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Modelling of cointegration in the vector autoregressive model
14 references·16 citing·26 second hop
Modelling of cointegration in the vector autoregressive model (2000)Modelling of cointegration in the vector …Likelihood analysis of seasonal cointegration (1999)Likelihood analysis of season…Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data. (1996)Co-Integration, Error Correct…Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…Identification of the long-run and the short-run structure an application to the ISLM model (1994)Identification of the long-ru…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…Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (1992)Testing structural hypotheses…Applied Econometric Techniques. (1992)Applied Econometric Technique…Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Seasonal integration and cointegration (1990)Seasonal integration and coin…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…TIME SERIES ANALYSIS OF ERROR-CORRECTION MODELS (1983)TIME SERIES ANALYSIS OF ERROR…Housing is NOT ONLY the Business Cycle: A Luxemburg-Kalecki External Market Empirical Investigation for the United States (2021)Housing is NOT ONLY the Busin…Autonomous expenditures and induced investment: a panel test of the Sraffian supermultiplier model in European countries (2020)Autonomous expenditures and i…Mean-Reverting Portfolio With Budget Constraint (2018)Mean-Reverting Portfolio With…Forecasting Construction Material Prices Using Vector Error Correction Model (2018)Forecasting Construction Mate…MACROECONOMIC VARIABLES AND STOCK MARKET RETURNS IN GHANA: ANY CAUSAL LINK? (2013)MACROECONOMIC VARIABLES AND S…The long-run determinants of fertility: one century of demographic change 1900–1999 (2012)The long-run determinants of …Inequality and growth: evidence from panel cointegration (2011)Inequality and growth: eviden…The Determinants of Foreign Direct Investment in Malaysia: A Revisit (2010)The Determinants of Foreign D…Exchange rate and trade balance: J-curve effect (2010)Exchange rate and trade balan…Explaining the US bond yield conundrum (2009)Explaining the US bond yield …Bond Markets and Economic Growth (2007)Bond Markets and Economic Gro…Purchasing Power Parity and real exchange rate behaviour in Africa (2006)Purchasing Power Parity and r…The Dynamic Effects of Public Capital: VAR Evidence for 22 OECD Countries (2005)The Dynamic Effects of Public…The Nobel Memorial Prize for Clive W. J. Granger (2004)The Nobel Memorial Prize for …PURCHASING POWER PARITY AND EXCHANGE RATE POLICY REFORMS IN AFRICA (2004)PURCHASING POWER PARITY AND E…Cointegration Tests of Purchasing Power Parity in Africa (2003)Cointegration Tests of Purcha…Statistical analysis of cointegration vectors (1988)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)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Common stochastic trends in international stock markets (1992)DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND (1992)Tourism as a long-run economic growth factor: the Spanish case (2002)Time Series Analysis: Forecasting and Control (1977)Testing for a Unit Root (1993)Dynamic Econometrics (1995)Bounds testing approaches to the analysis of level relationships (2001)Generalized impulse response analysis in linear multivariate models (1998)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Introductory Econometrics for Finance (2008)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 (1986)Stock Prices, Earnings, and Expected Dividends (1988)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1993Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data1,758 cited
  • 1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK1,659 cited
  • 1996Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data.1,578 cited
  • 1990Seasonal integration and cointegration1,475 cited
  • 1991Optimal Inference in Cointegrated Systems1,110 cited
  • 1994Identification of the long-run and the short-run structure an application to the ISLM model646 cited
  • 1992Applied Econometric Techniques.337 cited
  • 1983TIME SERIES ANALYSIS OF ERROR-CORRECTION MODELS327 cited
  • 1999Likelihood analysis of seasonal cointegration161 cited

Cited by

  • 2011

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Inequality and growth: evidence from panel cointegration
199 cited
  • 2005The Dynamic Effects of Public Capital: VAR Evidence for 22 OECD Countries176 cited
  • 2012The long-run determinants of fertility: one century of demographic change 1900–1999169 cited
  • 2007Bond Markets and Economic Growth77 cited
  • 2010Exchange rate and trade balance: J-curve effect76 cited
  • 2018Forecasting Construction Material Prices Using Vector Error Correction Model74 cited
  • 2013MACROECONOMIC VARIABLES AND STOCK MARKET RETURNS IN GHANA: ANY CAUSAL LINK?55 cited
  • 2004The Nobel Memorial Prize for Clive W. J. Granger42 cited
  • 2010The Determinants of Foreign Direct Investment in Malaysia: A Revisit39 cited
  • 2018Mean-Reverting Portfolio With Budget Constraint39 cited
  • 2003Cointegration Tests of Purchasing Power Parity in Africa35 cited
  • 2021Housing is NOT ONLY the Business Cycle: A Luxemburg-Kalecki External Market Empirical Investigation for the United States31 cited
  • 2006Purchasing Power Parity and real exchange rate behaviour in Africa31 cited
  • 2009Explaining the US bond yield conundrum28 cited
  • 2004PURCHASING POWER PARITY AND EXCHANGE RATE POLICY REFORMS IN AFRICA28 cited
  • 2020Autonomous expenditures and induced investment: a panel test of the Sraffian supermultiplier model in European countries26 cited