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Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
2 references·16 citing·37 second hop
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References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1991Estimating Long-Run Economic Equilibria854 cited

Cited by

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  • 1999The Influence of VAR Dimensions on Estimator Biases127 cited
  • 1996Time-Series-Based Econometrics103 cited
  • 2009LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS93 cited
  • 1997Estimating a cointegrating demand system87 cited
  • 2002CAUSALITY AND PRICE DISCOVERY: AN APPLICATION OF DIRECTED ACYCLIC GRAPHS84 cited
  • 1997Is there a Greek‐Turkish arms race?: Evidence from cointegration and causality tests72 cited
  • 2005BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION70 cited
  • 1997Estimation and inference in nearly unbalanced nearly cointegrated systems70 cited
  • 2002The Fisher effect: new evidence and implications60 cited
  • 2006Bayesian Approaches to Cointegration54 cited
  • 2005Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative*

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52 cited
  • 2013Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets50 cited
  • 1995Conditional and structural error correction models47 cited
  • 1994Comparison of Box—Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models40 cited