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COINTEGRATION AND COMMON FACTORS

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References

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1977Time Series Analysis: Forecasting and Control19,200 cited
1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
1977Time Series Analysis: Forecasting and Control6,446 cited
1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
1981Some properties of time series data and their use in econometric model specification2,406 cited
1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
1988Testing for Common Trends1,894 cited
1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors1,471 cited
1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,314 cited
1991Asymptotically Efficient Estimation of Cointegration Regressions1,263 cited
1991Optimal Inference in Cointegrated Systems1,110 cited
1992Cointegration in partial systems and the efficiency of single-equation analysis982 cited
1992Common stochastic trends in international stock markets944 cited

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1991

Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots

681 cited

1992VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING460 cited

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2002Forecasting inflation in the European Monetary Union: A disaggregated approach by countries and by sectors61 cited
2020Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I ( 1 ) cointegrated factors46 cited
2021Measuring the Output Gap using Large Datasets34 cited
2005Asymmetries in bid and ask responses to innovations in the trading process34 cited
2021Factor extraction using Kalman filter and smoothing: This is not just another survey29 cited
2018Estimating Non-stationary Common Factors: Implications for Risk Sharing28 cited
2016Non-Stationary Dynamic Factor Models for Large Datasets27 cited
2015A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance26 cited
1998Computation of the Beveridge–Nelson decomposition for multivariate economic time series22 cited
2007A common factor analysis for the US and the German stock markets during overlapping trading hours21 cited
2021Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages18 cited
2015MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE15 cited
2016Non-Stationary Dynamic Factor Models for Large Datasets15 cited
2004ECONOMETRIC MODELLING FOR SHORT-TERM INFLATION FORECASTING IN THE EMU.12 cited