Structural analysis of vector error correction models with exogenous I(1) variables

By M. Hashem. 2000

859 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/92fd539e7c2eea41b97d2f259b16a85dec9f432e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Linkages between inflation, economic growth and terrorism in Pakistan (2013, methodology): “The upper critical bound fromPesaran et al. (2001) is 4.”
Do House Price Developments Spill Over Across Euro Area Countries? Evidence from a Global VAR (2011, methodology): “Critical values at the 5% level are 76.82 for r ≤ 0, 49.52 for r ≤ 1 and 25.70 for r ≤ 2 (see Pesaran, Shin, and Smith (2000)). r ≤ 0 r ≤ 1 r ≤ 2 # of lags BE 113.91 85.41 10.57 1 DE 82.77 73.05 10.88 1 IE 98.99 81.85 20.61 1 ES 103.24 80.95 14.97 2 FR 159.48 111.91 23.65 1 IT 96.70 91.07 7.69 1 NL…”
Electricity consumption and economic growth empirical evidence from Pakistan (2011, methodology): “This paper follows the ARDL bounds testing approach to cointegration developed by Pesaran and Pesaran (1997); Pesaran et al. (2000), and latter on by Pesaran et al. (2001) to examine long run relationship between economic growth and electricity consumption.”
A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis (2005, methodology): “8 For the DGP based on Pesaran et al. (2000), the point estimate for 0 6p = was explosive.”
Theory and Practice of GVAR Modeling (2016, neutral): “Econometric theory for estimating VARX∗ (pi, qi) models with weakly exogenous I (1) regressors have been developed by Harbo et al. (1998) and Pesaran et al. (2000).”
LONG-RUN STRUCTURAL MODELLING (2002, background): “…a proof of the consistency of the QMLE of the long-run parameters conditional on the true values of the short-run parameters and vice versa, and establishes the 1Alternatively, such variables can be viewed as long-run forcing with respect to x1t , to use the terminology in Pesaran et al. (2000).”
Trade Openness and CO2 Emissions: Evidence from Tunisia (2019, methodology): “[39] are only useful and efficient for large sample sizes.”
Oil Exports and the Iranian Economy (2013, methodology): “Under these conditions, following Pesaran, Shin, and Smith (2000), the VAR in z t can be decomposed into the conditional model for the endogenous variables: and the marginal model for the exogenous variables: If the model includes an unrestricted linear trend, in general there will be quadratic…”
An empirical analysis of electricity consumption in Cyprus (2007, background): “This is reasonable since Cypriot electricity production comes from oil-fired power plants and hence power generation costs are mainly affected by international oil prices, which are obviously not influenced by oil demand in Cyprus – this is the case of a ‘small open’ economy as noted by Pesaran et a”
Tourism development and environmental degradation in the United States: evidence from wavelet-based analysis (2017, methodology): “…long-run relationship between TD and CE by using the two traditional co-integration methods, namely Autoregressive distributed lag (ARDL) method (Pesaran & Pesaran, 1997; Pesaran & Shin, 1998; Pesaran et al., 2000, 2001) for cointegration and the Johansen and Juselius’s (1990) cointegration method.”
An Empirical Growth Model for Major Oil Exporters (2012, positive): “…two exogenous variables, y t and xot, are not cointegrated, again for all eight countries under consideration.9 Under these conditions, following Pesaran et al. (2000), the VAR in zt can be decomposed into the conditional model for the endogenous variables: xt = xzt 1 + s 1X i=1 i xt i + 0 x t…”
Modeling tourism: A fully identified VECM approach (2009, methodology): “Parameter 23 Following Pesaran et al. (2000), we allow for an unrestricted intercept in the VECM (4) and restrict the time trends to lie in the cointegrating space.”