The DOI matches its Crossref record; 19 of the 19 references it cites were found in a registry or an index.
A Primer on Cointegration with an Application to Money and Income
Abstract
For some time now, macroeconomists have been aware that many macroeconomic time-series are not stationary in their levels and that many time-series are most adequately represented by first differences. 1 In the parlance of time-series analysis, such variables are said to be integrated of order one and are denoted I (1). The level of such variables can become arbitrarily large or small so there is no tendency for them to revert to their mean level. Indeed, neither the mean nor the variance is a meaningful concept for such variables.
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Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Dickey, D. A., & Fuller, W. A. (1979) · Journal of the American Statistical Association · doi:10.1080/01621459.1979.10482531 · Cited by 23,211
Self-citationSTATISTICAL ANALYSIS OF COINTEGRATION VECTORS
Johansen, S. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90041-3 · Cited by 17,027
Principles and Procedures of Statistics: A Biometrical Approach
Steel, R. G. D., & Torrie, J. H. (1980) · Andalas University Repository (Andalas University) · Cited by 15,510
Johansen, S., & Juselius, K. (1990) · Oxford Bulletin of Economics and Statistics · doi:10.1111/j.1468-0084.1990.mp52002003.x · Cited by 14,051
Trends and random walks in macroeconmic time series
Nelson, C. R., & Plosser, C. R. (1982) · Journal of Monetary Economics · doi:10.1016/0304-3932(82)90012-5 · Cited by 4,665
Introduction to Statistical Time Series
McClave, J. T. (1978) · Technometrics · doi:10.1080/00401706.1978.10489651 · Cited by 4,252
The Dynamic Effects of Aggregate Demand and Supply Disturbances
Blanchard, O. J., & Quah, D. (1988) · National Bureau of Economic Research · doi:10.3386/w2737 · Cited by 3,899
Stock, J. H., & Watson, M. W. (1988) · Journal of the American Statistical Association · doi:10.1080/01621459.1988.10478707 · Cited by 1,894
Forecasting and testing in co-integrated systems
Engle, R. F., & Yoo, B. S. (1987) · Journal of Econometrics · doi:10.1016/0304-4076(87)90085-6 · Cited by 1,867
Cited by
Sovacool, B. K., Axsen, J., & Sorrell, S. (2018) · Energy Research & Social Science · doi:10.1016/j.erss.2018.07.007 · Cited by 1,092
Sinha, A., & Shahbaz, M. (2018) · Renewable Energy · doi:10.1016/j.renene.2017.12.058 · Cited by 639
Effect of transportation infrastructure on economic growth in India: The VECM approach
Pradhan, R. P., & Bagchi, T. P. (2013) · Research in Transportation Economics · doi:10.1016/j.retrec.2012.05.008 · Cited by 400
Metadata
- Authors
- Dickey, D. A., Jansen, D. W., & Thornton, D. L.
- Venue
- Cointegration
- Publisher
- Palgrave Macmillan UK
- Published
- 1994
- Pages
- 9-45
- OpenAlex
- W1577157323
- Cited by
- 424
- References
- 19
- FWCI
- 165.64
- Type
- book chapter
- Language
- en
- Open access
- closed
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