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Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features
16 references·1 citing·27 second hop
Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features (2009)Selection of Optimal Lag Length in Cointe…The importance of common cyclical features in VAR analysis: a Monte-Carlo study (2002)The importance of common cycl…Impulse response analysis in vector autoregressions with unknown lag order (2001)Impulse response analysis in …Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…Estimating common sectoral cycles (1995)Estimating common sectoral cy…Five alternative methods of estimating long-run equilibrium relationships (1994)Five alternative methods of e…Testing for Common Features (1993)Testing for Common FeaturesMisspecifications in vector autoregressions and their effects on impulse responses and variance decompositions (1993)Misspecifications in vector a…Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…COMMON TRENDS AND COMMON CYCLES (1993)COMMON TRENDS AND COMMON CYCL…Common trends and common cycles in Latin America (1993)Common trends and common cycl…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Co-integration and Error Correction: Representation, Estimation, and Testing (1991)Co-integration and Error Corr…Testing For Common Features (1990)Testing For Common FeaturesTesting for Common Trends (1988)Testing for Common TrendsStatistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…ARDL as an Elixir Approach to Cure for Spurious Regression in Nonstationary Time Series (2021)ARDL as an Elixir Approach to…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The econometrics of financial markets (1996)A Measure of Comovement for Economic Variables: Theory and Empirics (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Chapter 49 Arch models (1994)5 Stochastic volatility (1996)A PANIC Attack on Unit Roots and Cointegration (2004)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Spurious regression and residual-based tests for cointegration in panel data (1999)On the estimation and inference of a cointegrated regression in panel data (2004)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)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)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Generalized impulse response analysis in linear multivariate models (1998)Numerical distribution functions of likelihood ratio tests for cointegration (1999)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Public Capital and Private Sector Performance (1991)A Cointegration Analysis of Treasury Bill Yields (1992)Smart Money, Noise Trading and Stock Price Behaviour (1993)
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References

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  • 2002The importance of common cyclical features in VAR analysis: a Monte-Carlo study94 cited

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  • 1993Common trends and common cycles in Latin America46 cited
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    • 2021ARDL as an Elixir Approach to Cure for Spurious Regression in Nonstationary Time Series26 cited