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Co-integration and trend-stationarity in macroeconomic time series
16 references·15 citing·20 second hop
Co-integration and trend-stationarity in macroeconomic time series (1992)Co-integration and trend-stationarity in …Inference in Linear Time Series Models with some Unit Roots (1990)Inference in Linear Time Seri…Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…Testing for Common Trends (1988)Testing for Common TrendsTesting for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Time Series Regression with a Unit Root (1987)Time Series Regression with a…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Understanding spurious regressions in econometrics (1986)Understanding spurious regres…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Testing for Unit Roots in Aut…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Some properties of time series data and their use in econometric model specification (1981)Some properties of time serie…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications (2014)Inference Based on SVARs Iden…Unit root tests with smooth breaks: an application to the Nelson–Plosser data set (2008)Unit root tests with smooth b…Transmission Mechanisms of Monetary Policy in Armenia (2006)Transmission Mechanisms of Mo…Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches (2006)Further critique of GARCH/ARM…Do self-control preferences help explain the puzzling behavior of asset prices? (2006)Do self-control preferences h…Bayesian Approaches to Cointegration (2006)Bayesian Approaches to Cointe…The End of Moderate Inflation in Three Transition Economies? (2002)The End of Moderate Inflation…Testing export exogeneity in Taiwan: further evidence (2000)Testing export exogeneity in …The End of Moderate Inflation in Three Transition Economies? (1999)The End of Moderate Inflation…On the interrelationships among real, monetary, and financial variables (1999)On the interrelationships amo…MORE EVIDENCE ON THE MONEY‐OUTPUT RELATIONSHIP (1997)MORE EVIDENCE ON THE MONEY‐OU…On the Long-Run Determinants of the U.S. Trade Balance: A Comment (1995)On the Long-Run Determinants …A numerical bayesian test for cointegration of AR processes (1995)A numerical bayesian test for…WHAT MACROECONOMISTS SHOULD KNOW ABOUT UNIT ROOTS (1994)WHAT MACROECONOMISTS SHOULD K…An objective Bayesian analysis of common stochastic trends in international stock prices and exchange rates (1994)An objective Bayesian analysi…Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Some recent development in a concept of causality (1988)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Statistical inference in vector autoregressions with possibly integrated processes (1995)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Testing for unit roots in heterogeneous panels (2003)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 1981Some properties of time series data and their use in econometric model specification2,406 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1988Testing for Common Trends1,894 cited

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  • 1986Understanding spurious regressions in econometrics1,782 cited
  • Cited by

    • 2008Unit root tests with smooth breaks: an application to the Nelson–Plosser data set75 cited
    • 2006Transmission Mechanisms of Monetary Policy in Armenia74 cited
    • 2006Bayesian Approaches to Cointegration54 cited
    • 1997MORE EVIDENCE ON THE MONEY‐OUTPUT RELATIONSHIP51 cited
    • 1995On the Long-Run Determinants of the U.S. Trade Balance: A Comment47 cited
    • 2006Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches47 cited
    • 1994WHAT MACROECONOMISTS SHOULD KNOW ABOUT UNIT ROOTS44 cited
    • 2014Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications42 cited
    • 2006Do self-control preferences help explain the puzzling behavior of asset prices?37 cited
    • 1994An objective Bayesian analysis of common stochastic trends in international stock prices and exchange rates30 cited
    • 2002The End of Moderate Inflation in Three Transition Economies?28 cited
    • 1995A numerical bayesian test for cointegration of AR processes22 cited
    • 1999The End of Moderate Inflation in Three Transition Economies?22 cited
    • 1999On the interrelationships among real, monetary, and financial variables21 cited
    • 2000Testing export exogeneity in Taiwan: further evidence18 cited