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The Wold Representation, Degree of Non-Cointegration, and the Johansen Trace Test
16 references·0 citing·34 second hop
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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
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
  • 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag1,459 cited
  • 1993FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION1,206 cited
  • 2002Determination of cointegrating rank in fractional systems241 cited
  • 2001Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate232 cited
  • 1994VAR analysis, nonfundamental representations, blaschke matrices201 cited
  • 1992The relationship between power and level for generic unit root tests in finite samples169 cited
  • 1988The mathematical structure of error correction models99 cited
  • 1990'Testing for a unit root In the presence of moving average errors'92 cited
  • 1997Multivariate Linear Rational Expectations Models77 cited
  • 1999Testing exact rational expectations in cointegrated vector autoregressive models69 cited

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  • 1999Size Distortions Of Tests Of The Null Hypothesis Of Stationarity: Evidence And Implications For The PPP Debate55 cited
  • 1997Analysis of cointegrated VARMA processes54 cited
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