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Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- scientific article; zbMATH DE number 3413713 (Why is no real title available?)
- Asymptotic Properties of Residual Based Tests for Cointegration
- Asymptotics for linear processes
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Distribution of eigenvalues in multivariate statistical analysis
- Efficient inference on cointegration parameters in structural error correction models
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Forecasting and testing in co-integrated systems
- Higher-order sample autocorrelations and the unit root hypothesis
- Inference in Linear Time Series Models with some Unit Roots
- Optimal Inference in Cointegrated Systems
- Statistical analysis of cointegration vectors
- Testing for Common Trends
- Testing for a unit root in time series regression
- Testing for an unstable root in conditional and structural error correction models
- Testing stationarity and trend stationarity against the unit root hypothesis
- The role of the constant and linear terms in cointegration analysis of nonstationary variables
- Time Series Regression with a Unit Root
- Topics in Advanced Econometrics
Cited in
(48)- Cointegration analysis with state space models
- Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate
- Method of cointegration and exchange rates
- Nonparametric testing for linearity in cointegrated error-correction models
- The unbiasedness hypothesis in the freight forward market: Evidence from cointegration tests
- Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
- Markov-switching stochastic trends and economic fluctuations
- Some nonparametric asymptotic results for a class of stochastic processes
- Nonparametric cointegration analysis of fractional systems with unknown integration orders
- Linear cointegration of nonlinear time series with an application to interest rate dynamics
- A comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests
- NONLINEARITIES IN THE DYNAMICS OF THE EURO AREA DEMAND FOR M1
- AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION
- A simple cointegrating rank test without vector autoregression
- Nonparametric tests for unit roots and cointegration.
- Semi-nonparametric cointegration testing
- A unifying theory of tests of rank
- LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION
- Generalised empirical likelihood for cointegrating regressions
- On the specification and estimation of large scale simultaneous structural macroeconometric models
- Consistent Testing of Cointegrating Relationships
- Vector autoregressive processes with nonlinear time trends in cointegrating relations
- Cointegration analysis using \(M\) estimators.
- On the asymptotic behaviour of random matrices in a multivariate statistical model
- THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
- Identifying cointegration by eigenanalysis
- Nonparametric inference for quantile cointegrations with stationary covariates
- Local Linear Estimation of a Nonparametric Cointegration Model
- Nonlinear estimation using estimated cointegrating relations
- Price discovery, causality and forecasting in the freight futures market
- Nonlinear relationship between permanent and transitory components of monetary aggregates and the economy
- Common nonstationary components of asset prices
- Regression-based analysis of cointegration systems
- Cointegration analysis as a tool to measure the purchasing power of Ukrainian mean total wages
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- Estimation for double-nonlinear cointegration
- Structural nonparametric cointegrating regression
- New results on the convergence of random matrices
- Portmanteau-type tests for unit-root and cointegration
- Testing for the cointegrating rank of a VAR process with a time trend
- Determination of cointegrating rank in partially non‐stationary processes via a generalised von‐Neumann criterion
- Variance ratio tests of the seasonal unit root hypothesis
- Testing for cointegration using partially linear models
- Tests for nonlinear cointegration
- Combining non-cointegration tests
- Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence
- Wage formation and employment in a cointegrated VAR model
- Simple, robust, and accurate \(F\) and \(t\) tests in cointegrated systems
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