-way policy instruments in cointegrated VAR systems." Economic Analysis and Policy 58 (June 2018): 55–59. http://dx.doi.org/10.1016/j.eap.2017.12.004.

Full text

APA, Harvard, Vancouver, ISO, and other styles

41

Lütkepohl, Helmut, and Hans-Eggert Reimers. "Granger-causality in cointegrated VAR processes The case of the term structure." Economics Letters 40, no. 3 (1992): 263–68. http://dx.doi.org/10.1016/0165-1765(92)90002-g.

Full text

APA, Harvard, Vancouver, ISO, and other styles

42

Papaikonomou, Dimitrios, and Jacinta Pires. "Are US output expectations unbiased? A cointegrated VAR analysis in real time." Economics Letters 92, no. 3 (2006): 440–46. http://dx.doi.org/10.1016/j.econlet.2006.03.036.

Full text

APA, Harvard, Vancouver, ISO, and other styles

43

Giese, Julia V. "Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model." Economics: The Open-Access, Open-Assessment E-Journal 2, no. 2008-28 (2008): 1. http://dx.doi.org/10.5018/economics-ejournal.ja.2008-28.

Full text

APA, Harvard, Vancouver, ISO, and other styles

44

van Garderen, Kees Jan, and H. Peter Boswijk. "Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors." Economics Letters 122, no. 2 (2014): 224–28. http://dx.doi.org/10.1016/j.econlet.2013.12.003.

Full text

APA, Harvard, Vancouver, ISO, and other styles

45

Belke, Ansgar, and Joscha Beckmann. "Monetary policy and stock prices – Cross-country evidence from cointegrated VAR models." Journal of Banking & Finance 54 (May 2015): 254–65. http://dx.doi.org/10.1016/j.jbankfin.2014.12.004.

Full text

APA, Harvard, Vancouver, ISO, and other styles

46

Tang, Bo. "Real exchange rate and economic growth in China: A cointegrated VAR approach." China Economic Review 34 (July 2015): 293–310. http://dx.doi.org/10.1016/j.chieco.2014.12.002.

Full text

APA, Harvard, Vancouver, ISO, and other styles

47

Dolatabadi, Sepideh, Morten Ørregaard Nielsen, and Ke Xu. "A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets." Journal of Futures Markets 35, no. 4 (2014): 339–56. http://dx.doi.org/10.1002/fut.21693.

Full text

APA, Harvard, Vancouver, ISO, and other styles

48

Dolatabadi, Sepideh, Paresh Kumar Narayan, Morten Ørregaard Nielsen, and Ke Xu. "Economic significance of commodity return forecasts from the fractionally cointegrated VAR model." Journal of Futures Markets 38, no. 2 (2017): 219–42. http://dx.doi.org/10.1002/fut.21866.

Full text

APA, Harvard, Vancouver, ISO, and other styles

49

ISMAIL, MOHD TAHIR, and ZAIDI BIN ISA. "MODELING THE INTERACTIONS OF STOCK PRICE AND EXCHANGE RATE IN MALAYSIA." Singapore Economic Review 54, no. 04 (2009): 605–19. http://dx.doi.org/10.1142/s0217590809003471.

Full text

Abstract:

After the East Asian crisis in 1997, the issue of whether stock prices and exchange rates are related or not have received much attention. This is due to realization that during the crisis the countries affected saw turmoil in both their currencies and stock markets. This paper studies the non-linear interactions between stock price and exchange rate in Malaysia using a two regimes multivariate Markov switching vector autoregression (MS-VAR) model with regime shifts in both the mean and the variance. In the study, the Kuala Lumpur Composite Index (KLCI) and the exchange rates of Malaysia ringg

APA, Harvard, Vancouver, ISO, and other styles

50

Kuang, Yong Ng, Samsudin Shamzaeffa, Zainal Zalina, and Wei Haitian. "VAR Model: The Economic Indicators and the Inflation in Malaysia." Social Science and Human Research Bulletin 15, no. 03 (2025): 69–74. https://doi.org/10.5281/zenodo.15038174.

Full text

Abstract:

Inflation is the dominant enemy for the cost of living. Meanwhile, cost of living is a sensitive issue for <em>rakyat </em>and also focused by the government. Nowadays, implementation of Sales and Service Tax (SST), decreasing the Overnight Policy Rate (OPR), fuel price and fuel subsidy issue and fluctuation of Ringgit Malaysia had been worried will increase the cost of living in Malaysia. This paper is investigating the relationship between the inflation with the interest rate, money supply and the exchange rate in Malaysia. As the model is not cointegrated, the Vector Autoregressio

APA, Harvard, Vancouver, ISO, and other styles

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!