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Testing cointegration relationship in a semiparametric varying coefficient model
16 references·0 citing·34 second hop
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1996Residual-based tests for cointegration in models with regime shifts2,521 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 1991Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?1,589 cited
  • 2004The Purchasing Power Parity Debate1,034 cited
  • 1992Tests for Parameter Instability in Regressions with 1(1) Processes944 cited
  • 1986Multiple Time Series Regression with Integrated Processes837 cited
  • 1992Tests for Parameter Instability in Regressions with I(1) Processes573 cited

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1994
A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration
539 cited
  • 2001Nonlinear Regressions with Integrated Time Series426 cited
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