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The spurious effect of unit roots on vector autoregressions
12 references·10 citing·41 second hop
The spurious effect of unit roots on vector autoregressions (1993)The spurious effect of unit roots on vect…Vector Autoregressions and Causality (1993)Vector Autoregressions and Ca…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Inference in Linear Time Series Models with some Unit Roots (1990)Inference in Linear Time Seri…Statistical Inference in Regressions with Integrated Processes: Part 2 (1989)Statistical Inference in Regr…The spurious effects of unit roots on vector autoregressions (1988)The spurious effects of unit …Statistical Inference in Regressions with Integrated Processes: Part 1 (1988)Statistical Inference in Regr…Interpreting Evidence on Money-Income Causality (1987)Interpreting Evidence on Mone…Understanding spurious regressions in econometrics (1986)Understanding spurious regres…Money, Real Interest Rates, and Output: A Reinterpretation of Postwar U.S. Data (1985)Money, Real Interest Rates, a…Money, Real Interest Rates, and Output: A Reinterpretation of Postwar U.S. Data (1983)Money, Real Interest Rates, a…Policy Analysis with Econometric Models (1982)Policy Analysis with Economet…Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered (1980)Comparison of Interwar and Po…Exchange rates and fundamentals: A bootstrap panel data analysis (2018)Exchange rates and fundamenta…Can economic policy uncertainty, oil prices, and investor sentiment predict Islamic stock returns? A multi-scale perspective (2018)Can economic policy uncertain…Energy consumption and economic growth in the next 11 countries: The bootstrapped autoregressive metric causality approach (2014)Energy consumption and econom…Causality between energy and output in the long-run (2013)Causality between energy and …The Role of Energy in Economic Growth, (2011)The Role of Energy in Economi…The relationship between tourism receipts, real effective exchange rate and economic growth in Tunisia (2010)The relationship between tour…Tests for Long‐Run Granger Non‐Causality in Cointegrated Systems (2006)Tests for Long‐Run Granger No…The productivity–inflation nexus: the case of the Australian mining sector (2004)The productivity–inflation ne…Does OPEC Matter? An Econometric Analysis of Oil Prices (2004)Does OPEC Matter? An Economet…Infinite-Order Cointegrated Vector Autoregressive Processes (1996)Infinite-Order Cointegrated V…Money and Business Cycles (1963)MONEY, INCOME, AND CAUSALITY (1972)The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence (2002)ECONOMETRIC MODELS OF ASYMMETRIC PRICE TRANSMISSION (2007)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Imperfect Common Knowledge and the Effects of Monetary Policy (2021)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Macroeconomics and Reality (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Bayesian skepticism on unit root econometrics (1988)Energy consumption and GDP: causality relationship in G-7 countries and emerging markets (2002)Long-horizon regressions: theoretical results and applications (2003)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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Testing for a Unit Root in Time Series Regression (1988)Tourism and Economic Growth (2014)The relationship between tourism, financial development and economic growth in India (2017)Tourism and Economic Growth: A Meta-regression Analysis (2019)Optimal Inference in Cointegrated Systems (1991)Making wald tests work for cointegrated VAR systems (1996)Testing for short- and long-run causality: A frequency-domain approach (2005)Energy consumption, carbon emissions, and economic growth in China (2009)Time Series Analysis, Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Forecasting Economic Time Series (2000)Tourism as a long-run economic growth factor: the Spanish case (2002)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Energy consumption, real income and temporal causality: results from a multi-country study based on cointegration and error-correction modelling techniques (1996)Energy shocks and financial markets (1996)Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: A Comment (2004)Statistical inference in vector autoregressions with possibly integrated processes (1995)Structural analysis of vector error correction models with exogenous I(1) variables (2000)Testing for Error Correction in Panel Data* (2007)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)
this work references cited by second hop

References

  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
  • 1986Understanding spurious regressions in econometrics1,782 cited
  • 1993Vector Autoregressions and Causality867 cited
  • 1988Statistical Inference in Regressions with Integrated Processes: Part 1749 cited
  • 1982Policy Analysis with Econometric Models681 cited
  • 1987Interpreting Evidence on Money-Income Causality559 cited
  • 1989Statistical Inference in Regressions with Integrated Processes: Part 2521 cited
  • 1980Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered410 cited
  • 1983Money, Real Interest Rates, and Output: A Reinterpretation of Postwar U.S. Data236 cited
  • 1985Money, Real Interest Rates, and Output: A Reinterpretation of Postwar U.S. Data229 cited
  • 1988The spurious effects of unit roots on vector autoregressions78 cited

Cited by

  • 2010The relationship between tourism receipts, real effective exchange rate and economic growth in Tunisia276 cited
  • 2004Does OPEC Matter? An Econometric Analysis of Oil Prices245 cited
  • 2014

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Energy consumption and economic growth in the next 11 countries: The bootstrapped autoregressive metric causality approach
160 cited
  • 2018Can economic policy uncertainty, oil prices, and investor sentiment predict Islamic stock returns? A multi-scale perspective120 cited
  • 2013Causality between energy and output in the long-run115 cited
  • 2011The Role of Energy in Economic Growth,81 cited
  • 1996Infinite-Order Cointegrated Vector Autoregressive Processes63 cited
  • 2006Tests for Long‐Run Granger Non‐Causality in Cointegrated Systems24 cited
  • 2004The productivity–inflation nexus: the case of the Australian mining sector19 cited
  • 2018Exchange rates and fundamentals: A bootstrap panel data analysis15 cited