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Multiple regression with integrated time series

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References

1987Cointegration and Tests of Present Value Models2,160 cited
1987Permanent and Transitory Components in Macroeconomic Fluctuations253 cited

Cited by

1994Chapter 45 Estimation and inference for dependent processes134 cited
1988Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations127 cited
1996Time-Series-Based Econometrics103 cited
2009LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS93 cited
1994Parameter Constancy in Cointegrating Regressions87 cited
1993Parameter constancy in cointegrating regressions70 cited
2009UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST59 cited
1992Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection45 cited
2001Descriptive econometrics for non‐stationary time series with empirical illustrations44 cited
1994Durbin-Hausman tests for cointegration38 cited
1994Spurious regressions and residual-based tests for cointegration when regressors are cointegrated38 cited
1993Testing for a unit root by frequency domain regression23 cited

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1995

Nonstationary time series and cointegration

21 cited

2019Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression13 cited