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Statistical Inference in Regressions with Integrated Processes: Part 1

Citations

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Cited by:

  1. Martin Wagner, 2010. "Cointegration analysis with state space models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 94(3), pages 273-305, September.
  2. Jiti Gao & Peter C.B. Phillips, 2011. "Semiparametric Estimation in Multivariate Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 17/11, Monash University, Department of Econometrics and Business Statistics.
  3. Hsiao, Cheng & Fujiki, Hiroshi, 1998. "Nonstationary Time-Series Modeling versus Structural Equation Modeling: With an Application to Japanese Money Demand," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 16(1), pages 57-79, May.
  4. repec:zbw:bofrdp:2013_026 is not listed on IDEAS
  5. Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A New Modelling Test: The Univariate MT-STAR Model," Documents de travail du Centre d'Economie de la Sorbonne 11083r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Aug 2013.
  6. Francesc Marmol & Juan J. Dolado, 1999. "Asymptotic Inference for Nonstationary Fractionally Integrated Processes," Computing in Economics and Finance 1999 513, Society for Computational Economics.
  7. Arize, Augustine C. & Malindretos, John & Ghosh, Dilip, 2015. "Purchasing power parity-symmetry and proportionality: Evidence from 116 countries," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 69-85.
  8. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
  9. Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2005. "Dynamic Seemingly Unrelated Cointegrating Regressions," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 797-820.
  10. Li, Degui & Phillips, Peter C.B. & Gao, Jiti, 2020. "Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression," Journal of Econometrics, Elsevier, vol. 215(2), pages 607-632.
  11. Peter C.B. Phillips & Sam Ouliaris & Joon Y. Park, 1988. "Testing for a Unit Root in the Presence of a Maintained Trend," Cowles Foundation Discussion Papers 880, Cowles Foundation for Research in Economics, Yale University.
  12. Jiti Gao & Peter C.B. Phillips, 2013. "Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration," Monash Econometrics and Business Statistics Working Papers 16/13, Monash University, Department of Econometrics and Business Statistics.
  13. Marcelo C. Medeiros & Eduardo Mendes & Les Oxley, 2014. "A Note on Nonlinear Cointegration, Misspecification, and Bimodality," Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 713-731, October.
  14. Phillips, Peter C.B. & Wang, Ying, 2022. "Functional coefficient panel modeling with communal smoothing covariates," Journal of Econometrics, Elsevier, vol. 227(2), pages 371-407.
  15. Cho, Sinsup & Park, Young J. & Ahn, Sung K., 1995. "Unit root tests for seasonal models with deterministic trends," Statistics & Probability Letters, Elsevier, vol. 25(1), pages 27-35, October.
  16. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," NBER Technical Working Papers 0298, National Bureau of Economic Research, Inc.
  17. Phillips, Peter C B, 1995. "Fully Modified Least Squares and Vector Autoregression," Econometrica, Econometric Society, vol. 63(5), pages 1023-1078, September.
  18. Phillips, Peter C.B. & Leirvik, Thomas & Storelvmo, Trude, 2020. "Econometric estimates of Earth’s transient climate sensitivity," Journal of Econometrics, Elsevier, vol. 214(1), pages 6-32.
  19. Entorf, Horst, 1997. "Random walks with drifts: Nonsense regression and spurious fixed-effect estimation," Journal of Econometrics, Elsevier, vol. 80(2), pages 287-296, October.
  20. Fakhri J. Hasanov & Lester C. Hunt & Ceyhun I. Mikayilov, 2016. "Modeling and Forecasting Electricity Demand in Azerbaijan Using Cointegration Techniques," Energies, MDPI, vol. 9(12), pages 1-31, December.
  21. Phillips, Peter C.B. & Ploberger, Werner, 1994. "Posterior Odds Testing for a Unit Root with Data-Based Model Selection," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 774-808, August.
  22. Bentivoglio, D. & Bucci, G. & Finco, A., 2018. "Factor affecting the palm oil boom in Indonesia: a time series analysis," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277129, International Association of Agricultural Economists.
  23. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  24. Wagner, Martin & Grabarczyk, Peter & Hong, Seung Hyun, 2020. "Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions," Journal of Econometrics, Elsevier, vol. 214(1), pages 216-255.
  25. Pierre Perron & Gabriel Rodriguez, 2012. "Residual test for cointegration with GLS detrended data," Documentos de Trabajo / Working Papers 2012-327, Departamento de Economía - Pontificia Universidad Católica del Perú.
  26. Chambers, Marcus J., 2020. "Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data," Journal of Econometrics, Elsevier, vol. 217(1), pages 140-160.
  27. Abdur Chowdhury, 2001. "The Impact of Financial Reform on Private Savings in Bangladesh," WIDER Working Paper Series DP2001-78, World Institute for Development Economic Research (UNU-WIDER).
  28. Pierre Perron & Gabriel Rodríguez, "undated". "Residuals-based Tests for Cointegration with GLS Detrended Data," Boston University - Department of Economics - Working Papers Series wp2015-017, Boston University - Department of Economics, revised 19 Oct 2015.
  29. Phillips, Peter C. B. & McFarland, James W., 1997. "Forward exchange market unbiasedness: the case of the Australian dollar since 1984," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 885-907, December.
  30. Beare, Brendan K. & Seo, Won-Ki, 2020. "Representation Of I(1) And I(2) Autoregressive Hilbertian Processes," Econometric Theory, Cambridge University Press, vol. 36(5), pages 773-802, October.
  31. Galvao Jr., Antonio F., 2009. "Unit root quantile autoregression testing using covariates," Journal of Econometrics, Elsevier, vol. 152(2), pages 165-178, October.
  32. Hyungsik Roger Moon & Peter C. B. Phillips, 2004. "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Econometrica, Econometric Society, vol. 72(2), pages 467-522, March.
  33. Joakim Westerlund, 2005. "A Panel CUSUM Test of the Null of Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(2), pages 231-262, April.
  34. Aparicio, Felipe M. & Escribano, Álvaro & Mármol, Francesc, 1999. "A new instrumental variable approach for estimation and testing in fractional cointegrating regressions," DES - Working Papers. Statistics and Econometrics. WS 6298, Universidad Carlos III de Madrid. Departamento de Estadística.
  35. Panicos O. Demetriades & Bassam Fattouh, 2006. "Excess Credit and the South Korean Crisis," WIDER Working Paper Series RP2006-84, World Institute for Development Economic Research (UNU-WIDER).
  36. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
  37. Arai, Yoichi, 2016. "Testing For Linearity In Regressions With I(1) Processes," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 57(1), pages 111-138, June.
  38. Gomez, Nicolas & Guerrero, Victor M., 2006. "Restricted forecasting with VAR models: An analysis of a test for joint compatibility between restrictions and forecasts," International Journal of Forecasting, Elsevier, vol. 22(4), pages 751-770.
  39. Bhatti, Razzaque H., 2014. "The existence of uncovered interest parity in the CIS countries," Economic Modelling, Elsevier, vol. 40(C), pages 227-241.
  40. Pantelidis, Theologos & Pittis, Nikitas, 2004. "Testing for Granger causality in variance in the presence of causality in mean," Economics Letters, Elsevier, vol. 85(2), pages 201-207, November.
  41. Giovanni Urga & Lorenzo Trapani, 2004. "Cointegration versus Spurious Regression in Heterogeneous Panels," Econometric Society 2004 North American Summer Meetings 266, Econometric Society.
  42. Utku Utkulu & Durmus Özdemir, 2005. "Does Trade Liberalization Cause a Long Run Economic Growth in Turkey," Economic Change and Restructuring, Springer, vol. 37(3), pages 245-266, September.
  43. Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328.
  44. Swarna Dutt & Dipak Ghosh, 1994. "An empirical investigation of the export growth-economic growth relationship," Applied Economics Letters, Taylor & Francis Journals, vol. 1(3), pages 44-48.
  45. Joakim Westerlund, 2007. "Testing for Error Correction in Panel Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(6), pages 709-748, December.
  46. Phillips, Peter C B, 1988. "Regression Theory for Near-Integrated Time Series," Econometrica, Econometric Society, vol. 56(5), pages 1021-1043, September.
  47. Lawford, Steve & Stamatogiannis, Michalis P., 2009. "The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators," Journal of Econometrics, Elsevier, vol. 148(2), pages 124-130, February.
  48. Eiji Kurozumi & Yoichi Arai, 2007. "Efficient estimation and inference in cointegrating regressions with structural change," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 545-575, July.
  49. Peter C.B. Phillips & Sam Ouliaris, 1986. "Testing for Cointegration Using Principal Component Measures," Cowles Foundation Discussion Papers 809R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1987.
  50. Christou, Christina & Gupta, Rangan & Nyakabawo, Wendy & Wohar, Mark E., 2018. "Do house prices hedge inflation in the US? A quantile cointegration approach," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 15-26.
  51. Bernard, André Warren, Paul Yan, Beiling, 2005. "Integration and Co-integration: Do Canada-U.S. Manufacturing Prices Obey the Law of One Price?," Economic Analysis (EA) Research Paper Series 2005029e, Statistics Canada, Analytical Studies Branch.
  52. Andrews, Donald W.K. & Cheng, Xu, 2014. "Gmm Estimation And Uniform Subvector Inference With Possible Identification Failure," Econometric Theory, Cambridge University Press, vol. 30(2), pages 287-333, April.
  53. Gengenbach, C. & Urbain, J.R.Y.J. & Westerlund, J., 2008. "Panel error correction testing with global stochastic trends," Research Memorandum 051, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  54. Minxian, Yang, 1998. "System estimators of cointegrating matrix in absence of normalising information," Journal of Econometrics, Elsevier, vol. 85(2), pages 317-337, August.
  55. Peter C.B. Phillips & In Choi, 1989. "Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains," Cowles Foundation Discussion Papers CFP 899, Cowles Foundation for Research in Economics, Yale University.
  56. Wagner, Martin, 2023. "Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions," Economics Letters, Elsevier, vol. 228(C).
  57. Phillips, P.C.B., 1990. "Time Series Regression With a Unit Root and Infinite-Variance Errors," Econometric Theory, Cambridge University Press, vol. 6(1), pages 44-62, March.
  58. Park, Joon Y & Phillips, Peter C B, 2001. "Nonlinear Regressions with Integrated Time Series," Econometrica, Econometric Society, vol. 69(1), pages 117-161, January.
  59. Yerima Ngama, 1994. "A re-examination of the forward exchange rate unbiasedness hypothesis," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 130(3), pages 447-460, September.
  60. Uwe Hassler & Mehdi Hosseinkouchack, 2016. "Panel Cointegration Testing in the Presence of Linear Time Trends," Econometrics, MDPI, vol. 4(4), pages 1-16, November.
  61. Peter Phillips & Hyungsik Moon, 2000. "Nonstationary panel data analysis: an overview of some recent developments," Econometric Reviews, Taylor & Francis Journals, vol. 19(3), pages 263-286.
  62. Chen, Li & Gao, Jiti & Vahid, Farshid, 2022. "Global temperatures and greenhouse gases: A common features approach," Journal of Econometrics, Elsevier, vol. 230(2), pages 240-254.
  63. K. Maekawa & J. L. Knight & H. Hisamatsu, 1998. "Finite sample comparisons of the distributions of the ols and gls estimators in regression with an integrated regsorad correlated errors," Econometric Reviews, Taylor & Francis Journals, vol. 17(4), pages 387-413.
  64. Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu, 2014. "X-Differencing And Dynamic Panel Model Estimation," Econometric Theory, Cambridge University Press, vol. 30(1), pages 201-251, February.
  65. Hisamatsu, H. & Knight, J.L. & Maekawa, K., 1995. "The exact distribution of the OLS and GLS estimators in regression with an integrated regressor and correlated errors — comparison of numerical and Monte Carlo integration," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 39(3), pages 273-277.
  66. Fan, Yanqin & Gençay, Ramazan, 2010. "Unit Root Tests With Wavelets," Econometric Theory, Cambridge University Press, vol. 26(5), pages 1305-1331, October.
  67. Peter C. B. Phillips, 2003. "Laws and Limits of Econometrics," Economic Journal, Royal Economic Society, vol. 113(486), pages 26-52, March.
  68. Hess, Gregory D. & Iwata, Shigeru, 1997. "Asymmetric persistence in GDP? A deeper look at depth," Journal of Monetary Economics, Elsevier, vol. 40(3), pages 535-554, December.
  69. Peter C. B. Phillips & Xiaohu Wang & Yonghui Zhang, 2019. "HAR Testing for Spurious Regression in Trend," Econometrics, MDPI, vol. 7(4), pages 1-28, December.
  70. Yang, Minxian & Bewley, Ronald, 1996. "On cointegration tests for VAR models with drift," Economics Letters, Elsevier, vol. 51(1), pages 45-50, April.
  71. Moon, H.R. & Perron, P., 2000. "The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity," Cahiers de recherche 2000-03, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  72. Xiao, Zhijie & Phillips, Peter C. B., 2002. "A CUSUM test for cointegration using regression residuals," Journal of Econometrics, Elsevier, vol. 108(1), pages 43-61, May.
  73. Li, Qiaoling & Pan, Jiazhu & Yao, Qiwei, 2009. "On determination of cointegration ranks," LSE Research Online Documents on Economics 24106, London School of Economics and Political Science, LSE Library.
  74. Marmol, Francesc, 1996. "Correlation theory of spuriously related higher order integrated processes," Economics Letters, Elsevier, vol. 50(2), pages 169-173, February.
  75. Jan Mutl & Leopold Sögner, 2019. "Parameter estimation and inference with spatial lags and cointegration," Econometric Reviews, Taylor & Francis Journals, vol. 38(6), pages 597-635, July.
  76. Peter C.B. Phillips & Igor Kheifets, 2021. "On Multicointegration," Cowles Foundation Discussion Papers 2306, Cowles Foundation for Research in Economics, Yale University.
  77. Demetriades, Panicos O. & P. Devereux, Michael & Luintel, Kul B., 1998. "Productivity and financial sector policies: Evidence from South East Asia," Journal of Economic Behavior & Organization, Elsevier, vol. 35(1), pages 61-82, March.
  78. Neto, David, 2012. "Testing and estimating time-varying elasticities of Swiss gasoline demand," Energy Economics, Elsevier, vol. 34(6), pages 1755-1762.
  79. James Davidson, 2013. "Cointegration and error correction," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 7, pages 165-188, Edward Elgar Publishing.
  80. E.Panopoulou, 2005. "A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators," Economics Department Working Paper Series n1500205, Department of Economics, National University of Ireland - Maynooth.
  81. Swarna Dutt & Dipak Ghosh, 1995. "Purchasing power parity doctrine: weak and strong form tests," Applied Economics Letters, Taylor & Francis Journals, vol. 2(9), pages 316-320.
  82. Dong Wan Shin & Oesook Lee, 2004. "M‐Estimation for regressions with integrated regressors and arma errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(2), pages 283-299, March.
  83. Elliott, Graham & Stock, James H., 1994. "Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 672-700, August.
  84. Peter C. B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Econometrica, Econometric Society, vol. 67(5), pages 1057-1112, September.
  85. David Neto, 2015. "Testing for and dating structural break in smooth time-varying cointegration parameters, with an application to retail gasoline price and crude oil price long-run relationship," Empirical Economics, Springer, vol. 49(3), pages 909-928, November.
  86. Liang, Hanying & Phillips, Peter C.B. & Wang, Hanchao & Wang, Qiying, 2016. "Weak Convergence To Stochastic Integrals For Econometric Applications," Econometric Theory, Cambridge University Press, vol. 32(6), pages 1349-1375, December.
  87. Lutz Kilian & Xiaoqing Zhou, 2022. "Oil prices, gasoline prices, and inflation expectations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 867-881, August.
  88. Lee, Dongin & Schmidt, Peter, 1996. "On the power of the KPSS test of stationarity against fractionally-integrated alternatives," Journal of Econometrics, Elsevier, vol. 73(1), pages 285-302, July.
  89. Helmut Lütkepohl, 2013. "Vector autoregressive models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164, Edward Elgar Publishing.
  90. Haldrup, Niels & Hylleberg, Svend, 1995. "A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence," Economics Letters, Elsevier, vol. 48(3-4), pages 221-228, June.
  91. Balcombe, Kelvin, 1996. "The Carlson-Parkin method applied to NZ price expectations using QSBO survey data," Economics Letters, Elsevier, vol. 51(1), pages 51-57, April.
  92. Phillips, Peter C.B. & Moon, Hyungsik Roger & Xiao, Zhijie, 2001. "How To Estimate Autoregressive Roots Near Unity," Econometric Theory, Cambridge University Press, vol. 17(1), pages 29-69, February.
  93. Hiroaki Chigira & Taku Yamamoto, 2009. "Forecasting in large cointegrated processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 631-650.
  94. Peter C.B. Phillips, 1994. "Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future," Cowles Foundation Discussion Papers 1081, Cowles Foundation for Research in Economics, Yale University.
  95. Lütkepohl, Helmut, 1999. "Vector autoregressions," SFB 373 Discussion Papers 1999,4, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  96. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Business School, revised Sep 2013.
  97. Hassler, Uwe & Marmol, Francesc, 1998. "Fractional cointegrating regressions in the presence of linear time trends," DES - Working Papers. Statistics and Econometrics. WS 9794, Universidad Carlos III de Madrid. Departamento de Estadística.
  98. Phillips, P.C.B., 1988. "Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations," Econometric Theory, Cambridge University Press, vol. 4(3), pages 528-533, December.
  99. Ftiti, Zied & Hadhri, Sinda, 2019. "Can economic policy uncertainty, oil prices, and investor sentiment predict Islamic stock returns? A multi-scale perspective," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 40-55.
  100. Valkanov, Rossen, 1999. "The Term Structure with Highly Persistent Interest Rates," University of California at Los Angeles, Anderson Graduate School of Management qt8x91m4hg, Anderson Graduate School of Management, UCLA.
  101. Jesús Gonzalo & Jean-Yves Pitarakis, 2011. "Regime-Specific Predictability in Predictive Regressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 229-241, June.
  102. Peter C. B. Phillips, 2020. "Dynamic Panel Modeling of Climate Change," Econometrics, MDPI, vol. 8(3), pages 1-28, July.
  103. BENSALMA, Ahmed, 2021. "Fractional Dickey-Fuller test with or without prehistorical influence," MPRA Paper 107408, University Library of Munich, Germany.
  104. Phillips, Peter C.B. & Li, Degui & Gao, Jiti, 2017. "Estimating smooth structural change in cointegration models," Journal of Econometrics, Elsevier, vol. 196(1), pages 180-195.
  105. P.C.B. Phillips, 1988. "Reflections on Econometric Methodology," The Economic Record, The Economic Society of Australia, vol. 64(4), pages 344-359, December.
  106. Peter C. B. Phillips, 2022. "Asymptotics of Polynomial Time Trend Estimation and Hypothesis Testing under Rank Deficiency," Cowles Foundation Discussion Papers 2332, Cowles Foundation for Research in Economics, Yale University.
  107. Markku Lanne, 2000. "Near unit roots, cointegration, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 513-529.
  108. Yoon, Jong Cheol & Min, Dai Hong & Jei, Sang Young, 2019. "Empirical test of purchasing power parity using a time-varying cointegration model for China and the UK," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 41-47.
  109. Addo, Peter Martey & Billio, Monica & Guégan, Dominique, 2014. "The univariate MT-STAR model and a new linearity and unit root test procedure," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 4-19.
  110. Bagnai, Alberto & Carlucci, Francesco, 2003. "An aggregate model for the European Union," Economic Modelling, Elsevier, vol. 20(3), pages 623-649, May.
  111. David Neto, 2023. "Penalized leads-and-lags cointegrating regression: a simulation study and two empirical applications," Empirical Economics, Springer, vol. 65(2), pages 949-971, August.
  112. Dolado, Juan José & Mármol, Francesc, 1998. "FM-OLS estimation of cointegrating relationships among nonstationary fractionally integrated processes," DES - Working Papers. Statistics and Econometrics. WS 4672, Universidad Carlos III de Madrid. Departamento de Estadística.
  113. Thomas Leirvik & Peter C.B. Phillips & Trude Storelvmo, 2017. "Econometric Measurement of Earth's Transient Climate Sensitivity," Cowles Foundation Discussion Papers 2083, Cowles Foundation for Research in Economics, Yale University.
  114. Werner Ploberger & Peter C.B. Phillips, 1998. "Rissanen's Theorem and Econometric Time Series," Cowles Foundation Discussion Papers 1197, Cowles Foundation for Research in Economics, Yale University.
  115. Franses, Philip Hans & Kloek, Teun & Lucas, Andre, 1998. "Outlier robust analysis of long-run marketing effects for weekly scanning data," Journal of Econometrics, Elsevier, vol. 89(1-2), pages 293-315, November.
  116. Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A test for a new modelling : The Univariate MT-STAR Model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00659158, HAL.
  117. P. W. Fong & W. K. Li, 2004. "Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(3), pages 419-441, May.
  118. Ewa M. Syczewska, "undated". "Stability of Long-Run Relationships for Countries in Transition: A Hansen Test Study," Ace Project Memoranda 96/4, Department of Economics, University of Leicester.
  119. Phillips, Peter C.B., 1995. "Robust Nonstationary Regression," Econometric Theory, Cambridge University Press, vol. 11(5), pages 912-951, October.
  120. White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
  121. Rickard Sandberg, 2015. "M-estimator based unit root tests in the ESTAR framework," Statistical Papers, Springer, vol. 56(4), pages 1115-1135, November.
  122. Uwe Hassler, 2000. "Cointegration Testing in Single Error‐Correction Equations in the Presence of Linear Time Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(5), pages 621-632, December.
  123. Phillips, Peter C. B., 1998. "Impulse response and forecast error variance asymptotics in nonstationary VARs," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 21-56.
  124. Pentti Saikkonen & Rickard Sandberg, 2016. "Testing for a Unit Root in Noncausal Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(1), pages 99-125, January.
  125. Peter C.B. Phillips & Werner Ploberger, 1992. "Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics," Cowles Foundation Discussion Papers 1038, Cowles Foundation for Research in Economics, Yale University.
  126. Götz, L. & Djuric, I. & Glauben, T., 2015. "Price Damping and Price Insulating Effects of Wheat Export Restrictions in Kazakhstan, Russia and Ukraine," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 50, March.
  127. Javier Fernandez-Macho, 2013. "A wavelet approach to multiple cointegration testing," Economics Series Working Papers 668, University of Oxford, Department of Economics.
  128. Bewley, Ronald & Fiebig, Denzil G., 1992. "Estimation of long-run responses in dynamic models with integrated data," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 33(5), pages 539-544.
  129. Renato Flôres & Pierre-Yves Preumont & Ariane Szafarz, 1995. "Multivariate unit root tests," Working Papers CEB 95-001.RS, ULB -- Universite Libre de Bruxelles.
  130. Harris, David & McCabe, Brendan & Leybourne, Stephen, 2002. "Stochastic cointegration: estimation and inference," Journal of Econometrics, Elsevier, vol. 111(2), pages 363-384, December.
  131. Baek, Yae In & Cho, Jin Seo & Phillips, Peter C.B., 2015. "Testing linearity using power transforms of regressors," Journal of Econometrics, Elsevier, vol. 187(1), pages 376-384.
  132. Ye Cai & Mototsugu Shintani, 2005. "On the Long-Run Variance Ratio Test for a Unit Root," Vanderbilt University Department of Economics Working Papers 0506, Vanderbilt University Department of Economics.
  133. Jiti Gao & Peter C.B. Phillips, 2013. "Functional Coefficient Nonstationary Regression," Cowles Foundation Discussion Papers 1911, Cowles Foundation for Research in Economics, Yale University.
  134. Jungjun Choi & In Choi, 2019. "Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(5), pages 1121-1142, October.
  135. Trapani, Lorenzo & Urga, Giovanni, 2010. "Micro versus macro cointegration in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 155(1), pages 1-18, March.
  136. Marina Friedrich & Luca Margaritella & Stephan Smeekes, 2023. "High-Dimensional Causality for Climatic Attribution," Papers 2302.03996, arXiv.org.
  137. Kang Hao & Inder, Brett, 1996. "Diagnostic test for structural change in cointegrated regression models," Economics Letters, Elsevier, vol. 50(2), pages 179-187, February.
  138. Arranz, Miguel A. & Escribano, Álvaro, 1998. "Detrending procedures and cointegration testing: ECM tests under structural breaks," DES - Working Papers. Statistics and Econometrics. WS 4551, Universidad Carlos III de Madrid. Departamento de Estadística.
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