Multiple Regression with Integrated Time Series

References

• Permanent and Transitory Components in Macroeconomic FluctuationsJohn Y. Campbell, N. Gregory Mankiw — 1987
• Cointegration and Tests of Present Value ModelsJohn Y. Campbell, Robert J. Shiller — 1987

Cited by

• An application of recently developed time series analysis to black market real exchange rates in the Pacific Basin countriesYiannis Kassimatis — 1994
• Statistical analysis of foreign exchange rates: application of cointegration model and regime-switching stochastic volatility modelKoji Kondo — 1997
• Model pętli inflacyjnej w gospodarce polskiej - analiza kointegracyjnaAleksander Welfe, Michał Majsterek, Waldemar Florczak — 1994
• Nonstationary Time Series and Cointegration: Recent Books and Themes for the FuturePeter C.B. Phillips — 1994
• The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical StudyHiro Y. Toda, Peter C.B. Phillips — 1991
• Regressions for Partially Identified, Cointegrated Simultaneous EquationsIn Choi, Peter C.B. Phillips — 1997
• Modelling interest rates with a cointegrated VAR-GARCH modelLuc Bauwens, Dominique Deprins, Jean-Pierre Vandeuren — 1997
• MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEYSøren Johansen, Katarina Jusélius — 2009
• Multiple Structural Breaks and Unit Root Hypothesis: Evidence from India's Service SectorPurba Roy Choudhury, Biswajit Chatterjee — 2014
• Impulse response and forecast error variance asymptotics in nonstationary VARsPeter C.B. Phillips — 1998
• Spurious regressions and residual-based tests for cointegration when regressors are cointegratedIn Choi — 1994
• Testing for a unit root by frequency domain regressionIn Choi, Peter C.B. Phillips — 1993
• Testing Causality in an Autoregression with Cointegrated RegressorsIn Choi — 1992
• Testing for a unit root in time series using instrumental variable estimators with pretest data based model selectionAlastair R. Hall — 1992
• Asymptotic inference for semimartingale models with singular parameter pointsHarald Luschgy — 1994
• Durbin-Hausman tests for cointegrationIn Choi — 1994
• A Primer on Unit Root TestingPeter C.B. Phillips, Zhijie Xiao — 1998
• Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root HypothesisEric Zivot, Donald W. K. Andrews — 1992
• Asymptotic minimax results for stochastic process families with critical pointsPriscilla E. Greenwood, Wolfgang Wefelmeyer — 1993
• The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated ModelPierre Perrón — 1989

Related papers

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