Keyword

cointegration

Description: Cointegration is a statistical relationship in which nonstationary time series share a stable long-run equilibrium despite short-term fluctuations.

Primary topic: Monetary Policy and Economic Impact (28%)

Wikidata ID: wiki/Q1751675

OpenAlex ID: keywords/cointegration

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

1987 · Robert F. Engle, C. W. J. Granger · Econometrica · 31,958

Bounds testing approaches to the analysis of level relationships

2001 · M. Hashem Pesaran, Yongcheol Shin, et al. · Journal of Applied Econometrics · 20,290

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

1981 · David A. Dickey, Wayne A. Fuller · Econometrica · 14,630

Maximum Likelihood Estimation and Inference on Cointegration — With Applications to the Demand for Money

1990 · Søren Johansen, Katarina Juselius · Oxford Bulletin of Economics and Statistics · 14,045

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

1991 · Soren Johansen · Econometrica · 11,135

Statistical inference in vector autoregressions with possibly integrated processes

1995 · Hiro Y. Toda, Taku Yamamoto · Journal of Econometrics · 6,087

New Introduction to Multiple Time Series Analysis

2005 · Helmut Lütkepohl · Springer eBooks · 5,928

Spurious regression and residual-based tests for cointegration in panel data

1999 · Chihwa Kao · Journal of Econometrics · 5,785

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

1995 · Søren Johansen · 5,335

Statistical Inference in Instrumental Variables Regression with I(1) Processes

1990 · Peter C. B. Phillips, Bruce E. Hansen · The Review of Economic Studies · 4,918

Unit root tests for panel data

2001 · In Choi · Journal of International Money and Finance · 4,103

An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis

2012 · M. Hashem Pesaran, Yongcheol Shin · Cambridge University Press eBooks · 3,939

The saving and investment nexus for China: evidence from cointegration tests

2005 · Paresh Kumar Narayan · Applied Economics · 3,514

Introduction to Econometrics

2020 · WORLD SCIENTIFIC eBooks · 3,457

Time Series Analysis

1997 · David E. Booth, James D. Hamilton · Technometrics · 3,201

Some recent development in a concept of causality

1988 · C.W.J. Granger · Journal of Econometrics · 2,980

Fully modified OLS for heterogeneous cointegrated panels

2004 · Peter Pedroni · Advances in econometrics · 2,720

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

1992 · Michael Osterwald‐Lenum · Oxford Bulletin of Economics and Statistics · 2,570

Developments in the Study of Cointegrated Economic Variables

1986 · C. W. J Granger · Oxford Bulletin of Economics and Statistics · 2,567

Consumption, Aggregate Wealth, and Expected Stock Returns

2001 · Martin Lettau, Sydney Ludvigson · The Journal of Finance · 2,183

Cointegration and Tests of Present Value Models

1987 · John Y. Campbell, Robert J. Shiller · Journal of Political Economy · 2,159

Numerical distribution functions of likelihood ratio tests for cointegration

1999 · James G. MacKinnon, Alfred A. Haug, et al. · Journal of Applied Econometrics · 2,028

Asymptotic Properties of Residual Based Tests for Cointegration

1990 · P. C. B. Phillips, S. Ouliaris · Econometrica · 1,980

Introduction to Multiple Time Series Analysis

1993 · Ian T. Jolliffe, Helmut Lütkepohl, et al. · Technometrics · 1,912

Forecasting and testing in co-integrated systems

1987 · Robert F. Engle, Byung Sam Yoo · Journal of Econometrics · 1,896

Works count: 34,230

Citation count: 624,300