STATISTICAL ANALYSIS OF COINTEGRATION VECTORS
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- Type
- article
- Published
- 1988-06-01
- Cited by
- 17,497
- References
- 16
- OpenAlex
- https://openalex.org/W2153562738
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:121980821
Keywords
Cointegration, Autoregressive model, Unit root, Econometrics, Estimator
References
- Distribution of the Estimators for Autoregressive Time Series with a Unit Root
- Multiple Time Series Regression with Integrated Processes
- Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
- Testing for Common Trends
- An Introduction to Multivariate Statistical Analysis
- Distribution of Eigenvalues in Multivariate Statistical Analysis
- Reduced rank models for multiple time series
- Asymptotic Properties of Residual Based Tests for Cointegration
- Co-integration and error correction: representation, estimation and testing
- The theory of least squares when the parameters are stochastic and its application to the analysis of growth curves.
- Statistical Inference in Regressions with Integrated Processes: Part 1
- Linear Statistical Inference and Its Applications.
- Statistical Inference in Regressions with Integrated Processes: Part 2
- Statistical Inference in Regressions with Integrated Processes: Part 1
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- Asymptotic Properties of Residual Based Tests for Cointegration
- An Introduction to Multivariate Statistical Analysis.
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Multiple Regression with Integrated Time Series
- The Mathematical Structure of Error Correction Models.
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