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Vector autoregressions and cointegration
16 references·16 citing·26 second hopsampled
Vector autoregressions and cointegration (1993)Vector autoregressions and cointegrationCritical Values for Cointegration Tests (2010)Critical Values for Cointegra…A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)A Simple Estimator of Cointeg…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Statistical Inference in Inst…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Inference in Linear Time Series Models with some Unit Roots (1990)Inference in Linear Time Seri…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…Time Series Regression with a Unit Root (1987)Time Series Regression with a…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Testing for Unit Roots in Aut…Macroeconomics and Reality (1980)Macroeconomics and RealityDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Stochastic Implications of th…MONEY, INCOME, AND CAUSALITY (1972)MONEY, INCOME, AND CAUSALITYInvestigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Vector autoregressive models (2013)Vector autoregressive modelsStructural vector autoregressions (2013)Structural vector autoregress…Consumer preferences and demand systems (2008)Consumer preferences and dema…Vector Autoregressive Models for Multivariate Time Series (2007)Vector Autoregressive Models …Optimal Inference in Regression Models with Nearly Integrated Regressors (2006)Optimal Inference in Regressi…Bootstrap testing for the null of no cointegration in a threshold vector error correction model (2005)Bootstrap testing for the nul…Vector Autoregressive Models for Multivariate Time Series (2003)Vector Autoregressive Models …New Evidence on Asymmetric Gasoline Price Responses (2003)New Evidence on Asymmetric Ga…Long-horizon regressions: theoretical results and applications (2003)Long-horizon regressions: the…Accumulation, distribution and employment: a structural VAR approach to a Kaleckian macro model (2003)Accumulation, distribution an…Long-Horizon Exchange Rate Predictability? (2001)Long-Horizon Exchange Rate Pr…A systematic framework for analyzing the dynamic effects of permanent and transitory shocks (2001)A systematic framework for an…A revival of the autoregressive distributed lag model in estimating energy demand relationships (2001)A revival of the autoregressi…Stock prices and domestic and international macroeconomic activity: a cointegration approach (2000)Stock prices and domestic and…Pitfalls in testing for long run relationships (1998)Pitfalls in testing for long …Monetary policy and the term structure of nominal interest rates: Evidence and theory (1998)Monetary policy and the term …Aggregate Dynamics and Staggered Contracts (1980)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Impulse response analysis in nonlinear multivariate models (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)Statistical analysis of cointegration vectors (1988)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Testing for a Unit Root in Time Series Regression (1988)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Trends and random walks in macroeconmic time series (1982)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 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
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence3,581 cited
  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
  • 1972MONEY, INCOME, AND CAUSALITY3,013 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited

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  • 2010Critical Values for Cointegration Tests2,569 cited
  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
  • Cited by

    • 2003Long-horizon regressions: theoretical results and applications523 cited
    • 2003New Evidence on Asymmetric Gasoline Price Responses380 cited
    • 2003Vector Autoregressive Models for Multivariate Time Series343 cited
    • 1998Monetary policy and the term structure of nominal interest rates: Evidence and theory291 cited
    • 2000Stock prices and domestic and international macroeconomic activity: a cointegration approach276 cited
    • 2001A revival of the autoregressive distributed lag model in estimating energy demand relationships233 cited
    • 1998Pitfalls in testing for long run relationships226 cited
    • 2006Optimal Inference in Regression Models with Nearly Integrated Regressors226 cited
    • 2001A systematic framework for analyzing the dynamic effects of permanent and transitory shocks217 cited
    • 2001Long-Horizon Exchange Rate Predictability?197 cited
    • 2007Vector Autoregressive Models for Multivariate Time Series179 cited
    • 2005Bootstrap testing for the null of no cointegration in a threshold vector error correction model167 cited
    • 2013Structural vector autoregressions165 cited
    • 2013Vector autoregressive models165 cited
    • 2003Accumulation, distribution and employment: a structural VAR approach to a Kaleckian macro model158 cited
    • 2008Consumer preferences and demand systems153 cited