I am sincerely grateful to the editor and an anonymous referee for their helpful comments and suggestions. The draft of this paper was presented at the Japanese Economic Association Spring Meeting 2009 at Kyoto University. I would like to thank the commentator at the meeting, Ryuzo Miyao, for his constructive comments. I would also like to gratefully acknowledge Heino Bohn Nielsen for providing me with his Ox code for I(2) analysis. This work is supported by JSPS KAKENHI (19830111).
MODELLING TIME SERIES DATA OF MONETARY AGGREGATES USING I(2) AND I(1) COINTEGRATION ANALYSIS
Version of Record online: 25 AUG 2011
© 2011 The Author. Bulletin of Economic Research © 2011 John Wiley & Sons Ltd and the Board of Trustees of the Bulletin of Economic Research
Bulletin of Economic Research
Volume 65, Issue 4, pages 372–388, October 2013
How to Cite
Kurita, T. (2013), MODELLING TIME SERIES DATA OF MONETARY AGGREGATES USING I(2) AND I(1) COINTEGRATION ANALYSIS. Bulletin of Economic Research, 65: 372–388. doi: 10.1111/j.1467-8586.2011.00400.x
- Issue online: 9 SEP 2013
- Version of Record online: 25 AUG 2011
- JSPS KAKENHI. Grant Number: 19830111
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