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Co-Integration Rank Testing under Conditional Heteroskedasticity
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Co-Integration Rank Testing under Conditional Heteroskedasticity (2009)Co-Integration Rank Testing under Conditi…A Cointegration Analysis of Treasury Bill Yields (2008)A Cointegration Analysis of T…Bootstrapping autoregressions with conditional heteroskedasticity of unknown form (2004)Bootstrapping autoregressions…A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model (2002)A Small Sample Correction for…Testing for structural change in conditional models (2000)Testing for structural change…Sample Splitting and Threshold Estimation (2000)Sample Splitting and Threshol…Numerical distribution functions of likelihood ratio tests for cointegration (1999)Numerical distribution functi…Numerical distribution functions of likelihood ratio tests for cointegration (1999)Numerical distribution functi…On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots (1998)On the Robustness of Cointegr…Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Convergence to Stochastic Integrals for Dependent Heterogeneous Processes (1992)Convergence to Stochastic Int…A Cointegration Analysis of Treasury Bill Yields (1992)A Cointegration Analysis of T…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Discussion (1990)DiscussionCointegration and Tests of Present Value Models (1986)Cointegration and Tests of Pr…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries (2007)CO2 emissions, electricity consumption and output in ASEAN (2010)The contribution of foreign direct investment to clean energy use, carbon emissions and economic growth (2013)A Theory of the Term Structure of Interest Rates (1985)Co-integration and Error Correction: Representation, Estimation, and Testing (1991)Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth (2005)Quantile cointegrating regression (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)What is an Oil Shock? (2000)Forecasting Stock Returns (2013)Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Estimation of a Change Point in Multiple Regression Models (1997)Chapter 8 Growth Econometrics (2005)The economics of poverty traps and persistent poverty: An asset-based approach (2006)Remittances, financial development, and growth (2008)The Cross‐Section of Volatility and Expected Returns (2006)Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (2012)Does the use of renewable energy sources mitigate CO 2 emissions? A reassessment of the US evidence (2015)Energy consumption and economic growth in Vietnam (2015)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Introductory Econometrics for Finance (2008)Generalized impulse response analysis in linear multivariate models (1998)Bounds testing approaches to the analysis of level relationships (2001)Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis (2005)WHY AGNOSTIC SIGN RESTRICTIONS ARE NOT ENOUGH: UNDERSTANDING THE DYNAMICS OF OIL MARKET VAR MODELS (2012)Oil shocks, policy uncertainty and stock market return (2013)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
  • 2000Sample Splitting and Threshold Estimation2,901 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1999Numerical distribution functions of likelihood ratio tests for cointegration2,028 cited
  • 2004Bootstrapping autoregressions with conditional heteroskedasticity of unknown form631 cited
  • 2000Testing for structural change in conditional models465 cited
  • 1992A Cointegration Analysis of Treasury Bill Yields392 cited
  • 2002A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model367 cited
  • 1992Convergence to Stochastic Integrals for Dependent Heterogeneous Processes341 cited
  • 2008A Cointegration Analysis of Treasury Bill Yields320 cited
  • 1999Numerical distribution functions of likelihood ratio tests for cointegration300 cited
  • 1986Cointegration and Tests of Present Value Models260 cited
  • 1998On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots

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  • 1990Discussion229 cited
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