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Testing for Cointegration in a System of Equations
16 references·8 citing·33 second hop
Testing for Cointegration in a System of Equations (1995)Testing for Cointegration in a System of …A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)A Simple Estimator of Cointeg…Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Tests for Parameter Instabili…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Canonical Cointegrating Regressions (1992)Canonical Cointegrating Regre…An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator (1992)An Improved Heteroskedasticit…Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…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…Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…Testing for Common Trends (1988)Testing for Common TrendsStatistical Inference in Regressions with Integrated Processes: Part 1 (1988)Statistical Inference in Regr…Time Series Regression with a Unit Root (1987)Time Series Regression with a…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Understanding spurious regressions in econometrics (1986)Understanding spurious regres…Multiple Time Series Regression with Integrated Processes (1986)Multiple Time Series Regressi…Subsampling hypothesis tests for nonstationary panels with applications to exchange rates and stock prices (2007)Subsampling hypothesis tests …Do Thai stock prices deviate from fundamental values? (2007)Do Thai stock prices deviate …STATIONARITY TESTING WITH COVARIATES (2004)STATIONARITY TESTING WITH COV…Point optimal tests of the null hypothesis of cointegration (2004)Point optimal tests of the nu…REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES (2002)REGRESSION THEORY FOR NEARLY …Testing the null of cointegration in the presence of a structural break (2001)Testing the null of cointegra…Testing the null of stationarity for multiple time series (1999)Testing the null of stationar…A Review of systemscointegration tests (1998)A Review of systemscointegrat…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)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)Statistical analysis of cointegration vectors (1988)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Inference in Linear Time Series Models with some Unit Roots (1990)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)Time Series Analysis, Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Forecasting Economic Time Series (2000)Tourism as a long-run economic growth factor: the Spanish case (2002)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Spurious regression and residual-based tests for cointegration in panel data (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)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)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 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
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1988Testing for Common Trends1,894 cited
  • 1986Understanding spurious regressions in econometrics1,782 cited
  • 1992Canonical Cointegrating Regressions1,383 cited
  • 1991Asymptotically Efficient Estimation of Cointegration Regressions1,263 cited
  • 1991Optimal Inference in Cointegrated Systems1,110 cited
  • 1992An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator1,091 cited
  • 1992Tests for Parameter Instability in Regressions with 1(1) Processes944 cited
  • 1986Multiple Time Series Regression with Integrated Processes

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837 cited
  • 1988Statistical Inference in Regressions with Integrated Processes: Part 1749 cited
  • Cited by

    • 2007Subsampling hypothesis tests for nonstationary panels with applications to exchange rates and stock prices76 cited
    • 2004STATIONARITY TESTING WITH COVARIATES37 cited
    • 1999Testing the null of stationarity for multiple time series32 cited
    • 2007Do Thai stock prices deviate from fundamental values?27 cited
    • 2004Point optimal tests of the null hypothesis of cointegration26 cited
    • 2001Testing the null of cointegration in the presence of a structural break25 cited
    • 1998A Review of systemscointegration tests23 cited
    • 2002REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES16 cited