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Statistical Inference in Regressions with Integrated Processes: Part 1
11 references·16 citing·21 second hop
Statistical Inference in Regressions with Integrated Processes: Part 1 (1988)Statistical Inference in Regressions with…Testing for Common Trends (1988)Testing for Common TrendsTesting for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Time Series Regression with a Unit Root (1987)Time Series Regression with a…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Asymptotic Properties of Leas…Understanding spurious regressions in econometrics (1986)Understanding spurious regres…Multiple Time Series Regression with Integrated Processes (1986)Multiple Time Series Regressi…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Cointegration and error correction (2013)Cointegration and error corre…Testing for Granger causality in heterogeneous mixed panels (2010)Testing for Granger causality…Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window (2010)Economic growth and energy co…Testing for Error Correction in Panel Data* (2007)Testing for Error Correction …PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)PANEL COINTEGRATION: ASYMPTOT…Nonparametric tests for unit roots and cointegration (2002)Nonparametric tests for unit …Nonlinear Regressions with Integrated Time Series (2001)Nonlinear Regressions with In…Explaining Cointegration Analysis: Part II (2001)Explaining Cointegration Anal…Structural analysis of vector error correction models with exogenous I(1) variables (2000)Structural analysis of vector…Productivity Across Industries and Countries: Time Series Theory and Evidence (1996)Productivity Across Industrie…On the power of the KPSS test of stationarity against fractionally-integrated alternatives (1996)On the power of the KPSS test…Testing for a Unit Root in Time Series With Pretest Data-Based Model Selection (1994)Testing for a Unit Root in Ti…A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration (1994)A Residual-Based Test of the …Seasonal unit roots in aggregate U.S. data (1993)Seasonal unit roots in aggreg…Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation (1992)Estimation and Testing of Coi…COINTEGRATION AND UNIT ROOTS (1990)COINTEGRATION AND UNIT ROOTSA Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Bounds testing approaches to the analysis of level relationships (2001)Trends and random walks in macroeconmic time series (1982)A PANIC Attack on Unit Roots and Cointegration (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Statistical analysis of cointegration vectors (1988)Spurious regression and residual-based tests for cointegration in panel data (1999)Testing for unit roots in heterogeneous panels (2003)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Non-renewable and renewable energy consumption and CO2 emissions in OECD countries: A comparative analysis (2013)CO2 emissions, economic growth, energy consumption, trade and urbanization in new EU member and candidate countries: A panel data analysis (2014)Renewable, non-renewable energy consumption, economic growth, trade openness and ecological footprint: Evidence from organisation for economic Co-operation and development countries (2019)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Generalized autoregressive conditional heteroskedasticity (1986)Exponential smoothing: The state of the art (1985)Using daily stock returns (1985)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1977Time Series Analysis: Forecasting and Control6,446 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1988Testing for Common Trends1,894 cited
  • 1986Understanding spurious regressions in econometrics1,782 cited
  • 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors1,471 cited
  • 1986Multiple Time Series Regression with Integrated Processes837 cited

Cited by

  • 2004PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS6,696 cited
  • 2007Testing for Error Correction in Panel Data*6,105 cited
  • 2000Structural analysis of vector error correction models with exogenous I(1) variables797 cited
  • 1994Testing for a Unit Root in Time Series With Pretest Data-Based Model Selection

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701 cited
  • 1990COINTEGRATION AND UNIT ROOTS638 cited
  • 2010Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window601 cited
  • 2001Explaining Cointegration Analysis: Part II552 cited
  • 2010Testing for Granger causality in heterogeneous mixed panels546 cited
  • 1994A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration539 cited
  • 2013Cointegration and error correction503 cited
  • 1996Productivity Across Industries and Countries: Time Series Theory and Evidence503 cited
  • 1992Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation489 cited
  • 2002Nonparametric tests for unit roots and cointegration454 cited
  • 2001Nonlinear Regressions with Integrated Time Series426 cited
  • 1996On the power of the KPSS test of stationarity against fractionally-integrated alternatives425 cited
  • 1993Seasonal unit roots in aggregate U.S. data422 cited