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Econometric Inference in the Vicinity of Unity. 1
14 references·7 citing·35 second hopsampled
Econometric Inference in the Vicinity of Unity. 1 (2009)Econometric Inference in the Vicinity of …LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS (2009)LIMIT THEORY FOR COINTEGRATED…Limit theory for moderate deviations from a unit root (2005)Limit theory for moderate dev…On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots (1998)On the Robustness of Cointegr…A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)A Simple Estimator of Cointeg…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Asymptotically Efficient Estimation of Cointegration Regressions (1991)Asymptotically Efficient Esti…Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Statistical Inference in Inst…Statistical Inference in Regressions with Integrated Processes: Part 2 (1989)Statistical Inference in Regr…Statistical Inference in Regressions with Integrated Processes: Part 1 (1988)Statistical Inference in Regr…Regression Theory for Near-Integrated Time Series (1988)Regression Theory for Near-In…Towards a Unified Asymptotic Theory for Autoregression (1987)Towards a Unified Asymptotic …Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Asymptotic Properties of Leas…Multiple Time Series Regression with Integrated Processes (1986)Multiple Time Series Regressi…TESTING FOR SPECULATIVE BUBBLES USING SPOT AND FORWARD PRICES (2017)TESTING FOR SPECULATIVE BUBBL…Robust econometric inference with mixed integrated and mildly explosive regressors (2016)Robust econometric inference …The financial econometrics of price discovery and predictability (2015)The financial econometrics of…Predictive quantile regression with persistent covariates: IVX-QR approach (2015)Predictive quantile regressio…Instrumental variable and variable addition based inference in predictive regressions (2015)Instrumental variable and var…Predictive regression under various degrees of persistence and robust long-horizon regression (2013)Predictive regression under v…Regime-Specific Predictability in Predictive Regressions (2012)Regime-Specific Predictabilit…Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Trends and random walks in macroeconmic time series (1982)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)International R&D spillovers (1995)Statistical analysis of cointegration vectors (1988)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)Inference in Linear Time Series Models with some Unit Roots (1990)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)Understanding spurious regressions in econometrics (1986)Productivity Across Industries and Countries: Time Series Theory and Evidence (1996)Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window (2010)Testing for Granger causality in heterogeneous mixed panels (2010)Testing for a unit root in panels with dynamic factors (2004)The local power of some unit root tests for panel data (2004)Efficient tests of stock return predictability☆ (2006)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)On the estimation and inference of a cointegrated regression in panel data (2004)Testing for Error Correction in Panel Data* (2007)Structural analysis of vector error correction models with exogenous I(1) variables (2000)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)A simple panel unit root test in the presence of cross‐section dependence (2007)
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References

  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 cited
  • 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes4,930 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors1,471 cited
  • 1991Asymptotically Efficient Estimation of Cointegration Regressions1,263 cited
  • 1987Towards a Unified Asymptotic Theory for Autoregression842 cited
  • 1986Multiple Time Series Regression with Integrated Processes837 cited
  • 1988Statistical Inference in Regressions with Integrated Processes: Part 1749 cited
  • 1989Statistical Inference in Regressions with Integrated Processes: Part 2521 cited
  • 2005Limit theory for moderate deviations from a unit root454 cited
  • 1988Regression Theory for Near-Integrated Time Series366 cited
  • 1998On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots255 cited
  • 2009LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS93 cited

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  • 2013Predictive regression under various degrees of persistence and robust long-horizon regression109 cited
  • 2015Predictive quantile regression with persistent covariates: IVX-QR approach63 cited
  • 2015Instrumental variable and variable addition based inference in predictive regressions57 cited
  • 2016Robust econometric inference with mixed integrated and mildly explosive regressors49 cited
  • 2017TESTING FOR SPECULATIVE BUBBLES USING SPOT AND FORWARD PRICES49 cited
  • 2012Regime-Specific Predictability in Predictive Regressions45 cited
  • 2015The financial econometrics of price discovery and predictability34 cited