SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A Monte Carlo study on the pitfalls in determining deterministic components in cointegrating models
15 references·6 citing·33 second hop
A Monte Carlo study on the pitfalls in determining deterministic components in cointegrating models (2005)A Monte Carlo study on the pitfalls in de…Model mis-specification and Johansen's co-integration analysis: an application to the US money demand (2002)Model mis-specification and J…Bootstrap Testing Linear Restrictions on Cointergrating Vectors (2001)Bootstrap Testing Linear Rest…Similarity Issues in Cointegration Analysis (2000)Similarity Issues in Cointegr…Cointegration rank inference with stationary regressors in VAR models (1999)Cointegration rank inference …Inference in Cointegrating Models: UK M1 Revisited (1998)Inference in Cointegrating Mo…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…The role of the constant and linear terms in cointegration analysis of nonstationary variables (1994)The role of the constant and …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…DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND (1992)DETERMINATION OF COINTEGRATIO…Testing for Unit Roots in Time Series Data (1989)Testing for Unit Roots in Tim…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…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…Cointegration in China's log import demand: Price endogeneity and structural change (2017)Cointegration in China's log …Re-Examining the Finance-Growth Relationship for a Developing Economy: A Time Series Analysis of Post-Reform India (2013)Re-Examining the Finance-Grow…HOUSEHOLD‐SECTOR MONEY DEMAND FOR THE UK (2010)HOUSEHOLD‐SECTOR MONEY DEMAND…Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term (2009)Testing for the cointegrating…The UK Household Sector Demand for Risky Money (2004)The UK Household Sector Deman…Before the Fall, Was the Turkish Lira Overvalued? (2003)Before the Fall, Was the Turk…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)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Testing weak exogeneity and the order of cointegration in UK money demand data (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Stock Prices, News, and Economic Fluctuations (2006)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Dealing with Structural Breaks (2005)Testing for Error Correction in Panel Data* (2007)Relationships among carbon emissions, economic growth, energy consumption and population growth: Testing Environmental Kuznets Curve hypothesis for Brazil, China, India and Indonesia (2016)Trends and random walks in macroeconmic time series (1982)Testing for a Unit Root in Time Series Regression (1988)Dynamic relationship between stock prices and exchange rates for G-7 countries (2001)The impacts of transport energy consumption, foreign direct investment and income on CO2 emissions in ASEAN-5 economies (2013)The impact of energy consumption, income and foreign direct investment on carbon dioxide emissions in Vietnam (2014)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)A Long run structural macroeconometric model of the UK (2003)A Simple Test for Cointegration in Dependent Panels with Structural Breaks* (2008)In search of FDI-led growth in developing countries: The way forward (2008)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)Bounds testing approaches to the analysis of level relationships (2001)Generalized impulse response analysis in linear multivariate models (1998)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Distributions of error correction tests for cointegration (2002)The impact of crisis events and macroeconomic activity on Taiwan's international inbound tourism demand (2008)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
  • 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
  • 1994The role of the constant and linear terms in cointegration analysis of nonstationary variables445 cited
  • 1989Testing for Unit Roots in Time Series Data350 cited
  • 1996Tests for cointegration a Monte Carlo comparison264 cited
  • 1998Inference in Cointegrating Models: UK M1 Revisited203 cited
  • 1999Cointegration rank inference with stationary regressors in VAR models105 cited
  • 2001Bootstrap Testing Linear Restrictions on Cointergrating Vectors75 cited
  • 2000Similarity Issues in Cointegration Analysis74 cited
  • 2002Model mis-specification and Johansen's co-integration analysis: an application to the US money demand

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

68 cited

Cited by

  • 2013Re-Examining the Finance-Growth Relationship for a Developing Economy: A Time Series Analysis of Post-Reform India21 cited
  • 2003Before the Fall, Was the Turkish Lira Overvalued?18 cited
  • 2010HOUSEHOLD‐SECTOR MONEY DEMAND FOR THE UK17 cited
  • 2017Cointegration in China's log import demand: Price endogeneity and structural change14 cited
  • 2004The UK Household Sector Demand for Risky Money12 cited
  • 2009Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term11 cited