Statistical analysis of cointegration vectors
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- Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
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- Understanding spurious regressions in econometrics
Cited in
(only showing first 100 items - show all)- Stock futures of a flawed market index
- Efficient inference in multivariate fractionally integrated time series models
- Statistical Issues in Macroeconomic Modelling*
- Cointegration analysis under measurement errors
- Analysis of coexplosive processes
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- Challenges of trending time series econometrics
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- Granger's representation theorem: A closed‐form expression for I(1) processes
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- Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
- Testing the Cointegrating Rank with Uncorrelated but Dependent Errors
- Testing the nominal-to-real transformation
- Testing for the cointegration rank when some cointegrating directions are changing
- Testing for cointegration using partially linear models
- Pairs trading with partial cointegration
- A likelihood based estimator for vector autoregressive processes
- Cointegration in large VARs
- RECOGNIZING OVERDIFFERENCED TIME SERIES
- Impulse response analysis of cointegrated systems
- Exact maximum likelihood estimation of partially nonstationary vector ARMA models
- A Direct Test for Cointegration Between a Pair of Time Series
- Cointegration in partial systems and the efficiency of single-equation analysis
- Comprehensively testing linearity hypothesis using the smooth transition autoregressive model
- ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS
- Tariff endogeneity: Evidence from 19th century Europe
- Forecasting the exchange rate PPP versus a random walk
- Using stochastic growth models to understand unit roots and breaking trends
- Numerical aspects of a likelihood ratio test statistic for cointegrating rank
- Meta fuzzy index functions
- Cointegration: Overview and Development
- Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises
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- The impact of divorce precedents on the Japanese divorce rate
- The suitability of a monetary union in east Asia: what does the cointegration approach tell?
- GSA-based maximum likelihood estimation for threshold vector error correction model
- Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems
- Time Series Analysis of Relationships Among Crypto-asset Exchange Rates
- A sequential test for structural breaks in the causal linkages between the G7 short-term interest rates
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- Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions
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- Relaxed support vector regression
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- A multivariate approach to modeling univariate seasonal time series
- The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
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- Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
- Bootstrapping cointegrating regressions
- Testing for the Null Hypothesis of Cointegration with a Structural Break
- Dynamic modeling of mean-reverting spreads for statistical arbitrage
- LONG-RUN STRUCTURAL MODELLING
- Analysis of portfolio diversification between REIT assets
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- Size and power of some cointegration tests under structural breaks and heteroskedastfc noise
- The role of the constant and linear terms in cointegration analysis of nonstationary variables
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- A Review of Nonparametric Time Series Analysis
- Detection and attribution of climate change through econometric methods
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- Determination of vector error correction models in high dimensions
- Some notes on nonlinear cointegration: a partial review with some novel perspectives
- The dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price
- Pairs trading with partial cointegration
- Nonlinear joint dynamics between prices of crude oil and refined products
- Large Spillover Networks of Nonstationary Systems
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