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Regression Theory for Near-Integrated Time Series
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Cited by:
- Maurice Obstfeld & Jay C. Shambaugh & Alan M. Taylor, 2005.
"The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility,"
The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 423-438, August.
- Maurice Obstfeld & Jay C. Shambaugh & Alan M. Taylor, 2004. "The Trilemma in History: Tradeoffs among Exchange Rates, Monetary Policies, and Capital Mobility," NBER Working Papers 10396, National Bureau of Economic Research, Inc.
- Obstfeld, Maurice & Shambaugh, Jay C. & Taylor, Alan M., 2004. "The Trilemma in History: Tradeoffs among Exchange Rates, Monetary Policies, and Capital Mobility," Department of Economics, Working Paper Series qt4rq9v2rb, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Maurice Obstfeld & Jay Shambaugh & Alan Taylor, 2004. "The Trilemma in History: Tradeoffs among Exchange Rates, Monetary Policies, and Capital Mobility," International Finance 0407003, University Library of Munich, Germany.
- Obstfeld, Maurice & Shambaugh, Jay C. & Taylor, Alan M., 2004. "The Trilemma in History: Tradeoffs among Exchange Rates, Monetary Policies, and Capital Mobility," Center for International and Development Economics Research, Working Paper Series qt4rq9v2rb, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
- Obstfeld, Maurice & Taylor, Alan M. & Shambaugh, Jay, 2004. "The Trilemma in History: Trade-offs Among Exchange Rates, Monetary Policies and Capital Mobility," CEPR Discussion Papers 4352, C.E.P.R. Discussion Papers.
- Erik Hjalmarsson & Pär Österholm, 2010.
"Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies,"
Empirical Economics, Springer, vol. 39(1), pages 51-76, August.
- Pär Österholm & Erik Hjalmarsson, 2007. "Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated," IMF Working Papers 2007/141, International Monetary Fund.
- Erik Hjalmarsson & Pär Österholm, 2007. "Testing for cointegration using the Johansen methodology when variables are near-integrated," International Finance Discussion Papers 915, Board of Governors of the Federal Reserve System (U.S.).
- del Barrio Castro, Tomás & Rodrigues, Paulo M.M. & Robert Taylor, A.M., 2018.
"Semi-Parametric Seasonal Unit Root Tests,"
Econometric Theory, Cambridge University Press, vol. 34(2), pages 447-476, April.
- Tomás del Barrio Castro & Paulo M. M. Rodrigues & A. M. Robert Taylor, 2015. "Semi-Parametric Seasonal Unit Root Tests," DEA Working Papers 72, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Del Barrio Castro, T & Rodrigues, PMM & Taylor, AMR, 2015. "Semi-Parametric Seasonal Unit Root Tests," Essex Finance Centre Working Papers 16807, University of Essex, Essex Business School.
- Beare, Brendan K. & Seo, Won-Ki, 2020.
"Representation Of I(1) And I(2) Autoregressive Hilbertian Processes,"
Econometric Theory, Cambridge University Press, vol. 36(5), pages 773-802, October.
- Brendan K. Beare & Won-Ki Seo, 2017. "Representation of I(1) and I(2) autoregressive Hilbertian processes," Papers 1701.08149, arXiv.org, revised Sep 2019.
- Hansen, Bruce E., 2010. "Averaging estimators for autoregressions with a near unit root," Journal of Econometrics, Elsevier, vol. 158(1), pages 142-155, September.
- Linton, Oliver & Wang, Qiying, 2016.
"Nonparametric Transformation Regression With Nonstationary Data,"
Econometric Theory, Cambridge University Press, vol. 32(1), pages 1-29, February.
- Oliver Linton & Qiying Wang, 2013. "Non-parametric transformation regression with non-stationary data," CeMMAP working papers 16/13, Institute for Fiscal Studies.
- Oliver Linton & Qiying Wang, 2013. "Non-parametric transformation regression with non-stationary data," CeMMAP working papers CWP16/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Smith, Aaron, 2005.
"Level Shifts and the Illusion of Long Memory in Economic Time Series,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 321-335, July.
- Smith, Aaron D., 2004. "Level Shifts and the Illusion of Long Memory in Economic Time Series," Working Papers 11974, University of California, Davis, Department of Agricultural and Resource Economics.
- James A. Duffy & Jerome R. Simons, 2020. "Cointegration without Unit Roots," Papers 2002.08092, arXiv.org, revised Apr 2023.
- Hjalmarsson, Erik, 2008.
"Interpreting long-horizon estimates in predictive regressions,"
Finance Research Letters, Elsevier, vol. 5(2), pages 104-117, June.
- Erik Hjalmarsson, 2008. "Interpreting long-horizon estimates in predictive regressions," International Finance Discussion Papers 928, Board of Governors of the Federal Reserve System (U.S.).
- Guillaume Chevillon, 2004.
"`Weak` trends for inference and forecasting in finite samples,"
Economics Series Working Papers
210, University of Oxford, Department of Economics.
- Guillaume Chevillon, 2004. ""Weak" trends for inference and forecasting in finite samples," Documents de Travail de l'OFCE 2004-12, Observatoire Francais des Conjonctures Economiques (OFCE).
- Michael D. Bauer & James D. Hamilton, 2018.
"Robust Bond Risk Premia,"
The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 399-448.
- Michael D. Bauer & James D. Hamilton, 2015. "Robust bond risk premia," Working Paper Series 2015-15, Federal Reserve Bank of San Francisco.
- Michael D. Bauer & James D. Hamilton, 2015. "Robust Bond Risk Premia," CESifo Working Paper Series 5541, CESifo.
- Michael D. Bauer & James D. Hamilton, 2017. "Robust Bond Risk Premia," NBER Working Papers 23480, National Bureau of Economic Research, Inc.
- Shintani, Mototsugu, 2001.
"A simple cointegrating rank test without vector autoregression,"
Journal of Econometrics, Elsevier, vol. 105(2), pages 337-362, December.
- Mototsugu Shintani, 2000. "A Simple Cointegrating Rank Test Without Vector Autoregression," Vanderbilt University Department of Economics Working Papers 0044, Vanderbilt University Department of Economics.
- Juan Carlos Aquino & Gabriel Rodríguez, 2013.
"Understanding the functional central limit theorems with some applications to unit root testing with structural change,"
Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 36(71), pages 107-149.
- Juan Carlos Aquino & Gabriel Rodríguez, 2011. "Understanding The Functional Central Limit Theorems With Some Applications To Unit Root Testing With Structural Change," Documentos de Trabajo / Working Papers 2011-319, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Sophocles N. Brissimis & Petros M. Migiakis, 2016.
"Inflation persistence, learning dynamics and the rationality of inflation expectations,"
Empirical Economics, Springer, vol. 51(3), pages 963-979, November.
- Brissimis, Sophocles & Migiakis, Petros, 2010. "Inflation persistence and the rationality of inflation expectations," MPRA Paper 29052, University Library of Munich, Germany.
- Sophocles N. Brissimis & Petros M. Migiakis, 2013. "Inflation persistence and the rationality of inflation expectations," Working Papers 151, Bank of Greece.
- Christis Katsouris, 2023. "Quantile Time Series Regression Models Revisited," Papers 2308.06617, arXiv.org, revised Aug 2023.
- David Hendry, 1995. "On the interactions of unit roots and exogeneity," Economics Papers 7., Economics Group, Nuffield College, University of Oxford.
- Kremers, Jeroen J M & Ericsson, Neil R & Dolado, Juan J, 1992.
"The Power of Cointegration Tests,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 325-348, August.
- Juan J. Dolado & Neil R. Ericsson & Jeroen J. M. Kremers, 1992. "The power of cointegration tests," International Finance Discussion Papers 431, Board of Governors of the Federal Reserve System (U.S.).
- Christis Katsouris, 2023. "Limit Theory under Network Dependence and Nonstationarity," Papers 2308.01418, arXiv.org, revised Aug 2023.
- Zhou, Bo, 2017. "Semiparametric inference for non-LAN models," Other publications TiSEM 0ea4fd8a-937d-4c19-8f77-f, Tilburg University, School of Economics and Management.
- Christis Katsouris, 2023. "Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models," Papers 2308.13915, arXiv.org.
- N. Gregory Mankiw & David Romer & Matthew D. Shapiro, 1991.
"Stock Market Forecastability and Volatility: A Statistical Appraisal,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 455-477.
- Mankiw, N.G. & Romer, D. & Shapiro, M.D., 1989. "Stock Market Forecastability And Volatility: A Statistical Appraisal," Papers 89-21, Michigan - Center for Research on Economic & Social Theory.
- N. Gregory Mankiw & David H. Romer & Matthew D. Shapiro, 1989. "Stock Market Forecastability and Volatility: A Statistical Appraisal," NBER Working Papers 3154, National Bureau of Economic Research, Inc.
- Boswijk, H. Peter & Jansson, Michael & Nielsen, Morten Ørregaard, 2015.
"Improved likelihood ratio tests for cointegration rank in the VAR model,"
Journal of Econometrics, Elsevier, vol. 184(1), pages 97-110.
- H. Peter Boswijk & Michael Jansson & Morten Ø. Nielsen, 2012. "Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model," Working Paper 1297, Economics Department, Queen's University.
- H. Peter Boswijk & Michael Jansson & Morten Ørregaard Nielsen, 2012. "Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model," CREATES Research Papers 2012-39, Department of Economics and Business Economics, Aarhus University.
- H. Peter Boswijk & Michael Jansson & Morten Ø. Nielsen, 2012. "Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model," Tinbergen Institute Discussion Papers 12-097/III, Tinbergen Institute.
- Massimo Franchi & Søren Johansen, 2017.
"Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles,"
Econometrics, MDPI, vol. 5(2), pages 1-20, June.
- Massimo Franchi & Soeren Johansen, 2017. "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," Discussion Papers 17-09, University of Copenhagen. Department of Economics.
- Massimo Franchi & Søren Johansen, 2017. "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," CREATES Research Papers 2017-17, Department of Economics and Business Economics, Aarhus University.
- Pär Österholm, 2005.
"The Taylor Rule: A Spurious Regression?,"
Bulletin of Economic Research, Wiley Blackwell, vol. 57(3), pages 217-247, July.
- Österholm, Pär, 2003. "The Taylor Rule: A Spurious Regression?," Working Paper Series 2003:20, Uppsala University, Department of Economics.
- Michael Jansson & Marcelo J. Moreira, 2006.
"Optimal Inference in Regression Models with Nearly Integrated Regressors,"
Econometrica, Econometric Society, vol. 74(3), pages 681-714, May.
- Michael Jansson & Marcelo J. Moreira, 2004. "Optimal Inference in Regression Models with Nearly Integrated Regressors," Harvard Institute of Economic Research Working Papers 2047, Harvard - Institute of Economic Research.
- Michael Jansson & Marcelo J. Moreira, 2004. "Optimal Inference in Regression Models with Nearly Integrated Regressors," NBER Technical Working Papers 0303, National Bureau of Economic Research, Inc.
- Hjalmarsson, Erik, 2010.
"Predicting Global Stock Returns,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(1), pages 49-80, February.
- Erik Hjalmarsson, 2008. "Predicting global stock returns," International Finance Discussion Papers 933, Board of Governors of the Federal Reserve System (U.S.).
- Daniel B. Nelson, 1994. "Asymptotic Filtering Theory for Multivariate ARCH Models," NBER Technical Working Papers 0162, National Bureau of Economic Research, Inc.
- Jesús Gonzalo & Jean-Yves Pitarakis, 2011.
"Regime-Specific Predictability in Predictive Regressions,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 229-241, June.
- Pitarakis, Jean-Yves, 2010. "Regime specific predictability in predictive regressions," UC3M Working papers. Economics we097844, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 2010. "Regime Specific Predictability in Predictive Regressions," MPRA Paper 29190, University Library of Munich, Germany.
- Mukhtar Ali, 2002. "Distribution Of The Least Squares Estimator In A First-Order Autoregressive Model," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 89-119.
- Christis Katsouris, 2023. "Predictability Tests Robust against Parameter Instability," Papers 2307.15151, arXiv.org.
- Paulo M. M. Rodrigues, 2013. "Recursive adjustment, unit root tests and structural breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 62-82, January.
- Lee, Tae-Hwy & Tse, Yiuman, 1996. "Cointegration tests with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 73(2), pages 401-410, August.
- Jesùs Gonzalo & Jean-Yves Pitarakis, 2017.
"Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model,"
Journal of Business & Economic Statistics,
Taylor & Francis Journals, vol. 35(2), pages 202-217, April.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 2015. "Inferring the predictability induced by a persistent regressor in a predictive threshold model," Discussion Paper Series In Economics And Econometrics 1518, Economics Division, School of Social Sciences, University of Southampton.
- Ball, Clifford A. & Torous, Walter N., 1996. "Unit roots and the estimation of interest rate dynamics," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 215-238, June.
- Par Osterholm, 2005. "The Taylor rule and real-time data - a critical appraisal," Applied Economics Letters, Taylor & Francis Journals, vol. 12(11), pages 679-685.
- Joakim Westerlund & Mehdi Hosseinkouchack, 2016. "Modified CADF and CIPS Panel Unit Root Statistics with Standard Chi-squared and Normal Limiting Distributions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(3), pages 347-364, June.
- Westerlund, Joakim & Larsson, Rolf, 2015. "New tools for understanding the local asymptotic power of panel unit root tests," Journal of Econometrics, Elsevier, vol. 188(1), pages 59-93.
- Pierre Perron & Yohei Yamamoto, 2016.
"On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 782-844, May.
- Pierre Perron & Yohei Yamamoto, "undated". "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Boston University - Department of Economics - Working Papers Series 2013-012, Boston University - Department of Economics.
- Pierre Perron & Yohei Yamamoto, 2012. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Global COE Hi-Stat Discussion Paper Series gd12-258, Institute of Economic Research, Hitotsubashi University.
- Pierre Perron & Yohei Yamamoto, 2008. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Boston University - Department of Economics - Working Papers Series wp2008-006, Boston University - Department of Economics.
- Smeekes, S. & Urbain, J.R.Y.J., 2014. "A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing," Research Memorandum 008, Maastricht University, Graduate School of Business and Economics (GSBE).
- Ying Wang & Peter C. B. Phillips & Yundong Tu, 2024. "Limit Theory and Inference in Non-cointegrated Functional Coefficient Regression," Cowles Foundation Discussion Papers 2399, Cowles Foundation for Research in Economics, Yale University.
- Bykhovskaya, Anna & Phillips, Peter C.B., 2020.
"Point optimal testing with roots that are functionally local to unity,"
Journal of Econometrics, Elsevier, vol. 219(2), pages 231-259.
- Anna Bykhovskaya & Peter C. B. Phillips, 2017. "Point Optimal Testing with Roots That Are Functionally Local to Unity," Cowles Foundation Discussion Papers 2107, Cowles Foundation for Research in Economics, Yale University.
- Natasha Kang, Da & Marmer, Vadim, 2024.
"Modeling long cycles,"
Journal of Econometrics, Elsevier, vol. 242(1).
- Natasha Kang & Vadim Marmer, 2020. "Modeling Long Cycles," Papers 2010.13877, arXiv.org, revised Sep 2023.
- Kang, Natasha & Marmer, Vadim, 2020. "Modeling Long Cycles," Economics working papers vadim_marmer-2020-3, Vancouver School of Economics, revised 26 Oct 2020.
- Paulo M.M. Rodrigues & Antonio Rubia, 2011. "A Class of Robust Tests in Augmented Predictive Regressions," Working Papers w201126, Banco de Portugal, Economics and Research Department.
- Boswijk, H. Peter & Lucas, André & Taylor, Nick, 1998. "A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests," Serie Research Memoranda 0062, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Sabzikar, Farzad & Wang, Qiying & Phillips, Peter C.B., 2020. "Asymptotic theory for near integrated processes driven by tempered linear processes," Journal of Econometrics, Elsevier, vol. 216(1), pages 192-202.
- Pedroni, Peter L. & Vogelsang, Timothy J. & Wagner, Martin & Westerlund, Joakim, 2015.
"Nonparametric rank tests for non-stationary panels,"
Journal of Econometrics, Elsevier, vol. 185(2), pages 378-391.
- Pedroni, Peter & Vogelsang, Timothy J. & Wagner, Martin & Westerlund, Joakim, 2011. "Nonparametric Rank Tests for Non-stationary Panels," Economics Series 270, Institute for Advanced Studies.
- Nelson C. Mark & Donggyu Sul, 2004.
"The Use of Predictive Regressions at Alternative Horizons in Finance and Economics,"
Finance
0409032, University Library of Munich, Germany.
- Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," NBER Technical Working Papers 0298, National Bureau of Economic Research, Inc.
- Phillips, Peter C.B. & Lee, Ji Hyung, 2016. "Robust econometric inference with mixed integrated and mildly explosive regressors," Journal of Econometrics, Elsevier, vol. 192(2), pages 433-450.
- Lozano, Francisco-Javier, 2013. "Evaluación de modelos de predicción para la venta de viviendas [Evaluation of forecasting models for house sales]," MPRA Paper 118652, University Library of Munich, Germany.
- Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1996.
"Cointegration tests in the presence of structural breaks,"
Journal of Econometrics, Elsevier, vol. 70(1), pages 187-220, January.
- Julia Campos & Neil R. Ericsson & David F. Hendry, 1993. "Cointegration tests in the presence of structural breaks," International Finance Discussion Papers 440, Board of Governors of the Federal Reserve System (U.S.).
- H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute.
- Leon, Costas, 2006. "The Taylor rule: can it be supported by the data?," MPRA Paper 1650, University Library of Munich, Germany.
- Mukhtar M. Ali, 1996. "Distribution of the Least Squares Estimator in a First-Order Autoregressive Model," Econometrics 9610004, University Library of Munich, Germany.
- Tomás del Barrio Castro & Paulo M. M. Rodrigues & A. M. Robert Taylor, 2019.
"Temporal Aggregation of Seasonally Near‐Integrated Processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 40(6), pages 872-886, November.
- Tomás del Barrio Castro & Paulo M.M. Rodrigues & A. M. Robert Taylor, 2018. "Temporal Aggregation of Seasonally Near-Integrated Processes," DEA Working Papers 86, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- del Barrio Castro, Tomás & Rodrigues, Paulo MM & Taylor, AM Robert, 2019. "Temporal aggregation of seasonally near-integrated processes," Essex Finance Centre Working Papers 23878, University of Essex, Essex Business School.
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"Analytical evaluation of the power of tests for the absence of cointegration,"
Journal of Econometrics, Elsevier, vol. 122(2), pages 349-384, October.
- Pesavento, Elena, 2000. "Analytical Evaluation of the Power of Tests for the Absence of Cointegration," University of California at San Diego, Economics Working Paper Series qt4cq4773c, Department of Economics, UC San Diego.
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- Tassos Magdalinos, 2018. "Least Squares and IVX Limit Theory in Systems of Predictive Regressions with GARCH innovations," Working Paper series 18-24, Rimini Centre for Economic Analysis.
- Banerjee, Anindya & Mestre, Ricardo, 1997. "ECM tests for cointegration in a single equation framework," DES - Working Papers. Statistics and Econometrics. WS 10607, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Zhang, Rongmao & Chan, Ngai Hang, 2018. "Portmanteau-type tests for unit-root and cointegration," Journal of Econometrics, Elsevier, vol. 207(2), pages 307-324.
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- Luis C. Nunes & Paulo M. M. Rodrigues, 2011.
"On LM‐type tests for seasonal unit roots in the presence of a break in trend,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 32(2), pages 108-134, March.
- Paulo M.M. Rodrigues & Luís Catela Nunes, 2009. "On LM-Type Tests for Seasonal Unit Roots in the Presence of a Break in Trend," Working Papers w200920, Banco de Portugal, Economics and Research Department.
- Christis Katsouris, 2023. "Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates," Papers 2302.05193, arXiv.org.
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- Peter C.B. Phillips & Tassos Magadalinos, 2005. "Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence," Cowles Foundation Discussion Papers 1517, Cowles Foundation for Research in Economics, Yale University.
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- Stanislav Anatolyev & Nikolay Gospodinov, 2012. "Asymptotics of near unit roots (in Russian)," Quantile, Quantile, issue 10, pages 57-71, December.
- Bo Zhang & Jiti Gao & Guangming Pan, 2020. "Estimation and Testing for High-Dimensional Near Unit Root Time Series," Monash Econometrics and Business Statistics Working Papers 12/20, Monash University, Department of Econometrics and Business Statistics.
- Beechey, Meredith & Hjalmarsson, Erik & sterholm, Pr, 2009.
"Testing the expectations hypothesis when interest rates are near integrated,"
Journal of Banking & Finance, Elsevier, vol. 33(5), pages 934-943, May.
- Meredith J. Beechey & Erik Hjalmarsson & Pär Österholm, 2008. "Testing the expectations hypothesis when interest rates are near integrated," International Finance Discussion Papers 953, Board of Governors of the Federal Reserve System (U.S.).
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- Phillips, Peter C. B., 1998.
"Impulse response and forecast error variance asymptotics in nonstationary VARs,"
Journal of Econometrics, Elsevier, vol. 83(1-2), pages 21-56.
- Peter C.B. Phillips, 1995. "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's," Cowles Foundation Discussion Papers 1102, Cowles Foundation for Research in Economics, Yale University.
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- Gregoir, Stephane, 2006. "Efficient tests for the presence of a pair of complex conjugate unit roots in real time series," Journal of Econometrics, Elsevier, vol. 130(1), pages 45-100, January.
- Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, University of Gothenburg, Department of Economics.
- Philip Hans Franses & Robert M. Kunst, 1999.
"On the Role of Seasonal Intercepts in Seasonal Cointegration,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(3), pages 409-433, August.
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