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Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
16 references·14 citing·24 second hop
Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model (1995)Estimation and Testing for Unit Roots in …Testing for a Unit Root (1993)Testing for a Unit RootVECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING (1992)VECTOR AUTOREGRESSIVE MODELS …Testing for unit roots in autoregressive moving average models (1991)Testing for unit roots in aut…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…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…'Testing for a unit root In the presence of moving average errors' (1990)'Testing for a unit root In t…Tests for Unit Roots: A Monte Carlo Investigation (1989)Tests for Unit Roots: A Monte…Tests For Unit Roots: A Monte Carlo Investigation (1988)Tests For Unit Roots: A Monte…Testing for Common Trends (1988)Testing for Common TrendsTesting for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Multiple Time Series Regression with Integrated Processes (1986)Multiple Time Series Regressi…Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Testing for Unit Roots in Aut…Vector autoregressive moving average identification for macroeconomic modeling: A new methodology (2016)Vector autoregressive moving …DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER (2016)DETERMINING THE COINTEGRATION…DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA (2009)DISCRETE TIME REPRESENTATIONS…Chapter 6 Forecasting with VARMA Models (2006)Chapter 6 Forecasting with VA…Residual autocorrelation testing for vector error correction models (2005)Residual autocorrelation test…Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence (2003)Estimation and Testing for Un…Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity (2001)Estimation for partially nons…A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors (2001)A Survey of Recent Theoretica…On the distributions of Augmented Dickey–Fuller statistics in processes with moving average components (1999)On the distributions of Augme…Long- and short-run Fisher effects: new tests and new results (1998)Long- and short-run Fisher ef…Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors (1998)Limiting distributions of max…On Asymptotic Inference in Linear Cointegrated Time Series Systems (1997)On Asymptotic Inference in Li…Analysis of cointegrated VARMA processes (1997)Analysis of cointegrated VARM…RESULTS ON ESTIMATION AND TESTING FOR A UNIT ROOT IN THE NONSTATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODEL (1995)RESULTS ON ESTIMATION AND TES…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)A PANIC Attack on Unit Roots and Cointegration (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)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)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)Time Series Analysis: Forecasting and Control (1977)Testing for unit roots in heterogeneous panels (2003)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Spurious regression and residual-based tests for cointegration in panel data (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Why Does Stock Market Volatility Change Over Time? (1989)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
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  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
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  • 1991Testing for unit roots in autoregressive moving average models

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119 cited
  • 1990'Testing for a unit root In the presence of moving average errors'92 cited
  • Cited by

    • 1998Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors105 cited
    • 2003Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence74 cited
    • 2006Chapter 6 Forecasting with VARMA Models72 cited
    • 2005Residual autocorrelation testing for vector error correction models55 cited
    • 1997Analysis of cointegrated VARMA processes54 cited
    • 2001Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity49 cited
    • 1999On the distributions of Augmented Dickey–Fuller statistics in processes with moving average components36 cited
    • 2001A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors34 cited
    • 1997On Asymptotic Inference in Linear Cointegrated Time Series Systems30 cited
    • 1998Long- and short-run Fisher effects: new tests and new results30 cited
    • 2016DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER23 cited
    • 1995RESULTS ON ESTIMATION AND TESTING FOR A UNIT ROOT IN THE NONSTATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODEL21 cited
    • 2009DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA15 cited
    • 2016Vector autoregressive moving average identification for macroeconomic modeling: A new methodology14 cited