SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Strongly Consistent Determination of Cointegrating Rank Via Canonical Correlations
16 references·3 citing·28 second hop
Strongly Consistent Determination of Cointegrating Rank Via Canonical Correlations (2000)Strongly Consistent Determination of Coin…A REVIEW OF SYSTEMS COINTEGRATION TESTS (2001)A REVIEW OF SYSTEMS COINTEGRA…Tests for cointegration a Monte Carlo comparison (1996)Tests for cointegration a Mon…Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data. (1996)Co-Integration, Error Correct…Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks in Vector Autoregressions (1995)Finite Sample Performance of …Five alternative methods of estimating long-run equilibrium relationships (1994)Five alternative methods of e…Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Co-integration, Error Correct…Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation (1992)Estimation and Testing of Coi…Comparisons of tests for multivariate cointegration (1992)Comparisons of tests for mult…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Tests for Unit Roots: A Monte Carlo Investigation (1989)Tests for Unit Roots: A Monte…Tests For Unit Roots: A Monte Carlo Investigation (1988)Tests For Unit Roots: A Monte…Testing for Common Trends (1988)Testing for Common TrendsStatistical analysis of cointegration vectors (1988)Statistical analysis of coint…Common nonstationary components of asset prices (1988)Common nonstationary componen…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Vector autoregressive moving average identification for macroeconomic modeling: A new methodology (2016)Vector autoregressive moving …A Comparison of Sequential and Information‐based Methods for Determining the Co‐integration Rank in Heteroskedastic VAR Models (2015)A Comparison of Sequential an…Geometric and long run aspects of Granger causality (2013)Geometric and long run aspect…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)THE POWER OF COINTEGRATION TESTS (1992)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Does financial development cause economic growth? Time-series evidence from 16 countries (1996)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Spurious regression and residual-based tests for cointegration in panel data (1999)On the estimation and inference of a cointegrated regression in panel data (2004)Trends and random walks in macroeconmic time series (1982)A PANIC Attack on Unit Roots and Cointegration (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)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)Why Does Stock Market Volatility Change Over Time? (1989)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Generalized impulse response analysis in linear multivariate models (1998)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Taking Time Seriously (2008)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)
this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1988Testing for Common Trends1,894 cited
  • 1993Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data1,758 cited
  • 1996Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data.1,578 cited
  • 1988Tests For Unit Roots: A Monte Carlo Investigation1,244 cited
  • 1994Five alternative methods of estimating long-run equilibrium relationships1,129 cited
  • 1989Tests for Unit Roots: A Monte Carlo Investigation645 cited
  • 1992Comparisons of tests for multivariate cointegration582 cited
  • 1992Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation489 cited
  • 1996Tests for cointegration a Monte Carlo comparison264 cited
  • 1995Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks in Vector Autoregressions200 cited
  • 1988Common nonstationary components of asset prices

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

122 cited
  • 2001A REVIEW OF SYSTEMS COINTEGRATION TESTS110 cited
  • Cited by

    • 2015A Comparison of Sequential and Information‐based Methods for Determining the Co‐integration Rank in Heteroskedastic VAR Models14 cited
    • 2016Vector autoregressive moving average identification for macroeconomic modeling: A new methodology14 cited
    • 2013Geometric and long run aspects of Granger causality12 cited