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The Vector Autoregressive Model
16 references·3 citing·25 second hop
The Vector Autoregressive Model (1995)The Vector Autoregressive ModelDynamic Econometrics (1995)Dynamic EconometricsCo-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Co-integration, Error Correct…A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)A Simple Estimator of Cointeg…Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (1992)Testing structural hypotheses…DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND (1992)DETERMINATION OF COINTEGRATIO…Canonical Cointegrating Regressions (1992)Canonical Cointegrating Regre…Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Seasonal integration and cointegration (1990)Seasonal integration and coin…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Inference in Linear Time Series Models with some Unit Roots (1990)Inference in Linear Time Seri…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…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…Some properties of time series data and their use in econometric model specification (1981)Some properties of time serie…Asymmetric Effects of Economic Policy Uncertainty on the Demand for Money in India (2021)Asymmetric Effects of Economi…The Impact of Switching Regimes and Monetary Shocks: An Empirical Analysis of REITs (2012)The Impact of Switching Regim…Is Euro Area Money Demand (Still) Stable? Cointegrated VAR Versus Single Equation Techniques (2010)Is Euro Area Money Demand (St…Testing for a Unit Root in Time Series Regression (1988)THE POWER OF COINTEGRATION TESTS (1992)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Does financial development cause economic growth? Time-series evidence from 16 countries (1996)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Common stochastic trends in international stock markets (1992)Tourism as a long-run economic growth factor: the Spanish case (2002)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)Fractional Brownian Motions, Fractional Noises and Applications (1968)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)The contribution of tourism development to economic growth in the Korean economy (2003)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)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Statistical inference in vector autoregressions with possibly integrated processes (1995)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)
this work references cited by second hop

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
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  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
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  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 1990Seasonal integration and cointegration1,475 cited
  • 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors1,471 cited
  • 1992Canonical Cointegrating Regressions1,383 cited
  • 1995Dynamic Econometrics1,199 cited
  • 1991

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Optimal Inference in Cointegrated Systems
1,110 cited
  • 1992DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND1,011 cited
  • Cited by

    • 2012The Impact of Switching Regimes and Monetary Shocks: An Empirical Analysis of REITs30 cited
    • 2021Asymmetric Effects of Economic Policy Uncertainty on the Demand for Money in India17 cited
    • 2010Is Euro Area Money Demand (Still) Stable? Cointegrated VAR Versus Single Equation Techniques15 cited