The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Inference in Linear Time Series Models with some Unit Roots
Abstract
This paper considers estimation and hypothesis testing in linear time series when some or all of the variables have (possibly multiple) unit roots. The motivating example is a vector autoregression with some unit roots in the companion matrix, which might include polynomials in time as regressors. Parameters that can be written as coefficients on mean zero, nonintegrated regressors have jointly normal asymptotic distribution, converging at the rate of T(superscript "one-half") In general, the other coefficients (including the coefficient on polynomials in time), and associated t and F test statistics, have nonstandard asymptotic distributions. Copyright 1990 by The Econometric Society.
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Citations
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
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
Cited by
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
Johansen, S., & Juselius, K. (1990) · Oxford Bulletin of Economics and Statistics · doi:10.1111/j.1468-0084.1990.mp52002003.x · Cited by 14,051
Statistical inference in vector autoregressions with possibly integrated processes
Toda, H. Y., & Yamamoto, T. (1995) · Journal of Econometrics · doi:10.1016/0304-4076(94)01616-8 · Cited by 6,108
Statistical Inference in Instrumental Variables Regression with I(1) Processes
Phillips, P. C. B., & Hansen, B. E. (1990) · The Review of Economic Studies · doi:10.2307/2297545 · Cited by 4,909
Does financial development cause economic growth? Time-series evidence from 16 countries
Demetriades, P. O., & Hussein, K. A. (1996) · Journal of Development Economics · doi:10.1016/s0304-3878(96)00421-x · Cited by 1,539
Metadata
- Authors
- Sims, C. A., Stock, J. H., & Watson, M. W.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1990-01
- Volume
- 58
- Issue
- 1
- Pages
- 113
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2078565364
- Cited by
- 2,555
- References
- 2
- FWCI
- 126.15
- Type
- journal article
- Language
- en
- Open access
- closed
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