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Co-integration and trend-stationarity in macroeconomic time series · Study

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ArticleCo-integration and trend-stationarity in macroeconomic time series

David N. DeJong1992

Article1992

Co-integration and trend-stationarity in macroeconomic time series

David N. DeJong

81 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Economic theories and models Diverse Scientific and Economic Studies

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 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 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 1982Trends and random walks in macroeconmic time series 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order 1987Time Series Regression with a Unit Root

Cited by

2008Unit root tests with smooth breaks: an application to the Nelson–Plosser data set 2006Transmission Mechanisms of Monetary Policy in Armenia 2006Bayesian Approaches to Cointegration 1997MORE EVIDENCE ON THE MONEY‐OUTPUT RELATIONSHIP 2006Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches 1995On the Long-Run Determinants of the U.S. Trade Balance: A Comment

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1996Time-Series-Based Econometricsbook · 26 shared references 1994WHAT MACROECONOMISTS SHOULD KNOW ABOUT UNIT ROOTSarticle · 20 shared references 1994Chapter 46 Unit roots, structural breaks and trendschapter · 18 shared references 1990COINTEGRATION AND UNIT ROOTSarticle · 17 shared references 1994Chapter 47 Vector autoregressions and cointegrationchapter · 17 shared references 1995Interpreting Linear Modelschapter · 17 shared references

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Year1992

Typearticle

Published1992-06-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations81

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/0304-4076(92)90016-k

openalex_workW1545678928

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1994WHAT MACROECONOMISTS SHOULD KNOW ABOUT UNIT ROOTS

2014Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications