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Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.; Nielsen, Morten Ørregaard - In: Journal of applied econometrics 29 (2014) 1, pp. 161-171
Persistent link: https://www.econbiz.de/10010414227
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Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.; Nielsen, Morten Ørregaard - 2010
cointegration rank. Because these distributions depend on a real-valued parameter, b, which must be estimated, simple tabulation is …
Persistent link: https://www.econbiz.de/10003996897
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Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.; Nielsen, Morten Ørregaard - 2010
cointegration rank. Because these distributions depend on a real-valued parameter, b, which must be estimated, simple tabulation is …
Persistent link: https://www.econbiz.de/10010290339
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A Matlab program and user's guide for the fractionally cointegrated VAR model
Nielsen, Morten Ørregaard; Popiel, Michal Ksawery - 2014
This manual describes the usage of the accompanying freely available Matlab program for estimation and testing in the …
Persistent link: https://www.econbiz.de/10010418272
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Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.; Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2010
cointegration rank. Because these distributions depend on a real-valued parameter, b, which must be estimated, simple tabulation is …
Persistent link: https://www.econbiz.de/10008549067
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Are US real house prices stationary? : new evidence from univariate and panel data
Zhang, Jing; Jong, Robert M. de; Haurin, Donald R. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10011431067
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Purchasing power parity : a time series analysis of the U.S. and Mexico, 1995-2007
Yee, Steven; Ramírez, Miguel D. - In: International advances in economic research : IAER ; an … 22 (2016) 4, pp. 409-419
Persistent link: https://www.econbiz.de/10011718492
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Fractional integration and cointegration in merger and acquisitions in the US petroleum industry
Monge, Manuel; Gil-Alaña, Luis A. - In: Applied economics letters 23 (2016) 10/12, pp. 701-704
Persistent link: https://www.econbiz.de/10011628404
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A simple estimator of cointegrating vectors in higher order integrated systems
Stock, James H. - In: Econometrica : journal of the Econometric Society, an … 61 (1993) 4, pp. 783-820
Persistent link: https://www.econbiz.de/10001147143
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Testing for deterministic and stochastic cycles in macroeconomic time series
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Empirica : journal of european economics 34 (2007) 2, pp. 155-169
Persistent link: https://www.econbiz.de/10003441948