Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks in Vector Autoregressions

Statistical analysis of cointegration vectors

1988 • 16,501 citations

MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY

1990 • 14,144 citations

Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

1991 • 11,052 citations

A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics¹

1992 • 2,686 citations

Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots

1991 • 1,327 citations

Five alternative methods of estimating long-run equilibrium relationships

1994 • 1,139 citations

DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND

1992 • 1,019 citations

NBER Macroeconomics Annual 1990

1992 • 735 citations

Common Stochastic Trends in a System of Exchange Rates

1989 • 595 citations

Integration Versus Trend Stationary in Time Series

1992 • 521 citations

VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING

1992 • 451 citations

Vector autoregression and causality: a theoretical overview and simulation study

1994 • 383 citations

Estimation for Partially Nonstationary Multivariate Autoregressive Models

1990 • 279 citations

Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks in Vector Autoregressions

1995 • 182 citations

Empirical analysis of macroeconomic time series

1991 • 172 citations

Finite Sample Properties of Likelihood Ratio Tests for Cointegrating Ranks when Linear Trends are Present

1994 • 159 citations

Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models

1994 • 149 citations

Cointegration in a macroeconomic system

1990 • 81 citations

NBER Macroeconomics Annual 1991

1991 • 72 citations

Testing for Cointegration in Linear Quadratic Models

1994 • 49 citations

Testing misspecified cointegrating relationships

1998 • 43 citations

Inference in Cointegrated Models Using VAR Prewhitening to Estimate Shortrun Dynamics

1991 • 39 citations

Small sample properties of tests of linear restrictions on cointegrating vectors and their weights

1992 • 29 citations

Unidentified Components in Reduced Rank Regression Estimation of ECM's

1991 • 9 citations