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• Uwe Hassler

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Article provided by Springer in its journal Allgemeines Statistisches Archiv.

Volume (Year): 90 (2006)
Issue (Month): 1 (March)
Pages: 59-74
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Handle: RePEc:spr:alstar:v:90:y:2006:i:1:p:59-74

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Related research

Keywords: Error-correction; asymptotically normal inference; cointegration testing. JEL C22; C32;

References listed on IDEAS
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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. Phillips, P C B & Durlauf, S N, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Blackwell Publishing, vol. 53(4), pages 473-95, August. [Downloadable!] (restricted)
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   • Peter C.B. Phillips & Steven N. Durlauf, 1985. "Multiple Time Series Regression with Integrated Processes," Cowles Foundation Discussion Papers 768, Cowles Foundation, Yale University. [Downloadable!]
3. Peter Boswijk, H., 1994. "Testing for an unstable root in conditional and structural error correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 37-60, July. [Downloadable!] (restricted)
4. Uwe Hassler, 1999. "(When) Should cointegrating regressions be detrended? The case of a German money demand function," Empirical Economics, Springer, vol. 24(1), pages 155-172. [Downloadable!] (restricted)
5. Hylleberg, Svend & Mizon, Grayham E, 1989. "Cointegration and Error Correction Mechanisms," Economic Journal, Royal Economic Society, vol. 99(395), pages 113-25, Supplemen. [Downloadable!] (restricted)
   Other versions:
   • Hylleberg, S. & Mizon, G.E., 1988. "Cointegration And Error Correction Mechanisms," Economics Working Papers 1988-7, School of Economics and Management, University of Aarhus.
6. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326. [Downloadable!]
7. Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-77, August.
8. 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)
9. Helmut Lütkepohl, 2006. "Structural vector autoregressive analysis for cointegrated variables," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 75-88, March. [Downloadable!] (restricted)
   Other versions:
   • Helmut Luetkepohl, 2005. "Structural Vector Autoregressive Analysis for Cointegrated Variables," Economics Working Papers ECO2005/02, European University Institute. [Downloadable!]
10. Neil Ericsson, 2004. "The ET interview: professor David F. Hendry," International Finance Discussion Papers 811, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
11. Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-92, December. [Downloadable!] (restricted)
12. Alogoskoufis, George & Smith, Ron, 1991. " On Error Correction Models: Specification, Interpretation, Estimation," Journal of Economic Surveys, Blackwell Publishing, vol. 5(1), pages 97-128.

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