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Testing for cointegration
6 references·16 citing·40 second hop
Testing for cointegration (1993)Testing for cointegrationAsymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW (1986)ECONOMETRIC MODELLING WITH CO…Testing the Random Walk Hypothesis: Power versus Frequency of Observation (1985)Testing the Random Walk Hypot…Testing the random walk hypothesis (1985)Testing the random walk hypot…Note on the Correlation of First Differences of Averages in a Random Chain (1960)Note on the Correlation of Fi…Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series (2015)Testing for Cointegration wit…Cointegration and sampling frequency (2011)Cointegration and sampling fr…The Money-prices Nexus for Malaysia: New Empirical Evidence from the Time-varying Cointegration and Causality Tests (2010)The Money-prices Nexus for Ma…Temporal aggregation, cointegration and causality inference (2008)Temporal aggregation, cointeg…Are Spot Freight Rates Stationary? (2006)Are Spot Freight Rates Statio…Sources of variations between the inflation rates of Korea, Thailand and Indonesia during the post-1997 crisis (2005)Sources of variations between…Nonlinearity in the stock price–dividend relation (2005)Nonlinearity in the stock pri…Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity (2004)Optimal Power for Testing Pot…With a Bang, not a Whimper: Pricking Germany's “Stock Market Bubble” in 1927 and the Slide into Depression (2003)With a Bang, not a Whimper: P…With a Bang, Not a Whimper: Pricking Germany's 'Stock Market Bubble' in 1927 and the Slide into Depression (2001)With a Bang, Not a Whimper: P…Misspecification versus bubbles in hyperinflation data: Monte Carlo and interwar European evidence (2000)Misspecification versus bubbl…Regionalization in the World Crude Oil Market: Further Evidence (1999)Regionalization in the World …Testing for cointegration: Power versus frequency of observation — another view (1995)Testing for cointegration: Po…Stock prices, dividends and retention: Long-run relationships and short-run dynamics (1995)Stock prices, dividends and r…The Treasury Yield Curve as a Cointegrated System (1992)The Treasury Yield Curve as a…Estimating the Continuous-Time Consumption-Based Asset-Pricing Model (1987)Estimating the Continuous-Tim…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)COINTEGRATION AND UNIT ROOTS (1990)Peasants or Bankers? 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this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1986ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW631 cited
  • 1985Testing the Random Walk Hypothesis: Power versus Frequency of Observation475 cited
  • 1960Note on the Correlation of First Differences of Averages in a Random Chain406 cited
  • 1985Testing the random walk hypothesis366 cited

Cited by

  • 1999Regionalization in the World Crude Oil Market: Further Evidence130 cited
  • 2005Nonlinearity in the stock price–dividend relation91 cited
  • 1992The Treasury Yield Curve as a Cointegrated System77 cited
  • 1987Estimating the Continuous-Time Consumption-Based Asset-Pricing Model76 cited
  • 2003With a Bang, not a Whimper: Pricking Germany's “Stock Market Bubble” in 1927 and the Slide into Depression68 cited
  • 2006Are Spot Freight Rates Stationary?62 cited
  • 2004Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity48 cited
  • 1995Testing for cointegration: Power versus frequency of observation — another view46 cited
  • 2015

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Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series
35 cited
  • 1995Stock prices, dividends and retention: Long-run relationships and short-run dynamics34 cited
  • 2011Cointegration and sampling frequency31 cited
  • 2001With a Bang, Not a Whimper: Pricking Germany's 'Stock Market Bubble' in 1927 and the Slide into Depression25 cited
  • 2008Temporal aggregation, cointegration and causality inference24 cited
  • 2010The Money-prices Nexus for Malaysia: New Empirical Evidence from the Time-varying Cointegration and Causality Tests21 cited
  • 2000Misspecification versus bubbles in hyperinflation data: Monte Carlo and interwar European evidence21 cited
  • 2005Sources of variations between the inflation rates of Korea, Thailand and Indonesia during the post-1997 crisis20 cited