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An algebraic interpretation of cointegration
12 references·2 citing·33 second hop
An algebraic interpretation of cointegration (2000)An algebraic interpretation of cointegrat…Co-Integration and Error-Correction: Representation, Estimation, and Testing (2010)Co-Integration and Error-Corr…Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data. (1996)Co-Integration, Error Correct…Vector autoregressions and cointegration (1993)Vector autoregressions and co…Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Co-integration, Error Correct…Testing the long-run implications of the neoclassical growth model (1991)Testing the long-run implicat…Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Long-Run Economic Relationships (1991)Long-Run Economic Relationshi…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Cointegrated Economic Time Series: An Overview with New Results (1991)Cointegrated Economic Time Se…Testing for Common Trends (1988)Testing for Common TrendsTesting for Common Trends (1988)Testing for Common TrendsCo-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…A general inversion theorem for cointegration (2018)A general inversion theorem f…THE INTEGRATION ORDER OF VECTOR AUTOREGRESSIVE PROCESSES (2007)THE INTEGRATION ORDER OF VECT…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Long-horizon regressions: theoretical results and applications (2003)New Evidence on Asymmetric Gasoline Price Responses (2003)Vector Autoregressive Models for Multivariate Time Series (2003)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)Trends and random walks in macroeconmic time series (1982)A PANIC Attack on Unit Roots and Cointegration (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Multivariate Stochastic Variance Models (1994)Spurious regression and residual-based tests for cointegration in panel data (1999)Informed Trading in Stock and Option Markets (2004)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)Taking Time Seriously (2008)The power problems of unit root test in time series with autoregressive errors (1992)The J-Curve: a literature review (2004)The carbon Kuznets curve: A cloudy picture emitted by bad econometrics? (2007)Cointegration and speed of convergence to equilibrium (1996)Nuisance vs. Substance: Specifying and Estimating Time-Series-Cross-Section Models (1996)The impact of financial development, income, energy and trade on carbon emissions: Evidence from the Indian economy (2014)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1988Testing for Common Trends1,894 cited
  • 1993Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data1,758 cited
  • 1996Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data.1,578 cited
  • 1991Optimal Inference in Cointegrated Systems1,110 cited
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  • 2010Co-Integration and Error-Correction: Representation, Estimation, and Testing489 cited
  • 1988Testing for Common Trends428 cited
  • 1993Vector autoregressions and cointegration285 cited
  • 1991Cointegrated Economic Time Series: An Overview with New Results132 cited
  • 1991Testing the long-run implications of the neoclassical growth model103 cited

Cited by

  • 2018A general inversion theorem for cointegration15 cited
  • 2007THE INTEGRATION ORDER OF VECTOR AUTOREGRESSIVE PROCESSES9 cited

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