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A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA
16 references·7 citing·29 second hop
A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA (2005)A MONTE CARLO STUDY ON THE SELECTION OF C…A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model (2002)A Small Sample Correction for…Unit Roots, Cointegration, and Structural Change (1999)Unit Roots, Cointegration, an…Tests for cointegration a Monte Carlo comparison (1996)Tests for cointegration a Mon…Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…Five alternative methods of estimating long-run equilibrium relationships (1994)Five alternative methods of e…FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)FINITE‐SAMPLE SIZES OF JOHANS…THE POWER OF COINTEGRATION TESTS (1992)THE POWER OF COINTEGRATION TE…DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND (1992)DETERMINATION OF COINTEGRATIO…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Testing for Common Trends (1988)Testing for Common TrendsTesting for Common Trends (1988)Testing for Common TrendsTesting for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Estimation and Inference in Models of Cointegration: A Simulation Study (1988)Estimation and Inference in M…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…EXPLORING EQUILIBRIUM RELATIONSHIPS IN ECONOMETRICS THROUGH STATIC MODELS: SOME MONTE CARLO EVIDENCE* (1986)EXPLORING EQUILIBRIUM RELATIO…A Comparison of Sequential and Information‐based Methods for Determining the Co‐integration Rank in Heteroskedastic VAR Models (2015)A Comparison of Sequential an…Outward FDI, Total Factor Productivity and Domestic Output: Evidence from Germany (2011)Outward FDI, Total Factor Pro…Outward FDI and economic growth (2010)Outward FDI and economic grow…Vegetable oil market and biofuel policy: An asymmetric cointegration approach (2009)Vegetable oil market and biof…Market integration among electricity markets and their major fuel source markets (2009)Market integration among elec…Testing for Cointegrating Rank Via Model Selection: Evidence From 165 Data Sets (2006)Testing for Cointegrating Ran…Does consumer debt cause economic recession? Evidence using directed acyclic graphs (2006)Does consumer debt cause econ…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)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)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)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)CO2 emissions, energy consumption, and output in France (2007)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)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)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)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)Financial development and economic growth: evidence from panel unit root and cointegration tests (2003)International Technology Diffusion (2004)Energy consumption, income, and carbon emissions in the United States (2006)Dynamic Econometrics (1995)Testing for Error Correction in Panel Data* (2007)Impact of renewable energy consumption and financial development on CO2 emissions and economic growth in the MENA region: A panel vector autoregressive (PVAR) analysis (2019)Generalized impulse response analysis in linear multivariate models (1998)Numerical distribution functions of likelihood ratio tests for cointegration (1999)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
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  • 1993FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION1,206 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
  • 1986EXPLORING EQUILIBRIUM RELATIONSHIPS IN ECONOMETRICS THROUGH STATIC MODELS: SOME MONTE CARLO EVIDENCE*795 cited
  • 1988Testing for Common Trends428 cited
  • 2002A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model367 cited
  • 1996Tests for cointegration a Monte Carlo comparison

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264 cited
  • 1988Estimation and Inference in Models of Cointegration: A Simulation Study207 cited
  • Cited by

    • 2009Market integration among electricity markets and their major fuel source markets140 cited
    • 2009Vegetable oil market and biofuel policy: An asymmetric cointegration approach98 cited
    • 2010Outward FDI and economic growth96 cited
    • 2011Outward FDI, Total Factor Productivity and Domestic Output: Evidence from Germany35 cited
    • 2006Testing for Cointegrating Rank Via Model Selection: Evidence From 165 Data Sets18 cited
    • 2006Does consumer debt cause economic recession? Evidence using directed acyclic graphs15 cited
    • 2015A Comparison of Sequential and Information‐based Methods for Determining the Co‐integration Rank in Heteroskedastic VAR Models14 cited