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ArticleDirect cointegration testing in error correction models

Frank R. Kleibergen1994

OA

Articlebronze1994

Direct cointegration testing in error correction models

Frank R. Kleibergen · Herman K. van Dijk

46 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Economic theories and models Diverse Scientific and Economic Studies

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1988Testing for Common Trends 1978Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom 1991Optimal Inference in Cointegrated Systems 1986Multiple Time Series Regression with Integrated Processes 1988Testing for Common Trends

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1997Cointegration Testing Using Pseudolikelihood Ratio Tests 1998Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods 1998A Review of systemscointegration tests 2002Semi-nonparametric cointegration testing

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1996Time-Series-Based Econometricsbook · 8 shared references 1993Co‐Integrationchapter · 8 shared references 1993Conclusionchapter · 8 shared references 1993Vector autoregressions and cointegrationpreprint · 7 shared references 1992Cointegration, exogeneity, and policy analysis: An overviewarticle · 7 shared references 1994Chapter 47 Vector autoregressions and cointegrationchapter · 7 shared references

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Year1994

Typearticle

Published1994-07-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations46

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/0304-4076(93)01561-y

openalex_workW1994517073

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