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Nonparametric cointegration analysis of fractional systems with unknown integration orders
16 references·5 citing·33 second hop
Nonparametric cointegration analysis of fractional systems with unknown integration orders (2009)Nonparametric cointegration analysis of f…A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES (2008)A REPRESENTATION THEORY FOR A…Nonparametric tests for unit roots and cointegration (2002)Nonparametric tests for unit …Determination of cointegrating rank in fractional systems (2002)Determination of cointegratin…Trend Function Hypothesis Testing in the Presence of Serial Correlation (1998)Trend Function Hypothesis Tes…Nonparametric cointegration analysis (1997)Nonparametric cointegration a…Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…A Cointegration Analysis of Treasury Bill Yields (1992)A Cointegration Analysis of T…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Testing for Common Trends (1988)Testing for Common TrendsTesting for Common Trends (1988)Testing for Common TrendsStatistical analysis of cointegration vectors (1988)Statistical analysis of coint…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Some properties of time series data and their use in econometric model specification (1981)Some properties of time serie…Powerful nonparametric seasonal unit root tests (2018)Powerful nonparametric season…On the Performance of Wavelet Based Unit Root Tests (2018)On the Performance of Wavelet…Testing the M arshall– L erner Condition in K enya (2014)Testing the M arshall– L erne…Long-Run Identification in a Fractionally Integrated System (2013)Long-Run Identification in a …A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS (2009)A REPRESENTATION THEORY FOR P…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)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)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)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Exact Local Whittle Estimation of Fractional \nIntegration (2002)Social Capital and the Dynamics of Trust in Government (2007)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)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)New Simple Tests for Panel Cointegration (2005)Unit Roots and Cointegration in Panels (2008)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Generalized impulse response analysis in linear multivariate models (1998)Numerical distribution functions of likelihood ratio tests for cointegration (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)
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241 cited
  • 1997Nonparametric cointegration analysis202 cited
  • Cited by

    • 2014Testing the M arshall– L erner Condition in K enya25 cited
    • 2018On the Performance of Wavelet Based Unit Root Tests23 cited
    • 2009A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS16 cited
    • 2013Long-Run Identification in a Fractionally Integrated System13 cited
    • 2018Powerful nonparametric seasonal unit root tests9 cited