SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples
16 references·1 citing·29 second hop
Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples (1998)Reconsidering Cointegration in Internatio…Pitfalls in testing for long run relationships (1998)Pitfalls in testing for long …On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots (1998)On the Robustness of Cointegr…The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk (1994)The monetary model of the exc…Five alternative methods of estimating long-run equilibrium relationships (1994)Five alternative methods of e…Cointegration, Fractional Cointegration, and Exchange Rate Dynamics (1994)Cointegration, Fractional Coi…Vector autoregressions and cointegration (1993)Vector autoregressions and co…FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)FINITE‐SAMPLE SIZES OF JOHANS…VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING (1992)VECTOR AUTOREGRESSIVE MODELS …Common stochastic trends in international stock markets (1992)Common stochastic trends in i…Canonical Cointegrating Regressions (1992)Canonical Cointegrating Regre…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…Common Stochastic Trends in a System of Exchange Rates (1989)Common Stochastic Trends in a…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Exchange rates and order flow in the long run (2006)Exchange rates and order flow…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Spurious regression and residual-based tests for cointegration in panel data (1999)On the estimation and inference of a cointegrated regression in panel data (2004)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)The econometrics of financial markets (1996)Country spreads and emerging countries: Who drives whom? (2005)Stock prices and exchange rate dynamics (2005)Understanding spurious regressions in econometrics (1986)Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Structural analysis of vector error correction models with exogenous I(1) variables (2000)Dealing with Structural Breaks (2005)Testing for a Unit Root in Time Series Regression (1988)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network (1994)Long memory processes and fractional integration in econometrics (1996)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)CO2 emissions, energy consumption, and output in France (2007)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Introductory Econometrics for Finance (2008)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)Bounds testing approaches to the analysis of level relationships (2001)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1992Canonical Cointegrating Regressions1,383 cited
  • 1993FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION1,206 cited
  • 1994Five alternative methods of estimating long-run equilibrium relationships1,129 cited
  • 1992Common stochastic trends in international stock markets944 cited
  • 1989Common Stochastic Trends in a System of Exchange Rates626 cited
  • 1992VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING460 cited
  • 1994Cointegration, Fractional Cointegration, and Exchange Rate Dynamics363 cited
  • 1994The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk295 cited
  • 1993Vector autoregressions and cointegration285 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1998On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots255 cited
  • 1998Pitfalls in testing for long run relationships226 cited
  • Cited by

    • 2006Exchange rates and order flow in the long run28 cited