Research graph
References from System estimators of cointegrating matrix in absence of normalising information. Local targets link to admitted publications; unresolved targets remain external evidence.
Estimation for partially nonstationary multivariate autoregressive models
10.2307/2290020 · 1990 · External reference
Heteroskedasticity and autocorrelation consistent covariance matrix estimation
10.2307/2938229 · 1991 · External reference
An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator
10.2307/2951574 · 1992 · External reference
Alternative methods for estimating long-run responses with applications to Australia import demand
10.1080/07474939408800283 · 1994 · External reference
Comparison of Box Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models
10.1016/0304-4076(94)90055-8 · 1994 · External reference
Common nonstationary components of asset prices
10.1016/0165-1889(88)90045-0 · 1988 · External reference
A canonical analysis of multiple time series
10.1093/biomet/64.2.355 · 1977 · External reference
Unresolved reference
1981 · External reference
Unresolved reference
1960 · External reference
Comparison of five alternative methods of estimating long-run equilibrium relationships
10.1016/0304-4076(94)90044-2 · 1994 · External reference
Investigation of production, sales and inventory relationships using multicointegration and non-symmetric error correction models
10.1002/jae.3950040508 · 1989 · External reference
Multicointegration
1990 · External reference
Convergence to stochastic integrals for dependent heterogeneous processes
10.1017/s0266466600013189 · 1992 · External reference
Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
10.1016/0304-4076(92)90081-2 · 1992 · External reference
Consistent covariance matrix estimation for dependent heterogeneous processes
10.2307/2951575 · 1992 · External reference
Unresolved reference
1994 · External reference
Relations between two sets of variates
10.1093/biomet/28.3-4.321 · 1936 · External reference
Statistical analysis of cointegration vectors
10.1016/0165-1889(88)90041-3 · 1988 · External reference
Estimation, and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models
10.2307/2938278 · 1991 · External reference
Unresolved reference
1992 · External reference
Unresolved reference
1996 · External reference
Identification of the long-run and the short-run structure an application to the ISLM model
10.1016/0304-4076(93)01559-5 · 1994 · External reference
A simple positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix
10.2307/1913610 · 1987 · External reference
Canonical cointegrating regressions
10.2307/2951679 · 1992 · External reference
Statistical inference in regressions with integrated processes: Part 1
10.1017/s0266466600013402 · 1988 · External reference
Time series regression with a unit root
10.2307/1913237 · 1987 · External reference
Weak convergence of sample covariance matrices to stochastic integrals via martingale approximations
10.1017/s026646660001344x · 1988 · External reference
Optimal inference in cointegrated systems
10.2307/2938258 · 1991 · External reference
Multiple time series regression with integrated process
10.2307/2297602 · 1986 · External reference
Statistical inference in instrumental variables regression with I(1) processes
10.2307/2297545 · 1990 · External reference
Asymptotic properties of residual based tests for cointegration
10.2307/2938339 · 1990 · External reference
Asymptotics for linear processes
10.1214/aos/1176348666 · 1992 · External reference
Linear Statistical Inference and Its Applications
1973 · External reference
Asymptotically efficient estimation of cointegration regressions
10.1017/s0266466600004217 · 1991 · External reference
Estimation and testing of cointegrated systems by an autoregressive approximation
10.1017/s0266466600010720 · 1992 · External reference
A residual-based test of the null of cointegration against the alternative of no cointegration
10.1017/s0266466600008240 · 1994 · External reference
Testing common trends
10.2307/2290142 · 1988 · External reference
A simple estimator of cointegrating vectors in higher order integrated systems
10.2307/2951763 · 1993 · External reference
Asymptotic normality, when regressors have a unit root
10.2307/1913104 · 1986 · External reference
Canonical Correlation Analysis of Cointegrated Processes
1994 · External reference
