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APPROXIMATIONS TO THE ASYMPTOTIC DISTRIBUTIONS OF COINTEGRATION TESTS
7 references·16 citing·34 second hopsampled
APPROXIMATIONS TO THE ASYMPTOTIC DISTRIBUTIONS OF COINTEGRATION TESTS (1998)APPROXIMATIONS TO THE ASYMPTOTIC DISTRIBU…Critical Values for Cointegration Tests (2010)Critical Values for Cointegra…Numerical distribution functions of likelihood ratio tests for cointegration (1999)Numerical distribution functi…Approximate Asymptotic P Values for StructuraS-Change Tests (1997)Approximate Asymptotic P Valu…Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…Modeling the demand for narrow money in the United Kingdom and the United States (1991)Modeling the demand for narro…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…On the macroeconomic determinants of the housing market in Greece: a VECM approach (2016)On the macroeconomic determin…Are gold and silver a hedge against inflation? A two century perspective (2015)Are gold and silver a hedge a…Finance and growth: Time series evidence on causality (2014)Finance and growth: Time seri…Spain and the European sovereign debt crisis (2013)Spain and the European sovere…Searching for the EMU core member countries (2013)Searching for the EMU core me…Are REITs real estate? Evidence from international sector level data (2012)Are REITs real estate? Eviden…Are REITs Real Estate? Evidence from International Sector Level Data (2012)Are REITs Real Estate? Eviden…The Long - Run Dynamics between Direct and Securitized Real Estate (2011)The Long - Run Dynamics betwe…Inflation and the dividend policy of US firms (2010)Inflation and the dividend po…Exchange rate volatility and export performance: a cointegrated VAR approach (2009)Exchange rate volatility and …Interaction between housing prices and household borrowing: The Finnish case (2008)Interaction between housing p…Interaction of European Carbon Trading and Energy Prices (2007)Interaction of European Carbo…Oil and gas markets in the UK: Evidence from a cointegrating approach (2006)Oil and gas markets in the UK…Cointegration analysis in the presence of outliers (2004)Cointegration analysis in the…A REVIEW OF SYSTEMS COINTEGRATION TESTS (2001)A REVIEW OF SYSTEMS COINTEGRA…Inference in Cointegrating Models: UK M1 Revisited (1998)Inference in Cointegrating Mo…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)THE POWER OF COINTEGRATION TESTS (1992)Numerical distribution functions for unit root and cointegration tests (1996)Residual-based tests for cointegration in models with regime shifts (1996)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Tests for Parameter Instability in Regressions with I(1) Processes (1992)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Chapter 1 Business cycle fluctuations in us macroeconomic time series (1999)What is an Oil Shock? (2000)Are Oil Shocks Inflationary?: Asymmetric and Nonlinear Specifications versus Changes in Regime (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Forecasting in cointegrated systems (1995)Asymptotic Inference on Cointegrating Rank in Partial Systems (1998)Distributions of error correction tests for cointegration (2002)Testing for a Unit Root in Time Series Regression (1988)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Reassessing the role of precious metals as safe havens–What colour is your haven and why? (2017)Dynamic spillover effects and portfolio strategies between crude oil, gold and Chinese stock markets related to new energy vehicle (2022)Socio-Economic Impacts and Challenges of the Coronavirus Pandemic (COVID-19): An Updated Review (2022)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Macroeconomics and Reality (1980)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)The Impact of the EU ETS on Prices, Profits and Emissions in the Power Sector: Simulation Results with the COMPETES EU20 Model (2010)The effects and side‐effects of the EU emissions trading scheme (2014)Forecasting carbon prices based on real-time decomposition and causal temporal convolutional networks (2022)Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries (2007)CO2 emissions, electricity consumption and output in ASEAN (2010)The contribution of foreign direct investment to clean energy use, carbon emissions and economic growth (2013)Generalized impulse response analysis in linear multivariate models (1998)Bounds testing approaches to the analysis of level relationships (2001)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
  • 2010Critical Values for Cointegration Tests2,569 cited
  • 1999Numerical distribution functions of likelihood ratio tests for cointegration2,028 cited
  • 1997Approximate Asymptotic P Values for StructuraS-Change Tests520 cited
  • 1991Modeling the demand for narrow money in the United Kingdom and the United States379 cited

Cited by

  • 1998Inference in Cointegrating Models: UK M1 Revisited203 cited
  • 2015Are gold and silver a hedge against inflation? A two century perspective182 cited
  • 2007Interaction of European Carbon Trading and Energy Prices182 cited
  • 2008Interaction between housing prices and household borrowing: The Finnish case177 cited
  • 2012Are REITs real estate? Evidence from international sector level data174 cited
  • 2006Oil and gas markets in the UK: Evidence from a cointegrating approach173 cited
  • 2014Finance and growth: Time series evidence on causality140 cited
  • 2001

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

A REVIEW OF SYSTEMS COINTEGRATION TESTS
110 cited
  • 2011The Long - Run Dynamics between Direct and Securitized Real Estate109 cited
  • 2016On the macroeconomic determinants of the housing market in Greece: a VECM approach91 cited
  • 2004Cointegration analysis in the presence of outliers88 cited
  • 2010Inflation and the dividend policy of US firms67 cited
  • 2009Exchange rate volatility and export performance: a cointegrated VAR approach50 cited
  • 2013Searching for the EMU core member countries50 cited
  • 2012Are REITs Real Estate? Evidence from International Sector Level Data47 cited
  • 2013Spain and the European sovereign debt crisis46 cited