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TIME SERIES ANALYSIS OF ERROR-CORRECTION MODELS
8 references·16 citing·32 second hop
TIME SERIES ANALYSIS OF ERROR-CORRECTION MODELS (1983)TIME SERIES ANALYSIS OF ERROR-CORRECTION …Forecasting Economic Time Series (2000)Forecasting Economic Time Ser…Some properties of time series data and their use in econometric model specification (1981)Some properties of time serie…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom (1978)Econometric Modelling of the …Forecasting Economic Time Series (1977)Forecasting Economic Time Ser…Time Series Analysis, Forecasting and Control. (1971)Time Series Analysis, Forecas…Econometric Analysis for National Economic Planning (1971)Econometric Analysis for Nati…Investigating the multivariate Granger causality between energy consumption, economic growth and CO 2 emissions in Ghana (2017)Investigating the multivariat…Fractional Integration and Cointegration: An Overview and an Empirical Application (2009)Fractional Integration and Co…Economic Reforms, FDI, and Economic Growth in India: A Sector Level Analysis (2008)Economic Reforms, FDI, and Ec…Robustifying forecasts from equilibrium-correction systems (2005)Robustifying forecasts from e…Financial development and economic growth in the Middle East (2005)Financial development and eco…DETERMINANTS OF DEMAND FOR FIJI'S EXPORTS: AN EMPIRICAL INVESTIGATION (2004)DETERMINANTS OF DEMAND FOR FI…A REVIEW OF SYSTEMS COINTEGRATION TESTS (2001)A REVIEW OF SYSTEMS COINTEGRA…Modelling of cointegration in the vector autoregressive model (2000)Modelling of cointegration in…Cointegration and causality between macroeconomic variables and stock market returns (1999)Cointegration and causality b…Neural networks in financial engineering: a study in methodology (1997)Neural networks in financial …TESTING INTEGRATION AND COINTEGRATION: AN OVERVIEW (1992)TESTING INTEGRATION AND COINT…Cointegration, exogeneity, and policy analysis: An overview (1992)Cointegration, exogeneity, an…IS THE BUDGET DEFICIT “TOO LARGE?” (1991)IS THE BUDGET DEFICIT “TOO LA…Futures market efficiency: Evidence from cointegration tests (1991)Futures market efficiency: Ev…Testing for cointegration using principal components methods (1988)Testing for cointegration usi…Co-Integration and Causality Testing of the Energy–GDP Relationship: A Cross-Country Study (1988)Co-Integration and Causality …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Dynamic relationship between stock prices and exchange rates for G-7 countries (2001)Macroeconomic variables and the Malaysian equity market (2003)Macroeconomic Variables and Stock Market Interactions: New Zealand Evidence (2006)Income, Saving and the Theory of Consumer Behavior. (1950)Testing for Common Trends (1988)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)On the Determination of the Public Debt (1979)Government budget deficits and trade deficits Are present value constraints satisfied in long-term data? (1995)Sustainability of the Deficit Process With Structural Shifts (1995)Fiscal Sustainability: The Unpleasant European Case (2005)Fractional Brownian Motions, Fractional Noises and Applications (1968)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)A long memory property of stock market returns and a new model (1993)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)The contribution of tourism development to economic growth in the Korean economy (2003)Estimation Methods for Models of Spatial Interaction (1975)The analysis of household surveys (1997)An Almost Ideal Demand System (1980)Empirical exchange rate models of the seventies (1983)Generalized autoregressive conditional heteroskedasticity (1986)Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England (2000)The Relationship Between Employee Job Change and Job Satisfaction: The Honeymoon-Hangover Effect. (2005)Asymptotics for out of sample tests of Granger causality (2006)Long memory relationships and the aggregation of dynamic models (1980)Understanding spurious regressions in econometrics (1986)25 years of time series forecasting (2006)
this work references cited by second hop

References

  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1971Time Series Analysis, Forecasting and Control.2,771 cited
  • 1981Fractional Differencing2,720 cited
  • 1981Some properties of time series data and their use in econometric model specification2,406 cited
  • 2000Forecasting Economic Time Series1,768 cited
  • 1978Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom1,629 cited
  • 1977Forecasting Economic Time Series697 cited
  • 1971Econometric Analysis for National Economic Planning608 cited

Cited by

  • 1991IS THE BUDGET DEFICIT “TOO LARGE?”738 cited
  • 1999Cointegration and causality between macroeconomic variables and stock market returns361 cited
  • 2008Economic Reforms, FDI, and Economic Growth in India: A Sector Level Analysis303 cited
  • 1992Cointegration, exogeneity, and policy analysis: An overview221 cited
  • 2017Investigating the multivariate Granger causality between energy consumption, economic growth and CO 2 emissions in Ghana213 cited
  • 1988Testing for cointegration using principal components methods190 cited
  • 1991

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Futures market efficiency: Evidence from cointegration tests
175 cited
  • 2004DETERMINANTS OF DEMAND FOR FIJI'S EXPORTS: AN EMPIRICAL INVESTIGATION169 cited
  • 1997Neural networks in financial engineering: a study in methodology160 cited
  • 1992TESTING INTEGRATION AND COINTEGRATION: AN OVERVIEW158 cited
  • 2005Robustifying forecasts from equilibrium-correction systems133 cited
  • 1988Co-Integration and Causality Testing of the Energy–GDP Relationship: A Cross-Country Study130 cited
  • 2005Financial development and economic growth in the Middle East124 cited
  • 2009Fractional Integration and Cointegration: An Overview and an Empirical Application124 cited
  • 2000Modelling of cointegration in the vector autoregressive model115 cited
  • 2001A REVIEW OF SYSTEMS COINTEGRATION TESTS110 cited