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A Canonical Form for Unit Root Processes in the State Space Framework
10 references·1 citing·37 second hop
A Canonical Form for Unit Root Processes in the State Space Framework (2003)A Canonical Form for Unit Root Processes …THE VARIANCE OF AN INTEGRATED PROCESS NEED NOT DIVERGE TO INFINITY, AND RELATED RESULTS ON PARTIAL SUMS OF STATIONARY PROCESSES (2001)THE VARIANCE OF AN INTEGRATED…MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART I (1999)MULTIVARIATE TIME SERIES WITH…Likelihood analysis of seasonal cointegration (1999)Likelihood analysis of season…Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data. (1996)Co-Integration, Error Correct…Polynomial cointegration estimation and test (1994)Polynomial cointegration esti…A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)A Simple Estimator of Cointeg…Maximum likelihood inference on cointegration and seasonal cointegration (1992)Maximum likelihood inference …A Representation of Vector Autoregressive Processes Integrated of Order 2 (1992)A Representation of Vector Au…Investigation of production, sales and inventory relationships using multicointegration and non-symmetric error correction models (1989)Investigation of production, …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS (2009)A REPRESENTATION THEORY FOR P…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Statistical analysis of cointegration vectors (1988)Representations of I(2) cointegrated systems using the Smith-McMillan form (1998)Testing for the cointegration rank when some cointegrating directions are changing (2004)Chapter 6 Forecasting with VARMA Models (2006)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (1992)On the limitations of comparing mean square forecast errors (1993)Explaining Cointegration Analysis: Part 1 (2000)Modelling Nonlinear Economic Time Series (2010)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Unit roots, structural breaks and trends (1986)Time Series Regression with a Unit Root (1987)On PPP, unit roots and panels (2007)When is a Time‐Series I(0)?* (2009)Seasonal integration and cointegration (1990)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Asymptotic Inference on Cointegrating Rank in Partial Systems (1998)Periodic Time Series Models (2004)Differences in long run exchange rate pass-through into import prices in developing countries: An empirical investigation (2006)Tests of seasonal integration and cointegration in multivariate unobserved component models (2006)Some properties of time series data and their use in econometric model specification (1981)Efficient tests for the presence of a pair of complex conjugate unit roots in real time series (2004)Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors (2020)Forecasting and testing in co-integrated systems (1987)Hidden Cointegration (2002)New Evidence on Asymmetric Gasoline Price Responses (2003)Asymmetric Price Transmission: A Survey (2004)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)The Japanese consumption function (1993)Forecast combining with neural networks (1996)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Does financial development cause economic growth? Time-series evidence from 16 countries (1996)Taking Time Seriously (2008)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 cited
  • 1996Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data.1,578 cited
  • 1989Investigation of production, sales and inventory relationships using multicointegration and non-symmetric error correction models579 cited
  • 1992A Representation of Vector Autoregressive Processes Integrated of Order 2331 cited
  • 1992Maximum likelihood inference on cointegration and seasonal cointegration196 cited
  • 1999Likelihood analysis of seasonal cointegration161 cited
  • 1999MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART I37 cited
  • 2001THE VARIANCE OF AN INTEGRATED PROCESS NEED NOT DIVERGE TO INFINITY, AND RELATED RESULTS ON PARTIAL SUMS OF STATIONARY PROCESSES37 cited
  • 1994Polynomial cointegration estimation and test35 cited

Cited by

  • 2009A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS16 cited

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