SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Identifying Cointegration by Eigenanalysis
16 references·4 citing·35 second hop
Identifying Cointegration by Eigenanalysis (2018)Identifying Cointegration by EigenanalysisCointegration and error correction (2013)Cointegration and error corre…Semiparametric inference in multivariate fractionally cointegrated systems (2010)Semiparametric inference in m…Cointegration in Fractional Systems with Unknown Integration Orders (2003)Cointegration in Fractional S…Determination of cointegrating rank in fractional systems (2002)Determination of cointegratin…Weak convergence of multivariate fractional processes (2000)Weak convergence of multivari…TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT (2000)TESTING FOR THE COINTEGRATING…A Class of Tests for Integration and Cointegration (1999)A Class of Tests for Integrat…Nonparametric cointegration analysis (1997)Nonparametric cointegration a…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…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…Testing for cointegration using principal components methods (1988)Testing for cointegration usi…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…Dimension Reduction for High‐Dimensional Vector Autoregressive Models* (2022)Dimension Reduction for High‐…Unit Roots and Cointegration (2019)Unit Roots and CointegrationLocalizing Changes in High-Dimensional Vector Autoregressive Processes (2019)Localizing Changes in High-Di…Estimating Non-stationary Common Factors: Implications for Risk Sharing (2018)Estimating Non-stationary Com…Statistical analysis of cointegration vectors (1988)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Testing for a Unit Root in Time Series Regression (1988)Economic factors and suicide rates: associations over time in four countries (2010)Public-private partnerships investment in energy as new determinant of CO2 emissions: The role of technological innovations in China (2020)Does economic growth stimulate energy consumption? The role of human capital and R&D expenditures in China (2021)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)International R&D spillovers (1995)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)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Semiparametric fractional cointegration analysis (2001)A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach (2005)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)The evolution of macro models at the Federal Reserve Board (1997)WHAT HAVE WE LEARNED FROM THREE DECADES OF RESEARCH ON THE PRODUCTIVITY OF PUBLIC CAPITAL? (2013)Volatility linkages between energy and agricultural commodity prices (2015)Spurious regression and residual-based tests for cointegration in panel data (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 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
  • 1981Some properties of time series data and their use in econometric model specification2,406 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors1,471 cited
  • 1991Optimal Inference in Cointegrated Systems1,110 cited
  • 2013Cointegration and error correction503 cited
  • 2002Determination of cointegrating rank in fractional systems241 cited
  • 1997Nonparametric cointegration analysis202 cited
  • 1988Testing for cointegration using principal components methods190 cited
  • 2000TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT163 cited
  • 2003Cointegration in Fractional Systems with Unknown Integration Orders147 cited
  • 2000Weak convergence of multivariate fractional processes143 cited
  • 1999A Class of Tests for Integration and Cointegration

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

114 cited
  • 2010Semiparametric inference in multivariate fractionally cointegrated systems55 cited
  • Cited by

    • 2018Estimating Non-stationary Common Factors: Implications for Risk Sharing28 cited
    • 2019Unit Roots and Cointegration26 cited
    • 2019Localizing Changes in High-Dimensional Vector Autoregressive Processes18 cited
    • 2022Dimension Reduction for High‐Dimensional Vector Autoregressive Models*15 cited