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Long—run relations in a well—defined statistical model for the data generating process. Cointegration analysis of the PPP and the UIP relations for Denmark and Germany
16 references·6 citing·26 second hop
Long—run relations in a well—defined statistical model for the data generating process. Cointegration analysis of the PPP and the UIP relations for Denmark and Germany (1991)Long—run relations in a well—defined stat…Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (1992)Testing structural hypotheses…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…The Foreign Exchange Market: Theory and Econometric Evidence. (1990)The Foreign Exchange Market: …MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Statistical Inference in Regressions with Integrated Processes: Part 2 (1989)Statistical Inference in Regr…The mathematical structure of error correction models (1988)The mathematical structure of…Statistical Inference in Regressions with Integrated Processes: Part 1 (1988)Statistical Inference in Regr…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…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…Multiple Time Series Regression with Integrated Processes (1986)Multiple Time Series Regressi…ERROR CORRECTION, PARTIAL ADJUSTMENT AND ALL THAT: AN EXPOSITORY NOTE* (1985)ERROR CORRECTION, PARTIAL ADJ…The Econometric Analysis of Economic Time Series (1983)The Econometric Analysis of E…Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom (1978)Econometric Modelling of the …Econometric Analysis for National Economic Planning (1971)Econometric Analysis for Nati…Wpływ wyższych wymogów kapitałowych w sektorze bankowym na wzrost gospodarczy (2012)Wpływ wyższych wymogów kapita…Can common stocks provide a hedge against inflation? Evidence from African countries (2010)Can common stocks provide a h…The Long Swings Puzzle: What the Data Tell When Allowed to Speak Freely (2009)The Long Swings Puzzle: What …Stock Prices and Inflation: New Evidence from the Pacific-Basin Countries (2004)Stock Prices and Inflation: N…A COINTEGRATION APPROACH TO MONETARY TARGETING IN AUSTRALIA* (1993)A COINTEGRATION APPROACH TO M…Small sample properties of tests of linear restrictions on cointegrating vectors and their weights (1992)Small sample properties of te…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Common stochastic trends in international stock markets (1992)DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND (1992)Tourism as a long-run economic growth factor: the Spanish case (2002)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Trends and random walks in macroeconmic time series (1982)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)International R&D spillovers (1995)Income, Saving and the Theory of Consumer Behavior. (1950)Some properties of time series data and their use in econometric model specification (1981)Testing for Common Trends (1988)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)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Structural analysis of vector error correction models with exogenous I(1) variables (2000)Testing for Error Correction in Panel Data* (2007)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)
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
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK1,659 cited
  • 1978Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom1,629 cited
  • 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors1,471 cited
  • 1986Multiple Time Series Regression with Integrated Processes837 cited
  • 1988Statistical Inference in Regressions with Integrated Processes: Part 1749 cited
  • 1971Econometric Analysis for National Economic Planning608 cited
  • 1989Statistical Inference in Regressions with Integrated Processes: Part 2521 cited
  • 1983The Econometric Analysis of Economic Time Series372 cited
  • 1985ERROR CORRECTION, PARTIAL ADJUSTMENT AND ALL THAT: AN EXPOSITORY NOTE*351 cited

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  • 1990The Foreign Exchange Market: Theory and Econometric Evidence.197 cited
  • 1988The mathematical structure of error correction models99 cited
  • Cited by

    • 2010Can common stocks provide a hedge against inflation? Evidence from African countries71 cited
    • 2004Stock Prices and Inflation: New Evidence from the Pacific-Basin Countries42 cited
    • 1993A COINTEGRATION APPROACH TO MONETARY TARGETING IN AUSTRALIA*28 cited
    • 1992Small sample properties of tests of linear restrictions on cointegrating vectors and their weights26 cited
    • 2012Wpływ wyższych wymogów kapitałowych w sektorze bankowym na wzrost gospodarczy18 cited
    • 2009The Long Swings Puzzle: What the Data Tell When Allowed to Speak Freely17 cited