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Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
13 references·1 citing·34 second hop
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this work references cited by second hop

References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors1,471 cited
  • 1991Optimal Inference in Cointegrated Systems1,110 cited
  • 1986Multiple Time Series Regression with Integrated Processes837 cited
  • 1994Identification of the long-run and the short-run structure an application to the ISLM model646 cited
  • 1992Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation489 cited
  • 2002LONG-RUN STRUCTURAL MODELLING371 cited
  • 1997Testing cointegration in infinite order vector autoregressive processes113 cited
  • 1997Asymptotic Inference on the Moving Average Impact Matrix in Cointegrated 1(1) VAR Systems91 cited
  • 1993Estimation of Cointegration Vectors with Linear Restrictions60 cited
  • 1996Testing Identifiability of Cointegrating Vectors51 cited
  • 1995Identifiability of cointegrated systems46 cited

Cited by

  • 2006The Likelihood Ratio Test for the Rank of a Cointegration Submatrix*11 cited

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