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Cointegration: how short is the long run?
7 references·16 citing·34 second hop
Cointegration: how short is the long run? (1991)Cointegration: how short is the long run?Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…Is there a J-curve? (1989)Is there a J-curve?Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…On the Theory of Testing for Unit Roots in Observed Time Series (1986)On the Theory of Testing for …Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Tourism, urbanization and natural resources rents matter for environmental sustainability: The leading role of AI and ICT on sustainable development goals in the digital era (2023)Tourism, urbanization and nat…Does ICT have symmetric or asymmetric effects on CO2 emissions? Evidence from selected Asian economies (2021)Does ICT have symmetric or as…CO2 emissions and financial development in an emerging economy: An augmented VAR approach (2015)CO2 emissions and financial d…Linkages Between Financial Deepening, Trade Openness, and Economic Development: Causality Evidence from Sub-Saharan Africa (2009)Linkages Between Financial De…Financial development and economic growth: Evidence from China (2006)Financial development and eco…An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)An Empirical Analysis of the …Estimating income and price elasticities of imports for Fiji in a cointegration framework (2004)Estimating income and price e…An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps (2004)An Empirical Analysis of the …Stock market integration and financial crises: the case of Asia (2003)Stock market integration and …Testing the monetary model of exchange rate determination: new evidence from a century of data (2002)Testing the monetary model of…Temporal Aggregation and the Power of Cointegration Tests: a Monte Carlo Study* (2002)Temporal Aggregation and the …Purchasing power parity and unit root tests using panel data (1996)Purchasing power parity and u…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Chapter 32 Perspectives on PPP and long-run real exchange rates (1995)Chapter 32 Perspectives on PP…Cointegration, Fractional Cointegration, and Exchange Rate Dynamics (1994)Cointegration, Fractional Coi…A Fractional Cointegration Analysis of Purchasing Power Parity (1993)A Fractional Cointegration An…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Testing for a Unit Root in Time Series Regression (1988)Trends and random walks in macroeconmic time series (1982)Trends and random walks in macroeconomic time series (1988)Bilateral J-Curve between U.S. and her trading partners (1999)The J-Curve: a literature review (2004)The Productivity J-Curve: How Intangibles Complement General Purpose Technologies (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory and regime switching (2001)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Energy consumption, financial development and economic growth in India: New evidence from a nonlinear and asymmetric analysis (2017)Modelling for insight: Does financial development improve environmental quality? (2019)Role of financial development, economic growth & foreign direct investment in driving climate change: A case of emerging ASEAN (2019)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modeling Term Structures of Defaultable Bonds (1999)Insider trading in credit derivatives☆ (2007)A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk (2014)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Explosive Rational Bubbles in Stock Prices (1988)Pitfalls in Testing for Explosive Bubbles in Asset Prices (1991)TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 (2015)Unit root tests in panel data: asymptotic and finite-sample properties (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)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1989Is there a J-curve?629 cited
  • 1986On the Theory of Testing for Unit Roots in Observed Time Series612 cited

Cited by

  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps1,166 cited
  • 2015CO2 emissions and financial development in an emerging economy: An augmented VAR approach686 cited
  • 1993A Fractional Cointegration Analysis of Purchasing Power Parity505 cited
  • 2004Estimating income and price elasticities of imports for Fiji in a cointegration framework437 cited
  • 2004An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps386 cited
  • 2002Temporal Aggregation and the Power of Cointegration Tests: a Monte Carlo Study*

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377 cited
  • 1994Cointegration, Fractional Cointegration, and Exchange Rate Dynamics363 cited
  • 2023Tourism, urbanization and natural resources rents matter for environmental sustainability: The leading role of AI and ICT on sustainable development goals in the digital era354 cited
  • 1995Chapter 32 Perspectives on PPP and long-run real exchange rates350 cited
  • 2006Financial development and economic growth: Evidence from China349 cited
  • 1996Purchasing power parity and unit root tests using panel data342 cited
  • 2021Does ICT have symmetric or asymmetric effects on CO2 emissions? Evidence from selected Asian economies308 cited
  • 2003Stock market integration and financial crises: the case of Asia307 cited
  • 2009Linkages Between Financial Deepening, Trade Openness, and Economic Development: Causality Evidence from Sub-Saharan Africa306 cited
  • 2002Testing the monetary model of exchange rate determination: new evidence from a century of data287 cited