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The Power of Cointegration Tests versus Data Frequency and Time Spans
11 references·9 citing·33 second hop
The Power of Cointegration Tests versus Data Frequency and Time Spans (2001)The Power of Cointegration Tests versus D…Critical Values for Cointegration Tests (2010)Critical Values for Cointegra…Co-Integration and Error-Correction: Representation, Estimation, and Testing (2010)Co-Integration and Error-Corr…Empirical tests to discern the dynamic causal chain in macroeconomic activity: new evidence from Thailand and Malaysia based on a multivariate cointegration/vector error-correction modeling approach (1996)Empirical tests to discern th…Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified (1995)Testing for Cointegration Whe…Lag Order and Critical Values of the Augmented Dickey-Fuller Test (1995)Lag Order and Critical Values…FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)FINITE‐SAMPLE SIZES OF JOHANS…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …Cointegration: how short is the long run? (1991)Cointegration: how short is t…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Testing the Random Walk Hypothesis: Power versus Frequency of Observation (1985)Testing the Random Walk Hypot…Effects of inflation uncertainty and exchange rate volatility on money demand in Pakistan: Bayesian econometric analysis (2021)Effects of inflation uncertai…International Trade and Economic Growth: The Nexus, the Evidence, and the Policy Implications for South Africa (2020)International Trade and Econo…Sculpture as an Alternative Investment: An Analysis of Price Dynamics between Sculpture and Equity and Bond Markets (2015)Sculpture as an Alternative I…The Fisher effect in the presence of time-varying coefficients (2014)The Fisher effect in the pres…Short- and long-run relationships between natural gas consumption and economic growth: Evidence from Pakistan (2014)Short- and long-run relations…The savings-growth nexus for the Malaysian economy: a view through rolling sub-samples (2011)The savings-growth nexus for …The long-run relationship between stock prices and goods prices: New evidence from panel cointegration (2009)The long-run relationship bet…Interest rate linkages within the European Monetary System: new evidence incorporating long-run trends (2003)Interest rate linkages within…Error correction exchange rate modeling: Evidence for Mexico (2001)Error correction exchange rat…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)THE POWER OF COINTEGRATION TESTS (1992)Numerical distribution functions for unit root and cointegration tests (1996)Residual-based tests for cointegration in models with regime shifts (1996)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)The local power of some unit root tests for panel data (2004)Carbon price forecasting based on CEEMDAN and LSTM (2022)Impact of climate policy uncertainty on traditional energy and green markets: Evidence from time-varying granger tests (2022)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Long memory processes and fractional integration in econometrics (1996)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)CO2 emissions and financial development in an emerging economy: An augmented VAR approach (2015)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Time Series Analysis: Forecasting and Control (1977)Multivariate Stochastic Variance Models (1994)Spurious regression and residual-based tests for cointegration in panel data (1999)Informed Trading in Stock and Option Markets (2004)Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation (2001)Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods (2011)An Empirical Evaluation of the Long-Run Risks Model for Asset Prices (2012)A Primer on Real Effective Exchange Rates: Determinants, Overvaluation, Trade Flows and Competitive Devaluation (2005)Bootstrap testing for the null of no cointegration in a threshold vector error correction model (2005)Realized Beta: Persistence and Predictability (2005)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)CO2 emissions, energy consumption, and output in France (2007)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 2010Critical Values for Cointegration Tests2,569 cited
  • 1993FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION1,206 cited
  • 1995Lag Order and Critical Values of the Augmented Dickey-Fuller Test687 cited
  • 1991Cointegration: how short is the long run?564 cited
  • 2010Co-Integration and Error-Correction: Representation, Estimation, and Testing489 cited
  • 1985Testing the Random Walk Hypothesis: Power versus Frequency of Observation475 cited
  • 1995Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified183 cited
  • 1996Empirical tests to discern the dynamic causal chain in macroeconomic activity: new evidence from Thailand and Malaysia based on a multivariate cointegration/vector error-correction modeling approach64 cited

Cited by

  • 2014Short- and long-run relationships between natural gas consumption and economic growth: Evidence from Pakistan100 cited
  • 2011The savings-growth nexus for the Malaysian economy: a view through rolling sub-samples55 cited

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2003
Interest rate linkages within the European Monetary System: new evidence incorporating long-run trends
29 cited
  • 2009The long-run relationship between stock prices and goods prices: New evidence from panel cointegration24 cited
  • 2001Error correction exchange rate modeling: Evidence for Mexico24 cited
  • 2014The Fisher effect in the presence of time-varying coefficients20 cited
  • 2021Effects of inflation uncertainty and exchange rate volatility on money demand in Pakistan: Bayesian econometric analysis19 cited
  • 2015Sculpture as an Alternative Investment: An Analysis of Price Dynamics between Sculpture and Equity and Bond Markets18 cited
  • 2020International Trade and Economic Growth: The Nexus, the Evidence, and the Policy Implications for South Africa17 cited