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

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

Forecasting and testing in co-integrated systems

1987 • 1,885 citations

Nonlinear Statistical Models.

1989 • 1,147 citations

Common Stochastic Trends in a System of Exchange Rates

1989 • 595 citations

Nonlinear Statistical Models

1988 • 238 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

Some Structural Hypotheses in a Multivariate Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for UK

1990 • 156 citations

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

1989 • 123 citations

Long—run relations in a well—defined statistical model for the data generating process. Cointegration analysis of the PPP and the UIP relations for Denmark and Germany

1991 • 31 citations

CONSUMPTION, COINTEGRATION AND RATIONAL EXPECTATIONS: SOME AUSTRALIAN EVIDENCE

1990 • 15 citations

TREASURY BI;; YIELD CURVES AND COINTEGRATION

1990 • 8 citations

Dynamic Modelling and the Demand for Narrow Money in Norway

1990 • 3 citations

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

1990 • 3 citations