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Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration
14 references·0 citing·28 second hop
Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration (2022)Numerical Distribution Functions of Likel…Structural analysis of vector error correction models with exogenous I(1) variables (2000)Structural analysis of vector…Asymptotic Inference on Cointegrating Rank in Partial Systems (1998)Asymptotic Inference on Coint…Tests for cointegration a Monte Carlo comparison (1996)Tests for cointegration a Mon…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…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)A Stastistical Analysis of Cointegration for I(2) Variables (1995)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Public Capital and Private Sector Performance (1991)Smart Money, Noise Trading and Stock Price Behaviour (1993)
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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
  • 1996Tests for cointegration a Monte Carlo comparison264 cited
  • 1998Asymptotic Inference on Cointegrating Rank in Partial Systems215 cited

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