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Semi-nonparametric cointegration testing
16 references·2 citing·29 second hop
Semi-nonparametric cointegration testing (2002)Semi-nonparametric cointegration testingThe Econometrics of Financial Markets (2012)The Econometrics of Financial…UNIT ROOT TESTS BASED ON ADAPTIVE MAXIMUM LIKELIHOOD ESTIMATION (1999)UNIT ROOT TESTS BASED ON ADAP…Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger (1999)Cointegration, causality, and…The Econometrics of Financial Markets (1998)The Econometrics of Financial…Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions (1998)Reprojecting Partially Observ…Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors (1998)Limiting distributions of max…Order Selection in Testing for the Cointegrating Rank of a VAR Process (1997)Order Selection in Testing fo…Cointegration Testing Using Pseudolikelihood Ratio Tests (1997)Cointegration Testing Using P…Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…The role of the constant and linear terms in cointegration analysis of nonstationary variables (1994)The role of the constant and …Direct cointegration testing in error correction models (1994)Direct cointegration testing …Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…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…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…Testing for cointegration using partially linear models (2004)Testing for cointegration usi…Testing for a Unit Root with Near-Integrated Volatility (2000)Testing for a Unit Root with …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)Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)Unit root tests for panel data (2001)A simple panel unit root test in the presence of cross‐section dependence (2007)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)Risk, Return, and Equilibrium: Empirical Tests (1973)Financial Calculus (1996)ARCH Models and Financial Applications (1997)Corporate social responsibility and shareholder's value (2011)Market response to policy initiatives during the global financial crisis (2011)Testing the Masters Hypothesis in commodity futures markets (2011)MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS (2002)Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)The impact of energy consumption and economic development on Ecological Footprint and CO2 emissions: Evidence from a Markov Switching Equilibrium Correction Model (2017)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Dynamic relationship between stock prices and exchange rates for G-7 countries (2001)Distributions of error correction tests for cointegration (2002)The impact of crisis events and macroeconomic activity on Taiwan's international inbound tourism demand (2008)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 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
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 1994The role of the constant and linear terms in cointegration analysis of nonstationary variables445 cited
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  • 1998The Econometrics of Financial Markets239 cited
  • 1998Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions207 cited
  • 1998Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors105 cited
  • 1997Order Selection in Testing for the Cointegrating Rank of a VAR Process47 cited
  • 1997Cointegration Testing Using Pseudolikelihood Ratio Tests46 cited

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  • 1994Direct cointegration testing in error correction models46 cited
  • 1999UNIT ROOT TESTS BASED ON ADAPTIVE MAXIMUM LIKELIHOOD ESTIMATION28 cited
  • Cited by

    • 2000Testing for a Unit Root with Near-Integrated Volatility34 cited
    • 2004Testing for cointegration using partially linear models12 cited