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ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW
10 references·16 citing·34 second hop
ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW (1986)ECONOMETRIC MODELLING WITH COINTEGRATED V…Towards a Unified Asymptotic Theory for Autoregression (1987)Towards a Unified Asymptotic …Understanding spurious regressions in econometrics (1986)Understanding spurious regres…Multiple Time Series Regression with Integrated Processes (1986)Multiple Time Series Regressi…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Serial Correlation as a Convenient Simplification, Not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England (1978)Serial Correlation as a Conve…Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom (1978)Econometric Modelling of the …Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Econometric Analysis for National Economic Planning (1971)Econometric Analysis for Nati…Economic Reforms, FDI, and Economic Growth in India: A Sector Level Analysis (2008)Economic Reforms, FDI, and Ec…Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore's All-S Sector Indices (2005)Relationship between Macroeco…GOLD AS AN INFLATION HEDGE? (2004)GOLD AS AN INFLATION HEDGE?Foreign direct investment and growth in India: a cointegration approach (2002)Foreign direct investment and…Long and short term dynamic causal transmission amongst international stock markets (2001)Long and short term dynamic c…Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England (2000)Serial Correlation as a Conve…Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets (1999)Are Asian stock market fluctu…Cointegration, error-correction, and the relationship between GDP and energy: (1998)Cointegration, error-correcti…EXCHANGE RATE PASS‐THROUGH (1995)EXCHANGE RATE PASS‐THROUGHTesting the lucas critique: A review (1992)Testing the lucas critique: A…Peasants or Bankers? The American Electorate and the U.S. Economy (1992)Peasants or Bankers? 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(1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Income, Saving and the Theory of Consumer Behavior. (1950)Some properties of time series data and their use in econometric model specification (1981)Testing for Common Trends (1988)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Time Series Analysis, Forecasting and Control. (1971)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Forecasting Economic Time Series (2000)Tourism as a long-run economic growth factor: the Spanish case (2002)Testing for a Unit Root in Time Series Regression (1988)A multivariate cointegration analysis of the role of energy in the US macroeconomy (2000)The causality relationship between energy consumption and GDP in G-11 countries revisited (2005)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)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 panels with dynamic factors (2004)The local power of some unit root tests for panel data (2004)Efficient tests of stock return predictability☆ (2006)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Exponential smoothing: The state of the art (1985)Using daily stock returns (1985)Generalized autoregressive conditional heteroskedasticity (1986)
this work references cited by second hop

References

  • 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
  • 1977Time Series Analysis: Forecasting and Control6,446 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1986Understanding spurious regressions in econometrics1,782 cited
  • 1978Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom1,629 cited
  • 1987Towards a Unified Asymptotic Theory for Autoregression842 cited
  • 1986Multiple Time Series Regression with Integrated Processes837 cited
  • 1978Serial Correlation as a Convenient Simplification, Not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England612 cited
  • 1971Econometric Analysis for National Economic Planning608 cited

Cited by

  • 1992Peasants or Bankers? The American Electorate and the U.S. Economy1,093 cited
  • 1990COINTEGRATION AND UNIT ROOTS638 cited
  • 1995EXCHANGE RATE PASS‐THROUGH493 cited
  • 2000Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England430 cited

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

  • 1998Cointegration, error-correction, and the relationship between GDP and energy:355 cited
  • 2002Foreign direct investment and growth in India: a cointegration approach343 cited
  • 1999Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets339 cited
  • 1990Purchasing Power Parity in the Long Run: A Cointegration Approach330 cited
  • 2005Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore's All-S Sector Indices314 cited
  • 2008Economic Reforms, FDI, and Economic Growth in India: A Sector Level Analysis303 cited
  • 1988SEASONALITY AND THE ORDER OF INTEGRATION FOR CONSUMPTION*299 cited
  • 2001Long and short term dynamic causal transmission amongst international stock markets290 cited
  • 2004GOLD AS AN INFLATION HEDGE?283 cited
  • 1990Co-Integration and Error-Correction Models: The Temporal Causality between Government Taxes and Spending263 cited
  • 1988Interpreting cointegrated models246 cited
  • 1992Testing the lucas critique: A review220 cited