The DOI matches its Crossref record; 62 of the 62 references it cites were found in a registry or an index.
COINTEGRATION AND UNIT ROOTS
Open accessAbstract
Abstract. This paper provides an updated survey of a burgeoning literature on testing, estimation and model specification in the presence of integrated variables. Integrated variables are a specific class of non‐stationary variables which seem to characterise faithfully the properties of many macroeconomic time series. The analysis of cointegration develops out of the existence of unit roots and offers a generic route to test the validity of the equilibrium predictions of economic theories. Special emphasis is put on the empirical researcher's point of view.
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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
Time Series Analysis: Forecasting and Control
Geurts, M., Box, G. E. P., & Jenkins, G. M. (1977) · Journal of Marketing Research · doi:10.2307/3150485 · Cited by 19,186
Testing for a unit root in time series regression
PHILLIPS, P. C. B., & PERRON, P. (1988) · Biometrika · doi:10.1093/biomet/75.2.335 · Cited by 19,155
STATISTICAL 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
Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936
Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
Dickey, D. A., & Fuller, W. A. (1981) · Econometrica · doi:10.2307/1912517 · Cited by 14,606
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Newey, W., & West, K. (1986) · National Bureau of Economic Research · doi:10.3386/t0055 · Cited by 12,278
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:10.2307/2286348 · Cited by 9,106
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Perron, P. (1989) · Econometrica · doi:10.2307/1913712 · Cited by 7,732
Cited by
Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots
Campbell, J. Y., & Perron, P. (1991) · NBER Macroeconomics Annual · doi:10.1086/654163 · Cited by 1,255
Data mining reconsidered: encompassing and the general‐to‐specific approach to specification search
Hoover, K. D., & Perez, S. J. (1999) · The Econometrics Journal · doi:10.1111/1368-423x.00025 · Cited by 486
Abdalla, I. S. A., & Murinde, V. (1997) · Applied Financial Economics · doi:10.1080/096031097333826 · Cited by 465
International portfolio diversification: US and Central European equity markets
Gilmore, C. G., & McManus, G. M. (2002) · Emerging Markets Review · doi:10.1016/s1566-0141(01)00031-0 · Cited by 267
Allen, P. G., & Fildes, R. (2001) · International Series in Operations Research & Management Science · doi:10.1007/978-0-306-47630-3_15 · Cited by 85
Metadata
- Authors
- Dolado, J. J., Jenkinson, T., & Sosvilla‐Rivero, S.
- Venue
- Journal of Economic Surveys
- Publisher
- Wiley
- Published
- 1990-09
- Volume
- 4
- Issue
- 3
- Pages
- 249-273
- ISSN
- 0950-0804 (ISSN-L)
- 1467-6419
- OpenAlex
- W2121187042
- Cited by
- 638
- References
- 62
- FWCI
- 45.14
- Type
- journal article
- Language
- en
- Open access
- green
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- Dolado, J. J., Jenkinson, T., & Sosvilla‐Rivero, S. (1990). COINTEGRATION AND UNIT ROOTS. Journal of Economic Surveys. https://doi.org/10.1111/j.1467-6419.1990.tb00088.x
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
