Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends

Keywords

Cointegration, Mathematics, Statistics, Econometrics, Inference

References

• Reflections on econometric methodologyPeter C.B. Phillips — 1988
• A Functional Central Limit Theorem for Weakly Dependent Sequences of Random VariablesNorbert Herrndorf — 1984
• 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
• Convergence to Stochastic Integrals for Dependent Heterogeneous ProcessesBruce E. Hansen — 1992
• Statistical Inference in Instrumental Variables Regression with I(1) ProcessesPeter C.B. Phillips, Bruce E. Hansen — 1990
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive ModelsSøren Johansen — 1991
• On Consistent Estimates of the Spectrum of a Stationary Time SeriesEmanuel Parzen — 1957
• 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
• Forecasting and testing in co-integrated systemsRobert F. Engle, Byung Sam Yoo — 1987
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix EstimationDonald W. K. Andrews — 1991
• 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
• Testing for unit roots in autoregressive-moving average models of unknown orderSaïd E. Saïd, David A. Dickey — 1984
• Time series regression with a unit rootP. C. B. Phillips — 1987
• STATISTICAL ANALYSIS OF COINTEGRATION VECTORSSøren Johansen — 1988
• Optimal Inference in Cointegrated SystemsPeter C.B. Phillips — 1991
• Statistical Inference in Regressions with Integrated Processes: Part 1Joon‐Young Park, Peter C.B. Phillips — 1988

Cited by

• On the predictive content of the PPI on CPI inflation: the case of MexicoJosé Sidaoui, Carlos Capistrán, Daniel Chiquiar — 2010
• Residual-based tests for fractional cointegrationIngolf Dittmann — 1998
• Sustainability of Fiscal Policy: A Comparison of Contemporary Models for Asian Developing CountriesSyed Munawar Shah — 2011
• Asymptotic and finite-sample properties of a new simple estimator of cointegrating regressions under near cointegrationJulio A. Afonso Rodríguez — 2013
• Estudios en Finanzas y Contabilidad: España y América Latina. Estado del arte y las nuevas metodologías aplicadasMaría Ramos, Marta Miranda García — 2013
• The Economics of Construction Price Inflation in the UK: Measurement, Output and ProductivityKW Yu — 2014
• Residuals-based Tests for Cointegration: An Analytical ComparisonElena Pesavento — 2002
• Purchasing power parity and uncovered interest parity: another look using stable law econometricsChun-Hsuan Wang — 2000
• Der Einfluss des Erdölpreises auf die EnergiesteuerprognoseJens Boysen‐Hogrefe — 2013
• Car ownership and use in Britain: a comparison of the empirical results of alternative cointegration estimation methods and forecastsPeter Romilly, Haiyan Song, Xiaming Liu — 2001
• Supply response of natural rubber production in ThailandKittikorn Soontaranurak — 2011
• Saving Behavior in Low- and Middle-Income Developing Countries: A ComparisonMasao Ogaki, Jonathan D. Ostry, Carmen Reinhart — 1996
• FRACTIONAL COINTEGRATING REGRESSION IN THE PRESENCE OF LINEAR TIME TRENDSFrancesc Mármol, Uwe Hassler — 2000
• Testing for Linear Cointegration Against Smooth-Transition CointegrationDao Li, Changli He — 2012
• Estimation and inference in inventory models with integrated technology shocksMehmet Balcılar, Robert J. Rossana — 2006
• Long memory and fractional cointegration with deterministic trendsF. Iacone — 2006
• A macroeconomic policy approach to poverty reductionSushanta Mallick — 2008
• Econometric Methodology Ii : Strengthening Time Series AnalysisRob F. Townsend, Townsend, Rob F. — 1998
• Residual‐Based Tests For Fractional Cointegration: A Monte Carlo StudyIngolf Dittmann — 2000
• NOMINAL AND REAL EXCHANGE RATES AND PURCHASING POWER PARITY DURING THE GUATEMALAN FLOAT, 1897-1922Thomas E. Schweigert — 2002

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