Testing misspecified cointegrating relationships

Co-Integration and Error Correction: Representation, Estimation, and Testing

1987 • 30,456 citations

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

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

1995 • 4,676 citations

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

1995 • 3,739 citations

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

1992 • 2,686 citations

Asymptotic Properties of Residual Based Tests for Cointegration

1990 • 1,996 citations

Forecasting and testing in co-integrated systems

1987 • 1,885 citations

Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK

1992 • 1,729 citations

EXPLORING EQUILIBRIUM RELATIONSHIPS IN ECONOMETRICS THROUGH STATIC MODELS: SOME MONTE CARLO EVIDENCE^*

1986 • 810 citations

Common Stochastic Trends in a System of Exchange Rates

1989 • 595 citations

A Cointegration Analysis of Treasury Bill Yields

1992 • 391 citations

A Cointegration Analysis of Treasury Bill Yields

2008 • 356 citations

Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model

1995 • 310 citations

Common Stochastic Trends in a System of Exchange Rates

1989 • 223 citations

Cointegration and Error Correction Mechanisms

1989 • 179 citations

Empirical analysis of macroeconomic time series

1991 • 172 citations

PRACTITIONERS CORNER: Maximum Likelihood Estimation of Cointegration Vectors: An Example of The Johansen Procedure^‡

1989 • 123 citations

COINTEGRATION IN SMALL SAMPLES: EMPIRICAL PERCENTILES, DRIFTING MOMENTS AND CUSTOMIZED TESTING¹

1990 • 83 citations

Modelling Relative Price Variability and Aggregate Inflation in the United Kingdom

1991 • 42 citations

Dynamic modeling of the demand for narrow money in Norway

1992 • 28 citations

CONSUMPTION, COINTEGRATION AND RATIONAL EXPECTATIONS: SOME AUSTRALIAN EVIDENCE

1990 • 15 citations

FINDING THE RIGHT NOMINAL ANCHOR: THE COINTEGRATION OF MONEY, CREDIT AND NOMINAL INCOME IN NORWAY

1990 • 3 citations