Regression-based analysis of cointegration systems
DOI10.1016/J.JECONOM.2014.12.007zbMATH Open1331.62469OpenAlexW2013206082MaRDI QIDQ2346014FDOQ2346014
Authors: Javier Gomez-Biscarri, Javier Hualde 
Publication date: 29 May 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.12.007
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Cites Work
- Forecasting the term structure of government bond yields
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Statistical analysis of cointegration vectors
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- Optimal Inference in Cointegrated Systems
- Asymptotic Properties of Residual Based Tests for Cointegration
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- Nonparametric cointegration analysis
- Nonparametric tests for unit roots and cointegration.
- Testing for Common Trends
- Title not available (Why is that?)
- TESTS OF COMMON STOCHASTIC TRENDS
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- LONG-RUN STRUCTURAL MODELLING
- Pitfalls in testing for long run relationships
- THE RANK OF A SUBMATRIX OF COINTEGRATION
- Some identification problems in the cointegrated vector autoregressive model
- Testing for \(r\) versus \(r-1\) cointegrating vectors
- Tests for cointegration. A Monte Carlo comparison
Cited In (5)
- System Estimation of Panel Data Models Under Long-Range Dependence
- Estimating theoretically consistent demand systems using cointegration techniques with application to Greek food data
- A residual-based ADF test for stationary cointegration in I(2) settings
- Cointegration analysis with state space models
- Cointegration and Dynamic Simultaneous Equations Model
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