MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY

Keywords

Cointegration, Inference, Economics, Econometrics, Mathematical statistics

References

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• Asymptotic Equivalence of OLS and GLS in Regressions with Integrated RegressorsPeter C.B. Phillips, Joon‐Young Park — 1986
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• Hypothesis Testing for Cointegration Vectors: with Application to the Demand for Money in Denmark and FinlandSøren Johansen, Katarina Jusélius — 1988
• Testing for CointegrationKarim M. Abadir — 1995
• Multiple Time Series Regression with Integrated ProcessesP. C. B. Phillips, Steven N. Durlauf — 1986
• Asymptotic Properties of Least Squares Estimators of Cointegrating VectorsJames H. Stock — 1987
• Testing for Common TrendsJames H. Stock, Mark W. Watson — 1988
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive ModelsSøren Johansen — 1991
• A canonical analysis of multiple time seriesGeorge E. P. Box, George C. Tiao — 1977
• Estimation for Partially Nonstationary Multivariate Autoregressive ModelsSung K. Ahn, Gregory C. Reinsel — 1990
• Some Aspects of Asymptotic Theory with Applications to Time Series ModelsPratheepa Jeganathan — 1995
• INFERENCE IN LINEAR TIME SERIES MODELS WITH SOME UNIT ROOTSChristopher A. Sims, James H. Stock, Mark W. Watson — 1990
• Asymptotic normality, when regressors have a unit rootKenneth D. West — 1988
• Efficient tests for normality, homoscedasticity and serial independence of regression residualsCarlos M. Jarque, Anil K. Bera — 1980
• Reduced rank models for multiple time seriesRaja P. Velu, Gregory C. Reinsel, Dean W. Wichern — 1986
• A NOTE ON NON‐STATIONARITY AND CANONICAL ANALYSIS OF MULTIPLE TIME SERIES MODELSRaja P. Velu, Dean W. Wichern, Gregory C. Reinsel — 1987
• Some properties of time series data and their use in econometric model specificationClive W. J. Granger — 1981
• Asymptotic Properties of Residual Based Tests for CointegrationP. C. B. Phillips, Sam Ouliaris — 1990
• Co-integration and error correction: representation, estimation and testingRobert F. Engle, C. W. J. Granger — 1987

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• Integration of International Office Markets and Signal ExtractionChris Brooks, Sotiris Tsolacos — 2008
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