Cointegration Analysis

Cointegration Analysis (2010)

Cached

Download Links

by Herman J. Bierens

Venue:
Citations:	17 - 2 self

BibTeX

@MISC{Bierens10cointegrationanalysis,
    author = {Herman J. Bierens},
    title = {Cointegration Analysis},
    year = {2010}
}

Years of Citing Articles

Bookmark

OpenURL

Abstract

Citations

2262	Convergence of Probability Measures - Billingsley - 1968
660	Statistical Analysis of Cointegration Vectors - Johansen - 1998
619	Cointegration and error correction: representation, estimation and testing - Engle, Granger - 1987
571	Distribution of the estimators for autoregressive time series with a unit root - Dickey, Fuller - 1979
407	Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models - Johansen - 1991
380	Martingale Limit Theory and Its Applications - Hall, Heyde - 1980
367	Maximum Likelihood Estimation and Inference on Cointegration - with Applications to the Demand for Money - Johansen, Juselius - 1990
258	The great crash, the oil price shock, and the unit root hypothesis - Perron - 1989
255	ratio statistics for autoregressive time series with a unit root - Dickey, Likelihood
250	Cointegration and Error Correction - Engle, Granger - 1987
250	A Theory of the Consumption Function - Friedman - 1957
227	Trends and random walks in macro-economic time series: some evidence and implications - Nelson, Plosser - 1982
198	Testing for a unit root in time series regression - Phillips
135	Testing for common trends - Stock, Watson - 1988
126	Time Series Regression with a Unit Root - Phillips - 1987
112	Inference in Linear Time Series Models with Some Unit - Sims, Stock, et al. - 1990
101	Asymptotic properties of residual based tests for cointegration - Phillips, Ouliaris - 1990
93	Numerical Methods for Scientists and Engineers - Hamming - 1986
82	Testing the unit root in a time series with a changing mean - Perron - 1990
80	Statistical Inference in Instrumental Variables Regression with I(1) Processes - Phillips, Hansen - 1990
75	Test for unit roots in autoregressive-moving average models of unknown order - Said, Dickey - 1984
69	Forecasting and testing in cointegrated systems - Engle, Yoo - 1987
66	Asymptotics for linear processes - Phillips, Solo - 1992
59	Optimal Inference in Cointegrated Systems - Phillips - 1991
55	Tests for Parameter Instability in Regressions with I(1) Processes - Hansen - 1992
44	A simple positive definite, heteroskedasticity and autocorrelation consistent covariance matrix - Newey, West - 1987
42	Trends and random walks in macroeconomic time series : Further evidence from a new approach - Perron - 1988
30	Testing for a unit root in time series regression.” Biometrika 75 - Phillips, Perron - 1988
29	The Role of the Constant and Linear Terms in Cointegration Analysis of Nonstationary Variables - Johansen - 1994
28	Efficient inference on cointegrating parameters in structural error correction models - Boswijk - 1993
25	Time series regression with a unit root. Econometrica - Phillips - 1987
23	Stochastic trends and economic fluctuations in a small open economy - Mellander, Vredin, et al. - 1992
19	Testing for unit roots and cointegration by variable addition - Park - 1990
15	Convergence of Probability Measures - unknown authors - 1999
14	On Bayesian routes to unit roots - Schotman, Dijk - 1991
12	Testing for an unstable root in conditional and structural error correction models - Boswijk - 1994
12	A note on Johansen's cointegration procedure when trends are present - Perron, Campbell - 1993
10	Topics in advanced econometrics: estimation, testing, and specification of cross-section and time series models - Bierens - 1994
8	Testing stationarity and trend stationarity against the unit root hypothesis, Econometric Reviews 12 - Bierens, Guo - 1993
5	Distribution of eigenvalues in multivariate statistical analysis - Anderson, Brons, et al. - 1983
4	Higher-order sample autocorrelations and the unit root hypothesis - Bierens - 1993
4	Introduction to Statistical Time Series - A - 1976
4	Optimal inference in cointegrated systems, Econometrica 59 - Phillips - 1991
3	Cointegrated economic time series: a survey with new results - Engle, Yoo - 1991
3	Some properties of time series and their use in econometric model specification - Granger - 1981
2	On the theory of cointegrated economic time series, Invited paper presented at the Econometric Society European Meeting - Engle - 1987
1	Martingale limit theory and its applications (San Diego - Hall, Heyde - 1980
1	Aspects of estimation of cointegrated time series - Harris - 1995
1	Impulse response analysis in cointegrated processes, mimeo - Lutkepohl, Saikkonen - 1995
1	V.Solo - B - 1992