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Estimating VAR models under non-stationarity and cointegration: alternative approaches for forecasting cattle prices
16 references·1 citing·30 second hop
Estimating VAR models under non-stationarity and cointegration: alternative approaches for forecasting cattle prices (1992)Estimating VAR models under non-stationar…Forecasting Economic Time Series (2000)Forecasting Economic Time Ser…Monetary Impacts on Prices in the Short and Long Run: Some Evidence from New Zealand (1990)Monetary Impacts on Prices in…Inference in Linear Time Series Models with some Unit Roots (1990)Inference in Linear Time Seri…Models and Their Uses (1989)Models and Their UsesTrends versus Random Walks in Time Series Analysis (1988)Trends versus Random Walks in…Asymptotic Normality, When Regressors Have a Unit Root (1988)Asymptotic Normality, When Re…Forecasting and testing in co-integrated systems (1987)Forecasting and testing in co…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Asymptotic Properties of Leas…The theory and practice of econometrics (1986)The theory and practice of ec…Multiple Time Series Regression with Integrated Processes (1986)Multiple Time Series Regressi…Forecasting Vector Autoregressions with Bayesian Priors (1986)Forecasting Vector Autoregres…AN APPLICATION OF THE GRANGER & ENGLE TWO‐STEP ESTIMATION PROCEDURE TO UNITED KINGDOM AGGREGATE WAGE DATA* (1986)AN APPLICATION OF THE GRANGER…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Macroeconomics and Reality (1980)Macroeconomics and RealityDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Dynamic inter-relationships among tourism, economic growth and energy consumption in India (2016)Dynamic inter-relationships a…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)Bounds testing approaches to the analysis of level relationships (2001)Trends and random walks in macroeconmic time series (1982)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)International R&D spillovers (1995)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Statistical inference in vector autoregressions with possibly integrated processes (1995)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Introductory Econometrics for Finance (2008)Critical Values for Cointegration Tests (2010)Asset pricing and the bid-ask spread (1986)The Effect of National Culture on the Choice of Entry Mode (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Unit root tests in panel data: asymptotic and finite-sample properties (2002)An Almost Ideal Demand System (1980)Empirical exchange rate models of the seventies (1983)Generalized autoregressive conditional heteroskedasticity (1986)
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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
  • 1980Macroeconomics and Reality12,826 cited
  • 1986The theory and practice of econometrics4,342 cited
  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
  • 1987Forecasting and testing in co-integrated systems1,896 cited
  • 2000Forecasting Economic Time Series1,768 cited
  • 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors1,471 cited
  • 1986Multiple Time Series Regression with Integrated Processes837 cited
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  • 1986AN APPLICATION OF THE GRANGER & ENGLE TWO‐STEP ESTIMATION PROCEDURE TO UNITED KINGDOM AGGREGATE WAGE DATA*232 cited
  • 1989Models and Their Uses129 cited
  • 1990Monetary Impacts on Prices in the Short and Long Run: Some Evidence from New Zealand83 cited

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  • 1986Forecasting Vector Autoregressions with Bayesian Priors67 cited
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    • 2016Dynamic inter-relationships among tourism, economic growth and energy consumption in India82 cited