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PRACTITIONERS' CORNER Cointegrated Time Series: A Guide to Estimation and Hypothesis Testing

Oxford Bulletin of Economics and Statistics· 1994-08-01· article· 75 citationsclosed

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David Alan Dickey, Robert J. Rossana (1994). PRACTITIONERS' CORNER Cointegrated Time Series: A Guide to Estimation and Hypothesis Testing. Oxford Bulletin of Economics and Statistics. https://doi.org/10.1111/j.1468-0084.1994.mp56003006.x

@article{alan1994practitioners,
  title  = {PRACTITIONERS' CORNER Cointegrated Time Series: A Guide to Estimation and Hypothesis Testing},
  author = {Dickey, David Alan and Rossana, Robert J.},
  year   = {1994},
  journal = {Oxford Bulletin of Economics and Statistics},
  doi    = {10.1111/j.1468-0084.1994.mp56003006.x}
}

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root

1988Testing for a Unit Root in Time Series Regression

1988Statistical analysis of cointegration vectors

1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

1980Macroeconomics and Reality

1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

1977Time Series Analysis: Forecasting and Control

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