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Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated ∗
16 references·1 citing·41 second hop
Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated ∗ (2007)Testing for Cointegration Using the Johan…Efficient tests of stock return predictability☆ (2006)Efficient tests of stock retu…The behavior of real exchange rates during the post-Bretton Woods period (1998)The behavior of real exchange…On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots (1998)On the Robustness of Cointegr…Exchange Rates and Economic Fundamentals: A Methodological Comparison of Beers and Feers (1998)Exchange Rates and Economic F…Is there a unit root in the inflation rate? Evidence from sequential break and panel data models (1997)Is there a unit root in the i…The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited (1996)The Long-Run Relationship bet…Inference in Models with Nearly Integrated Regressors (1995)Inference in Models with Near…The Fisher Effect and the Term Structure of Interest Rates: Tests of Cointegration (1993)The Fisher Effect and the Ter…Hysteresis in unemployment (1992)Hysteresis in unemploymentEstimation 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…Testing for the long run relationship between nominal interest rates and inflation using cointegration techniques (1989)Testing for the long run rela…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Regression Theory for Near-Integrated Time Series (1988)Regression Theory for Near-In…Is the Real Interest Rate Stable? (1988)Is the Real Interest Rate Sta…The Nonadjustment of Nominal Interest Rates: A Study of the Fisher Effect (1982)The Nonadjustment of Nominal …Enflasyon ve Ekonomik Büyüme İlişkisi: Türkiye Ekonomisi Üzerine Ekonometrik Bir Uygulama (1988-2007) (2011)Enflasyon ve Ekonomik Büyüme …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)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)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Inference in Linear Time Series Models with some Unit Roots (1990)Efficient Capital Markets: II (1991)Long-horizon regressions: theoretical results and applications (2003)Forecasting Stock Returns (2013)Short interest and aggregate stock returns (2016)Trends and random walks in macroeconmic time series (1982)Time Series Regression with a Unit Root (1987)Trends and random walks in macroeconomic time series (1988)Is the Fisher effect for real? (1992)The Term Structure of Real Rates and Expected Inflation (2007)What moves housing markets: A variance decomposition of the rent–price ratio (2009)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Wage Setting, Unemployment and Insider-Outsider Relations (1985)Hysteresis and the European Unemployment Problem (1986)WHY IS WAGE INFLATION IN BRITAIN SO HIGH?* (1987)Are the Long-Term Unemployed on the Margins of the Labor Market? (2014)A Third Wave in the Economics of Climate Change (2015)Social investment as a policy paradigm (2018)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)Stock Return Predictability: Is it There? (2001)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)The Econometrics of Financial Markets (2012)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Exchange Rates in Emerging Economies: What Do We Know? What Do We Need to Know? (1999)The Transfer Problem Revisited: Net Foreign Assets and Real Exchange Rates (2000)Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues* (2006)Debt, deficits, and inflation: An application to the public finances of India (1992)Structural Nonparametric Cointegrating Regression (2009)Robust Bond Risk Premia (2017)Why is it so difficult to beat the random walk forecast of exchange rates? (2003)Testing for a unit root in panels with dynamic factors (2004)Introductory Econometrics for Finance (2008)
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References

  • 1988Statistical analysis of cointegration vectors17,038 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
  • 2006Efficient tests of stock return predictability☆992 cited
  • 1998The behavior of real exchange rates during the post-Bretton Woods period824 cited
  • 1998Exchange Rates and Economic Fundamentals: A Methodological Comparison of Beers and Feers587 cited
  • 1988Is the Real Interest Rate Stable?489 cited
  • 1992Hysteresis in unemployment376 cited
  • 1995Inference in Models with Nearly Integrated Regressors370 cited
  • 1988Regression Theory for Near-Integrated Time Series366 cited
  • 1996The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited311 cited
  • 1982The Nonadjustment of Nominal Interest Rates: A Study of the Fisher Effect275 cited
  • 1998On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots255 cited
  • 1997Is there a unit root in the inflation rate? Evidence from sequential break and panel data models228 cited
  • 1989

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Testing for the long run relationship between nominal interest rates and inflation using cointegration techniques
195 cited
  • 1993The Fisher Effect and the Term Structure of Interest Rates: Tests of Cointegration160 cited
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    • 2011Enflasyon ve Ekonomik Büyüme İlişkisi: Türkiye Ekonomisi Üzerine Ekonometrik Bir Uygulama (1988-2007)17 cited