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Cointegration tests in present value relationships
16 references·0 citing·33 second hop
Cointegration tests in present value relationships (1991)Cointegration tests in present value rela…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…How Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…Bayesian skepticism on unit root econometrics (1988)Bayesian skepticism on unit r…Time Series Regression with a Unit Root (1987)Time Series Regression with a…Forecasting and testing in co-integrated systems (1987)Forecasting and testing in co…Effects of model specification on tests for unit roots in macroeconomic data (1987)Effects of model specificatio…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…Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Asymptotic Properties of Leas…Understanding spurious regressions in econometrics (1986)Understanding spurious regres…Does the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…Asset Bubbles and Overlapping Generations (1985)Asset Bubbles and Overlapping…Asset Bubbles and Overlapping Generations (1985)Asset Bubbles and Overlapping…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Trends and random walks in macroeconmic time series (1982)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)International R&D spillovers (1995)Macroeconomics and Reality (1980)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Introductory Econometrics for Finance (2008)Critical Values for Cointegration Tests (2010)Time Series Analysis, Forecasting and Control. (1971)Forecasting Economic Time Series (2000)Tourism as a long-run economic growth factor: the Spanish case (2002)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for a Unit Root in Time Series Regression (1988)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)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Stock Prices, Earnings, and Expected Dividends (1988)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 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
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1987Forecasting and testing in co-integrated systems1,896 cited
  • 1986Understanding spurious regressions in econometrics1,782 cited
  • 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors1,471 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited
  • 1985Asset Bubbles and Overlapping Generations853 cited
  • 1985Asset Bubbles and Overlapping Generations674 cited
  • 1987Effects of model specification on tests for unit roots in macroeconomic data637 cited

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  • 1988Bayesian skepticism on unit root econometrics527 cited
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