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DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION
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References

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  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 cited
  • 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes4,930 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag1,459 cited
  • 1991Asymptotically Efficient Estimation of Cointegration Regressions1,263 cited
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  • 1991Estimating Long-Run Economic Equilibria854 cited
  • 1992Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation489 cited
  • 1996Tests for cointegration a Monte Carlo comparison264 cited
  • 2002ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS145 cited

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  • 1994Posterior Odds Testing for a Unit Root with Data-Based Model Selection131 cited
  • 2005Bootstrapping cointegrating regressions96 cited
  • Cited by

    • 2014The Environmental Kuznets Curve, Cointegration and Nonlinearity125 cited
    • 2008The long-run impact of ICT103 cited
    • 2012Trade effects of regional integration: A panel cointegration analysis36 cited
    • 2017Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis13 cited