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Model mis-specification and Johansen's co-integration analysis: an application to the US money demand
16 references·15 citing·30 second hop
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this work references cited by second hop

References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
  • 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 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
  • 1992Money, Income, Prices and Interest Rates660 cited
  • 1976The Case of the Missing Money567 cited
  • 1987Interpreting Evidence on Money-Income Causality559 cited
  • 1986Unit roots, structural breaks and trends438 cited
  • 1989Testing for Unit Roots in Time Series Data350 cited
  • 1998Money and output viewed through a rolling window319 cited
  • 1991The Demand for Money in the United States: Evidence from Cointegration Tests286 cited

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  • 1994Nonstationary Time Series Analysis and Cointegration284 cited
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    • 2005A Monte Carlo study on the pitfalls in determining deterministic components in cointegrating models32 cited
    • 2014The effects of oil and non-oil exports on economic growth: a case study of the Iranian economy31 cited
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    • 2021ARDL as an Elixir Approach to Cure for Spurious Regression in Nonstationary Time Series26 cited
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