• NEP-ALL-2002-06-13 (All new papers)
• NEP-ECM-2002-06-13 (Econometrics)
• NEP-ETS-2002-06-13 (Econometric Time Series)

1. Johansen, Soren & Schaumburg, Ernst, 1998. "Likelihood analysis of seasonal cointegration," Journal of Econometrics, Elsevier, vol. 88(2), pages 301-339, November. [Downloadable!] (restricted)
   Other versions:
   • Johansen, S. & Schaumburg, E., 1997. "Likelihood Analysis of Seasonal Cointegration," Economics Working Papers eco97/16, European University Institute.
2. Dietmar Bauer & Martin Wagner, 2000. "Estimating Cointegrated Systems Using Subspace Algorithms," Econometric Society World Congress 2000 Contributed Papers 0293, Econometric Society. [Downloadable!]
   Other versions:
   • Bauer, Dietmar & Wagner, Martin, 2002. "Estimating cointegrated systems using subspace algorithms," Journal of Econometrics, Elsevier, vol. 111(1), pages 47-84, November. [Downloadable!] (restricted)
3. Hannes Leeb & Benedikt Poetscher, 1999. "The variance of an integrated process need not diverge to infinity," Econometrics 9907001, EconWPA. [Downloadable!]
4. Aoki, Masanao & Havenner, Arthur, 1989. "A method for approximate representation of vector-valued time series and its relation to two alternatives," Journal of Econometrics, Elsevier, vol. 42(2), pages 181-199, October. [Downloadable!] (restricted)
5. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March. [Downloadable!] (restricted)
6. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July. [Downloadable!] (restricted)
   Other versions:
   • James H. Stock & Mark W. Watson, 1991. "A simple estimator of cointegrating vectors in higher order integrated systems," Working Paper Series, Macroeconomic Issues 91-3, Federal Reserve Bank of Chicago.
7. Dietmar Bauer & Martin Wagner, 2003. "On Polynomial Cointegration in the State Space Framework," Diskussionsschriften dp0313, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
8. Gregoir, Stephane & Laroque, Guy, 1994. "Polynomial cointegration estimation and test," Journal of Econometrics, Elsevier, vol. 63(1), pages 183-214, July. [Downloadable!] (restricted)
9. Granger, C W J & Lee, T H, 1989. "Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages S145-59, Supplemen. [Downloadable!] (restricted)
10. repec:cup:etheor:v:8:y:1992:i:2:p:188-202 is not listed on IDEAS
11. Dietmar Bauer & Martin Wagner, 2002. "Asymptotic Properties of Pseudo Maximum Likelihood Estimates for Multiple Frequency I(1) Processes," Diskussionsschriften dp0205, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]

Cited by:
(explanations, 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. Helmut Luetkepohl, 2004. "Forecasting with VARMA Models," Economics Working Papers ECO2004/25, European University Institute. [Downloadable!]
   Other versions:
   • Lutkepohl, Helmut, 2006. "Forecasting with VARMA Models," Handbook of Economic Forecasting, Elsevier. [Downloadable!] (restricted)
2. Paruolo Paolo, 2005. "Design of vector autoregressive processes for invariant statistics," Economics and Quantitative Methods qf0504, Department of Economics, University of Insubria. [Downloadable!]
3. Massimo Franchi, . "The Integration Order of Vector Autoregressive Processes," Discussion Papers 06-05, University of Copenhagen. Department of Economics. [Downloadable!]
   Other versions:
   • Franchi, Massimo, 2007. "The Integration Order Of Vector Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 23(03), pages 546-553, June. [Downloadable!]
4. Dietmar Bauer & Martin Wagner, 2003. "On Polynomial Cointegration in the State Space Framework," Diskussionsschriften dp0313, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
5. Bauer, Dietmar & Wagner, Martin, 2005. "Autoregressive Approximations of Multiple Frequency I(1) Processes," Economics Series 174, Institute for Advanced Studies. [Downloadable!]
   Other versions:
   • Dietmar Bauer & Martin Wagner, 2005. "Autoregressive Approximations of Multiple Frequency I(1) Processes," Economics Working Papers ECO2005/09, European University Institute. [Downloadable!]
6. Martin Wagner, 2002. "A Comparison of Johansen's, Bierens and the Subspace Algorithm Method for Cointegration Analysis," Diskussionsschriften dp0210, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
   Other versions:
   • Martin Wagner, 2004. "A Comparison of Johansen's, Bierens' and the Subspace Algorithm Method for Cointegration Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(3), pages 399-424, 07. [Downloadable!] (restricted)
7. Peter C.B. Phillips, 2004. "Automated Discovery in Econometrics," Cowles Foundation Discussion Papers 1469, Cowles Foundation, Yale University. [Downloadable!]
   Other versions:
   • Phillips, Peter C.B., 2005. "Automated Discovery In Econometrics," Econometric Theory, Cambridge University Press, vol. 21(01), pages 3-20, February. [Downloadable!]