Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

A note on Johansen's cointegration procedure when trends are present

15 references·16 citing·24 second hop

FromToDepth

this work references cited by second hop

References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
1995Journal of the American Statistical Association5,337 cited
1980An Almost Ideal Demand System4,298 cited
1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
1988Trends and random walks in macroeconomic time series2,433 cited
1997Further evidence on breaking trend functions in macroeconomic variables2,035 cited
1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,314 cited
1992NBER Macroeconomics Annual 1990692 cited
1994FURTHER EVIDENCE ON BREAKING TREND FUNCTIONS IN MACROECONOMICS VARIABLES269 cited

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

1994

Finite Sample Properties of Likelihood Ratio Tests for Cointegrating Ranks when Linear Trends are Present

154 cited

Cited by

2005Does Insurance Promote Economic Growth? Evidence from the UK151 cited
2001Consumption, Dividends, and the Cross-Section of Equity Returns99 cited
1995Testing for homogeneity in demand systems when the regressors are nonstationary95 cited
1999Common cycles in seasonal non-stationary time series65 cited
1995Introduction42 cited
1998Statistical inference on cointegration rank in error correction models with stationary covariates32 cited
1995A note on the critical values for the maximum likelihood (seasonal) cointegration tests30 cited
1995The Vector Autoregressive Model28 cited
2004Cointegration in fractional systems with deterministic trends27 cited
2015Effect of Oil Revenue and the Sudan Economy: Econometric Model for Services Sector GDP22 cited
2021Supply Shocks and Real Exchange Rate Dynamics: Canadian Evidence18 cited
2016Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point13 cited
2003Vector Autoregressions12 cited
2009Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term11 cited
1995Institutional hypothesis of the long‐run income velocity of money and parameter stability of the equilibrium relationship10 cited
2015Residuals‐based tests for cointegration with generalized least‐squares detrended data8 cited