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Residual based tests for cointegration
13 references·10 citing·30 second hop
Residual based tests for cointegration (1993)Residual based tests for cointegrationLong-Run Economic Relationships: Readings in Cointegration. (1993)Long-Run Economic Relationshi…Critical Values for the Žα‐Phillips‐Ouliaris Test for Cointegration* (1992)Critical Values for the Žα‐Ph…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…A Powerful, Simple Test For Cointegration Using Cochrane- Orcutt (1990)A Powerful, Simple Test For C…Tests for Unit Roots: A Monte Carlo Investigation (1989)Tests for Unit Roots: A Monte…Tests For Unit Roots: A Monte Carlo Investigation (1988)Tests For Unit Roots: A Monte…Testing for Common Trends (1988)Testing for Common TrendsTesting for Common Trends (1988)Testing for Common TrendsForecasting and testing in co-integrated systems (1987)Forecasting and testing in co…Effects of model specification on tests for unit roots in macroeconomic data (1987)Effects of model specificatio…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Recent estimates of exchange rate pass-through to import prices in the euro area (2015)Recent estimates of exchange …More powerful Engle–Granger cointegration tests (2014)More powerful Engle–Granger c…Regime-Dependent Relationships Among the Stock Markets of the US, Australia, and New Zealand: A Markov Switching VAR Approach (2011)Regime-Dependent Relationship…Residuals‐based tests for the null of no‐cointegration: an Analytical comparison (2006)Residuals‐based tests for the…Fragmentation and East Asia's information technology trade (2006)Fragmentation and East Asia's…Monetary Policy in a Markov-Switching Vector Error-Correction Model (2005)Monetary Policy in a Markov-S…Returns to American Agricultural Research (1999)Returns to American Agricultu…Real exchange rates and structural breaks (1996)Real exchange rates and struc…HAS FEDERAL BUDGET DEFICIT POLICY CHANGED IN RECENT YEARS? (1995)HAS FEDERAL BUDGET DEFICIT PO…Alternative stratetgies for ‘augmenting’ the dickey-fuller test: size-robustness in the face of pre-testing (1995)Alternative stratetgies for ‘…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)A PANIC Attack on Unit Roots and Cointegration (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Macroeconomics and Reality (1980)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Critical Values for Cointegration Tests (2010)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Testing for a Unit Root in Time Series Regression (1988)Why Does Stock Market Volatility Change Over Time? (1989)Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)The distribution of realized stock return volatility (2001)Time Series Analysis: Forecasting and Control (1977)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Spurious regression and residual-based tests for cointegration in panel data (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Estimating long-run relationships from dynamic heterogeneous panels (1995)The behavior of real exchange rates during the post-Bretton Woods period (1998)Tourism expansion and economic development: The case of Taiwan (2005)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1987Forecasting and testing in co-integrated systems1,896 cited
  • 1988Testing for Common Trends1,894 cited
  • 1988Tests For Unit Roots: A Monte Carlo Investigation1,244 cited
  • 1993Long-Run Economic Relationships: Readings in Cointegration.925 cited
  • 1989Tests for Unit Roots: A Monte Carlo Investigation645 cited
  • 1987Effects of model specification on tests for unit roots in macroeconomic data637 cited
  • 1988Testing for Common Trends428 cited
  • 1990A Powerful, Simple Test For Cointegration Using Cochrane- Orcutt49 cited
  • 1992Critical Values for the Žα‐Phillips‐Ouliaris Test for Cointegration*48 cited

Cited by

  • 1995HAS FEDERAL BUDGET DEFICIT POLICY CHANGED IN RECENT YEARS?105 cited
  • 2015Recent estimates of exchange rate pass-through to import prices in the euro area

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35 cited
  • 2005Monetary Policy in a Markov-Switching Vector Error-Correction Model34 cited
  • 2011Regime-Dependent Relationships Among the Stock Markets of the US, Australia, and New Zealand: A Markov Switching VAR Approach33 cited
  • 1996Real exchange rates and structural breaks28 cited
  • 1995Alternative stratetgies for ‘augmenting’ the dickey-fuller test: size-robustness in the face of pre-testing21 cited
  • 1999Returns to American Agricultural Research21 cited
  • 2006Fragmentation and East Asia's information technology trade20 cited
  • 2006Residuals‐based tests for the null of no‐cointegration: an Analytical comparison18 cited
  • 2014More powerful Engle–Granger cointegration tests18 cited