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Multiple Time Series Regression with Integrated Processes

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Author Info
Phillips, P C B
Durlauf, S N

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Article provided by Blackwell Publishing in its journal Review of Economic Studies.

Volume (Year): 53 (1986)
Issue (Month): 4 (August)
Pages: 473-95
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Handle: RePEc:bla:restud:v:53:y:1986:i:4:p:473-95

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June. [Downloadable!] (restricted)
  2. Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 971-87, December. [Downloadable!] (restricted)
  3. Robert B. Litterman, 1984. "Forecasting with Bayesian vector autoregressions four years of experience," Staff Report 95, Federal Reserve Bank of Minneapolis. [Downloadable!]
  4. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1986. "Forecasting and conditional projection using realistic prior distribution," Staff Report 93, Federal Reserve Bank of Minneapolis. [Downloadable!]
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  5. Peter C.B. Phillips, 1985. "Asymptotic Expansions in Nonstationary Vector Autoregressions," Cowles Foundation Discussion Papers 765, Cowles Foundation, Yale University. [Downloadable!]
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  6. Stock, James H, 1987. "Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors," Econometrica, Econometric Society, vol. 55(5), pages 1035-56, September. [Downloadable!] (restricted)
  7. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December. [Downloadable!] (restricted)
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  8. Evans, G B A & Savin, N E, 1984. "Testing for Unit Roots: 2," Econometrica, Econometric Society, vol. 52(5), pages 1241-69, September. [Downloadable!] (restricted)
  9. Marsh, Terry A. & Merton, Robert C., 1984. "Dividend variability and variance bounds tests for the rationality of stock market prices," Working papers 1584-84., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
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  10. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation, Yale University, revised Feb 1986. [Downloadable!]
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  11. Peter C.B. Phillips, 1986. "Weak Convergence to the Matrix Stochastic Integral BdB," Cowles Foundation Discussion Papers 796, Cowles Foundation, Yale University. [Downloadable!]
  12. Ian Domowitz, 1985. "New Directions in Non-linear Estimation with Dependent Observations," Canadian Journal of Economics, Canadian Economics Association, vol. 18(1), pages 1-27, February. [Downloadable!] (restricted)
  13. Brillinger, David R & Hatanaka, Michio, 1969. "An Harmonic Analysis of Nonstationary Multivariate Economic Processes," Econometrica, Econometric Society, vol. 37(1), pages 131-41, January. [Downloadable!] (restricted)
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