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The role of “leads” in the dynamic OLS estimation of cointegrating regression models
9 references·3 citing·33 second hop
The role of “leads” in the dynamic OLS estimation of cointegrating regression models (2008)The role of “leads” in the dynamic OLS es…Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag (1995)Unit Root Tests in ARMA Model…Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)A Simple Estimator of Cointeg…Canonical Cointegrating Regressions (1992)Canonical Cointegrating Regre…Estimating Long-Run Economic Equilibria (1991)Estimating Long-Run Economic …Asymptotically Efficient Estimation of Cointegration Regressions (1991)Asymptotically Efficient Esti…Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Statistical Inference in Inst…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…MONEY, INCOME, AND CAUSALITY (1972)MONEY, INCOME, AND CAUSALITYThe effect of mortgage interest deduction and mortgage characteristics on house prices (2016)The effect of mortgage intere…Alternative estimators of cointegrating parameters in models with nonstationary data: an application to US export demand (2011)Alternative estimators of coi…International R&D spillovers in emerging markets: The impact of trade and foreign direct investment (2010)International R&D spillovers …Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Automatic Lag Selection in Covariance Matrix Estimation (1994)Introductory Econometrics for Finance (2008)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Fully modified OLS for heterogeneous cointegrated panels (2004)On the estimation and inference of a cointegrated regression in panel data (2004)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Time Series Regression with a Unit Root (1987)Inference in Linear Time Series Models with some Unit Roots (1990)Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Further evidence on breaking trend functions in macroeconomic variables (1997)Testing for Error Correction in Panel Data* (2007)Understanding spurious regressions in econometrics (1986)Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Structural analysis of vector error correction models with exogenous I(1) variables (2000)Dealing with Structural Breaks (2005)Why do Some Countries Produce So Much More Output Per Worker than Others? (1999)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for unit roots in heterogeneous panels (2003)Do business and public sector research and development expenditures contribute to economic growth in Central and Eastern European Countries? A dynamic panel estimation (2013)Research and Development Expenditures and Economic Growth in the EU: A Panel Data Analysis (2016)What do we know about R&D spillovers and productivity? Meta-analysis evidence on heterogeneity and statistical power (2019)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Generalized impulse response analysis in linear multivariate models (1998)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 cited
  • 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes4,930 cited
  • 1972MONEY, INCOME, AND CAUSALITY3,013 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag1,459 cited
  • 1992Canonical Cointegrating Regressions1,383 cited
  • 1991Asymptotically Efficient Estimation of Cointegration Regressions1,263 cited
  • 1991Estimating Long-Run Economic Equilibria854 cited

Cited by

  • 2010International R&D spillovers in emerging markets: The impact of trade and foreign direct investment83 cited
  • 2016The effect of mortgage interest deduction and mortgage characteristics on house prices50 cited
  • 2011Alternative estimators of cointegrating parameters in models with nonstationary data: an application to US export demand16 cited

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