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Cointegration and error correction · Study

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ChapterCointegration and error correction

James E. H. Davidson2013

Chapter2013

Cointegration and error correction

James E. H. Davidson

503 citations·0/0 files stored·Edward Elgar Publishing eBooks

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1988Statistical analysis of cointegration vectors 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order

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2013WHAT HAVE WE LEARNED FROM THREE DECADES OF RESEARCH ON THE PRODUCTIVITY OF PUBLIC CAPITAL?1997The evolution of macro models at the Federal Reserve Board 2015Volatility linkages between energy and agricultural commodity prices 1997Forecasting international quarterly tourist flows using error-correction and time-series models 2011Electricity consumption and economic growth empirical evidence from Pakistan

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1994Chapter 47 Vector autoregressions and cointegrationchapter · 16 shared references 1996Time-Series-Based Econometricsbook · 16 shared references 1993Vector autoregressions and cointegrationpreprint · 14 shared references 2012Econometric Modelling with Time Series: Specification, Estimation and Testingarticle · 12 shared references 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Rootsarticle · 11 shared references 1993Testing for a Unit Rootchapter · 11 shared references

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Year2013

Typechapter

Published2013-07-30

VenueEdward Elgar Publishing eBooks

Languageen

Citations503

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.4337/9780857931023.00013

openalex_workW2286406400

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