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Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models

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References

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1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
2004PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS6,696 cited
1999Pooled Mean Group Estimation of Dynamic Heterogeneous Panels6,673 cited
1999Spurious regression and residual-based tests for cointegration in panel data5,792 cited
1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
1993Introduction to Multiple Time Series Analysis1,912 cited
1999Linear Regression Limit Theory for Nonstationary Panel Data1,409 cited
1992Canonical Cointegrating Regressions1,383 cited
1998The overvaluation of purchasing power parity1,208 cited
1991Optimal Inference in Cointegrated Systems1,110 cited

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1993

Vector Autoregressions and Causality

867 cited

1995Fully Modified Least Squares and Vector Autoregression597 cited

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