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Numerical distribution functions of likelihood ratio tests for cointegration
12 references·16 citing·28 second hop
Numerical distribution functions of likelihood ratio tests for cointegration (1999)Numerical distribution functions of likel…Structural analysis of vector error correction models with exogenous I(1) variables (2000)Structural analysis of vector…Numerical distribution functions for unit root and cointegration tests (1996)Numerical distribution functi…Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…The role of the constant and linear terms in cointegration analysis of nonstationary variables (1994)The role of the constant and …Five alternative methods of estimating long-run equilibrium relationships (1994)Five alternative methods of e…Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests (1994)Approximate Asymptotic Distri…FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)FINITE‐SAMPLE SIZES OF JOHANS…DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND (1992)DETERMINATION OF COINTEGRATIO…Statistical Analysis of Cointegration Vectors (1991)Statistical Analysis of Coint…Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Co-integration and Error Correction: Representation, Estimation, and Testing (1991)Co-integration and Error Corr…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Short-term Shocks and Long-term Relationships of Interdependencies Among Central European Capital Markets (2017)Short-term Shocks and Long-te…Dynamics between energy consumption and economic growth in Ecuador: A granger causality analysis (2017)Dynamics between energy consu…Money and Housing: Evidence for the Euro Area and the Us (2016)Money and Housing: Evidence f…The dynamic effect of exchange-rate volatility on Turkish exports: Parsimonious error-correction model approach (2015)The dynamic effect of exchang…Human Capital Development and Economic Growth: The Nigeria Experience (2014)Human Capital Development and…US Imports for Canadian Softwood Lumber in the Context of Trade Dispute: A Cointegration Approach (2013)US Imports for Canadian Softw…The GVAR Approach and the Dominance of the U.S. Economy (2013)The GVAR Approach and the Dom…Nigeria’s External Debt and Economic Growth: An Error Correction Approach (2011)Nigeria’s External Debt and E…Inflation, Unemployment and the NAIRU in Pakistan (1975-2009) (2011)Inflation, Unemployment and t…Short- and Long-Run Electricity Demand Elasticities at the Subsectoral Level: A Cointegration Analysis for German Manufacturing Industries (2010)Short- and Long-Run Electrici…Empirical Determinants of Saving in the Islamic Banks: Evidence from Indonesia (2009)Empirical Determinants of Sav…Dividend Policy and Inflation In Australia: Results From Cointegration Tests (2009)Dividend Policy and Inflation…Cointegrated TFP Processes and International Business Cycles (2009)Cointegrated TFP Processes an…Co-Integration Rank Testing under Conditional Heteroskedasticity (2009)Co-Integration Rank Testing u…Can Macroeconomic Variables Explain Long Term Stock Market Movements? A Comparison of the US and Japan (2007)Can Macroeconomic Variables E…An Analysis of Exports and Growth in India: Cointegration and Causality Evidence (1971-2001) (2005)An Analysis of Exports and Gr…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)Exploring the international linkages of the euro area: a global VAR analysis (2007)Unit Roots and Cointegration in Panels (2008)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Spurious regression and residual-based tests for cointegration in panel data (1999)On the estimation and inference of a cointegrated regression in panel data (2004)Testing for a Unit Root in Time Series Regression (1988)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Unit root tests for panel data (2001)Critical Values for Cointegration Tests (2010)Testing weak exogeneity and the order of cointegration in UK money demand data (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Stock Prices, News, and Economic Fluctuations (2006)CO2 emissions, energy consumption, and output in France (2007)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)Generalized impulse response analysis in linear multivariate models (1998)Bounds testing approaches to the analysis of level relationships (2001)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)A Cointegration Analysis of Treasury Bill Yields (1992)NON‐CAUSALITY IN COINTEGRATED SYSTEMS: REPRESENTATION ESTIMATION AND TESTING (1992)A Stastistical Analysis of Cointegration for I(2) Variables (1995)Public Capital and Private Sector Performance (1991)Smart Money, Noise Trading and Stock Price Behaviour (1993)
this work references cited by second hop

References

  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
  • 1996Numerical distribution functions for unit root and cointegration tests3,119 cited
  • 1993FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION1,206 cited
  • 1994Five alternative methods of estimating long-run equilibrium relationships1,129 cited
  • 1991Optimal Inference in Cointegrated Systems1,110 cited
  • 1992DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND1,011 cited
  • 1991Co-integration and Error Correction: Representation, Estimation, and Testing946 cited
  • 2000Structural analysis of vector error correction models with exogenous I(1) variables797 cited
  • 1991Statistical Analysis of Cointegration Vectors537 cited
  • 1994Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests469 cited
  • 1994The role of the constant and linear terms in cointegration analysis of nonstationary variables445 cited

Cited by

  • 2009Empirical Determinants of Saving in the Islamic Banks: Evidence from Indonesia135 cited
  • 2010Short- and Long-Run Electricity Demand Elasticities at the Subsectoral Level: A Cointegration Analysis for German Manufacturing Industries

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114 cited
  • 2007Can Macroeconomic Variables Explain Long Term Stock Market Movements? A Comparison of the US and Japan110 cited
  • 2005An Analysis of Exports and Growth in India: Cointegration and Causality Evidence (1971-2001)103 cited
  • 2014Human Capital Development and Economic Growth: The Nigeria Experience103 cited
  • 2011Nigeria’s External Debt and Economic Growth: An Error Correction Approach80 cited
  • 2017Dynamics between energy consumption and economic growth in Ecuador: A granger causality analysis66 cited
  • 2016Money and Housing: Evidence for the Euro Area and the Us59 cited
  • 2011Inflation, Unemployment and the NAIRU in Pakistan (1975-2009)38 cited
  • 2009Cointegrated TFP Processes and International Business Cycles34 cited
  • 2017Short-term Shocks and Long-term Relationships of Interdependencies Among Central European Capital Markets31 cited
  • 2015The dynamic effect of exchange-rate volatility on Turkish exports: Parsimonious error-correction model approach28 cited
  • 2013US Imports for Canadian Softwood Lumber in the Context of Trade Dispute: A Cointegration Approach26 cited
  • 2009Co-Integration Rank Testing under Conditional Heteroskedasticity26 cited
  • 2013The GVAR Approach and the Dominance of the U.S. Economy24 cited
  • 2009Dividend Policy and Inflation In Australia: Results From Cointegration Tests24 cited