An enlarged definition of cointegration
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References listed on IDEAS
- Stock, James H & Watson, Mark W, 1993.
"A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems,"
Econometric Society, vol. 61(4), pages 783-820, July.
- 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.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
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- Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
- Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, vol. 106(2), pages 217-241, February.
- Javier Hualde, 2012. "Estimation of the cointegrating rank in fractional cointegration," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 1205, Departamento de Economía - Universidad Pública de Navarra.
- Ghosh, Suvankar & Troutt, Marvin D. & Thornton, John H. & Felix Offodile, O., 2010. "An empirical method for assessing the research relevance gap," European Journal of Operational Research, Elsevier, vol. 201(3), pages 942-948, March.
- Lin, Yan-Xia & McCrae, Michael & M. Gulati, Chandra, 1998. "Cointegration between exchange rates: a generalized linear cointegration model," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 333-352, September.
- Benjamin Tabak, 2009. "Testing the expectations hypothesis in the Brazilian term structure of interest rates: a cointegration analysis," Applied Economics, Taylor & Francis Journals, vol. 41(21), pages 2681-2689.
- Michał Majsterek, 2012. "Cointegration Analysis in the Case of I(2) – General Overview," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 4(4), pages 215-252, December.
- Carlos P. Barros & Joao R. Faria & Luis A. Gil-Alana, 2009. "Persistence on airline accidents," Faculty Working Papers 08/09, School of Economics and Business Administration, University of Navarra.
- Man Wang & Ngai Hang Chan, 2016. "Testing for the Equality of Integration Orders of Multiple Series," Econometrics, MDPI, Open Access Journal, vol. 4(4), pages 1-10, December.
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