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ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY
16 references·1 citing·33 second hop
ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY (2005)ESTIMATION OF COINTEGRATING VECTORS WITH …A small sample correction for tests of hypotheses on the cointegrating vectors (2002)A small sample correction for…Some Consequences of Temporal Aggregation in Empirical Analysis (1999)Some Consequences of Temporal…Discrete and continuous time cointegration (1999)Discrete and continuous time …Cointegration and speed of convergence to equilibrium (1996)Cointegration and speed of co…Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence (1995)Systematic sampling, temporal…Estimation of Cointegrated Systems with I(2) Processes (1995)Estimation of Cointegrated Sy…The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables (1994)The asymptotics of single-equ…Five alternative methods of estimating long-run equilibrium relationships (1994)Five alternative methods of e…A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)A Simple Estimator of Cointeg…Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (1992)Testing structural hypotheses…Canonical Cointegrating Regressions (1992)Canonical Cointegrating Regre…Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Error Correction and Long-Run Equilibrium in Continuous Time (1991)Error Correction and Long-Run…Asymptotically Efficient Estimation of Cointegration Regressions (1991)Asymptotically Efficient Esti…Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Statistical Inference in Inst…Forecasting Mixed‐Frequency Time Series with ECM‐MIDAS Models (2014)Forecasting Mixed‐Frequency T…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Common stochastic trends in international stock markets (1992)DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND (1992)Tourism as a long-run economic growth factor: the Spanish case (2002)Macroeconomics and Reality (1980)Generalised Impulse Response Analysis in Linear Multivariate Models (1997)Exchange rates and monetary fundamentals: what do we learn from long-horizon regressions? (1999)Virtual relationships: Short- and long-run evidence from BitCoin and altcoin markets (2017)Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)Inference in Linear Time Series Models with some Unit Roots (1990)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)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)Understanding spurious regressions in econometrics (1986)Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Structural analysis of vector error correction models with exogenous I(1) variables (2000)Dealing with Structural Breaks (2005)TEMPORAL AGGREGATION OF UNIVARIATE AND MULTIVARIATE TIME SERIES MODELS: A SURVEY (2008)ECONOMETRICS FOR GRUMBLERS: A NEW LOOK AT THE LITERATURE ON CROSS-COUNTRY GROWTH EMPIRICS (2010)Unrestricted Mixed Data Sampling (MIDAS): MIDAS Regressions with Unrestricted Lag Polynomials (2013)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)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Testing for Error Correction in Panel Data* (2007)FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)
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References

  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 cited
  • 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes4,930 cited
  • 1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK1,659 cited
  • 1992Canonical Cointegrating Regressions1,383 cited
  • 1991Asymptotically Efficient Estimation of Cointegration Regressions1,263 cited
  • 1994Five alternative methods of estimating long-run equilibrium relationships1,129 cited
  • 1991Optimal Inference in Cointegrated Systems1,110 cited
  • 1996Cointegration and speed of convergence to equilibrium526 cited
  • 1999Some Consequences of Temporal Aggregation in Empirical Analysis271 cited
  • 1991Error Correction and Long-Run Equilibrium in Continuous Time139 cited
  • 1994The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables132 cited
  • 1995Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence75 cited
  • 2002A small sample correction for tests of hypotheses on the cointegrating vectors57 cited

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1999
Discrete and continuous time cointegration
35 cited
  • 1995Estimation of Cointegrated Systems with I(2) Processes27 cited
  • Cited by

    • 2014Forecasting Mixed‐Frequency Time Series with ECM‐MIDAS Models27 cited