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Levels, Differences and Ecms - Principles for Improved Econometric Forecasting
16 references·0 citing·39 second hop
Levels, Differences and Ecms - Principles for Improved Econometric Forecasting (2004)Levels, Differences and Ecms - Principles…Replication in Empirical Economics: The Journal of Money, Credit and Banking Project (2016)Replication in Empirical Econ…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Forecasting Economic Time Series (2000)Forecasting Economic Time Ser…Forecasting Economic Time Series (1998)Forecasting Economic Time Ser…Elements of Forecasting (1997)Elements of ForecastingDynamic Econometrics (1995)Dynamic EconometricsVECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING (1992)VECTOR AUTOREGRESSIVE MODELS …Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…Testing for a Unit Root in a Time Series With a Changing Mean (1990)Testing for a Unit Root in a …Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Forecasting and testing in co-integrated systems (1987)Forecasting and testing in co…Unit roots, structural breaks and trends (1986)Unit roots, structural breaks…The theory and practice of econometrics (1986)The theory and practice of ec…Macroeconomics and Reality (1980)Macroeconomics and RealityDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Critical Values for Cointegration Tests (2010)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Political Choice in Britain (2004)Taking Time Seriously (2008)Asset pricing and the bid-ask spread (1986)The Effect of National Culture on the Choice of Entry Mode (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)An Almost Ideal Demand System (1980)Empirical exchange rate models of the seventies (1983)Generalized autoregressive conditional heteroskedasticity (1986)Further evidence on breaking trend functions in macroeconomic variables (1997)Oil price shocks and stock market activity (1999)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
  • 1986The theory and practice of econometrics4,342 cited
  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis1,956 cited
  • 1987Forecasting and testing in co-integrated systems1,896 cited
  • 2000Forecasting Economic Time Series1,768 cited
  • 1995Dynamic Econometrics1,199 cited
  • 1990Testing for a Unit Root in a Time Series With a Changing Mean1,180 cited
  • 1998Forecasting Economic Time Series863 cited
  • 2016Replication in Empirical Economics: The Journal of Money, Credit and Banking Project477 cited
  • 1992VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING460 cited
  • 1986Unit roots, structural breaks and trends438 cited

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  • 1997Elements of Forecasting413 cited
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