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Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks in Vector Autoregressions
12 references·16 citing·29 second hop
Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks in Vector Autoregressions (1995)Finite Sample Performance of Likelihood R…Vector autoregression and causality: a theoretical overview and simulation study (1994)Vector autoregression and cau…Five alternative methods of estimating long-run equilibrium relationships (1994)Five alternative methods of e…VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING (1992)VECTOR AUTOREGRESSIVE MODELS …NBER Macroeconomics Annual 1990 (1992)NBER Macroeconomics Annual 19…Integration Versus Trend Stationary in Time Series (1992)Integration Versus Trend Stat…DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND (1992)DETERMINATION OF COINTEGRATIO…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Pitfalls and Opportunities: W…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Common Stochastic Trends in a System of Exchange Rates (1989)Common Stochastic Trends in a…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Super Cycles of Commodity Prices Since the Mid-Nineteenth Century (2013)Super Cycles of Commodity Pri…Energy consumption, economic growth and environmental pollutants in Indonesia (2012)Energy consumption, economic …Energy Consumption, CO2 Emissions and Economic Growth: Evidence from India (2011)Energy Consumption, CO2 Emiss…A Panel Data Analysis of the Demand for Total Energy and Electricity in OECD Countries (2010)A Panel Data Analysis of the …Testing Twin Deficits Hypothesis using VARs and Variance Decomposition (2006)Testing Twin Deficits Hypothe…FDI, exports, and GDP in East and Southeast Asia—Panel data versus time-series causality analyses (2006)FDI, exports, and GDP in East…Electricity consumption and economic growth: Evidence from Turkey (2005)Electricity consumption and e…Is the demand for euro area M3 stable? (2003)Is the demand for euro area M…Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period (2002)Propagative causal price tran…Long and short term dynamic causal transmission amongst international stock markets (2001)Long and short term dynamic c…A REVIEW OF SYSTEMS COINTEGRATION TESTS (2001)A REVIEW OF SYSTEMS COINTEGRA…Testing for the cointegrating rank of a VAR process with a time trend (2000)Testing for the cointegrating…Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets (1999)Are Asian stock market fluctu…Inference in possibly integrated vector autoregressive models: some finite sample evidence (1998)Inference in possibly integra…Time-Series-Based Econometrics (1996)Time-Series-Based EconometricsFinite Sample Properties of Likelihood Ratio Tests for Cointegrating Ranks when Linear Trends are Present (1994)Finite Sample Properties of L…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)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)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Statistical inference in vector autoregressions with possibly integrated processes (1995)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Does energy consumption cause economic growth?: Evidence from a systematic study of over 100 countries (2008)Multivariate granger causality between electricity consumption, exports and GDP: Evidence from a panel of Middle Eastern countries (2008)Energy consumption and GDP in Tunisia: Cointegration and causality analysis (2009)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network (1994)Long memory processes and fractional integration in econometrics (1996)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)Testing weak exogeneity and the order of cointegration in UK money demand data (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Stock Prices, News, and Economic Fluctuations (2006)Bounds testing approaches to the analysis of level relationships (2001)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Introductory Econometrics for Finance (2008)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Assessing Specification Errors in Stochastic Discount Factor Models (1997)CO2 emissions, electricity consumption and output in ASEAN (2010)Testing for Error Correction in Panel Data* (2007)
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
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,314 cited
  • 1994Five alternative methods of estimating long-run equilibrium relationships1,129 cited
  • 1992DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND1,011 cited
  • 1992NBER Macroeconomics Annual 1990692 cited
  • 1989Common Stochastic Trends in a System of Exchange Rates626 cited
  • 1992Integration Versus Trend Stationary in Time Series504 cited
  • 1992VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING460 cited
  • 1994Vector autoregression and causality: a theoretical overview and simulation study404 cited

Cited by

  • 2005Electricity consumption and economic growth: Evidence from Turkey506 cited
  • 2013Super Cycles of Commodity Prices Since the Mid-Nineteenth Century

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428 cited
  • 1999Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets339 cited
  • 2006FDI, exports, and GDP in East and Southeast Asia—Panel data versus time-series causality analyses322 cited
  • 2001Long and short term dynamic causal transmission amongst international stock markets290 cited
  • 1994Finite Sample Properties of Likelihood Ratio Tests for Cointegrating Ranks when Linear Trends are Present154 cited
  • 1998Inference in possibly integrated vector autoregressive models: some finite sample evidence144 cited
  • 2012Energy consumption, economic growth and environmental pollutants in Indonesia139 cited
  • 2010A Panel Data Analysis of the Demand for Total Energy and Electricity in OECD Countries132 cited
  • 2003Is the demand for euro area M3 stable?112 cited
  • 2001A REVIEW OF SYSTEMS COINTEGRATION TESTS110 cited
  • 2011Energy Consumption, CO2 Emissions and Economic Growth: Evidence from India108 cited
  • 2006Testing Twin Deficits Hypothesis using VARs and Variance Decomposition106 cited
  • 1996Time-Series-Based Econometrics103 cited
  • 2002Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period99 cited
  • 2000Testing for the cointegrating rank of a VAR process with a time trend92 cited