The DOI matches its Crossref record; 10 of the 10 references it cites were found in a registry or an index.
Canonical Cointegrating Regressions
Abstract
A new procedure for statistical inference in cointegrating regressions is developed. The author introduces canonical cointegrating regressions (regressions formulated with the transformed data). The required transformations involve simple adjustments of the integrated processes using stationary components in cointegrating models. Canonical cointegrating regressions, therefore, represent the same cointegrating relationships as the original models. They are, however, constructed in such a way that the usual least squares procedure yields asymptotically efficient estimators and chi-square tests. The methodology presented here is applicable to a very wide class of cointegrating models, including models with deterministic and singular, as well as stochastic and regular, cointegrations. Copyright 1992 by The Econometric Society.
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Cites
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
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
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
Andrews, D. W. K. (1991) · Econometrica · doi:10.2307/2938229 · Cited by 4,030
Convergence of Stochastic Processes.
Robinson, P. M., & Pollard, D. (1985) · Economica · doi:10.2307/2553898 · Cited by 2,184
Understanding spurious regressions in econometrics
Phillips, P. C. B. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90001-1 · Cited by 1,776
Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
Stock, J. H. (1987) · Econometrica · doi:10.2307/1911260 · Cited by 1,470
Statistical Inference in Regressions with Integrated Processes: Part 1
Park, J. Y., & Phillips, P. C. B. (1988) · Econometric Theory · doi:10.1017/s0266466600013402 · Cited by 747
Self-citationGranger, C. W. J., & Lee, T. H. (1989) · Journal of Applied Econometrics · doi:10.1002/jae.3950040508 · Cited by 579
Asymptotic Normality, When Regressors Have a Unit Root
West, K. D. (1988) · Econometrica · doi:10.2307/1913104 · Cited by 335
Ogaki, M. (1992) · Journal of Political Economy · doi:10.1086/261850 · Cited by 133
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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
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
A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration
Shin, Y. (1994) · Econometric Theory · doi:10.1017/s0266466600008240 · Cited by 538
Export-led growth: a survey of the empirical literature and some non-causality results. Part 1
A. Giles, J., & Williams, C. L. (2000) · The Journal of International Trade & Economic Development · doi:10.1080/09638190050086177 · Cited by 473
The impact of economic growth on CO2 emissions in Azerbaijan
Mikayilov, J. I., Galeotti, M., & Hasanov, F. J. (2018) · Journal of Cleaner Production · doi:10.1016/j.jclepro.2018.06.269 · Cited by 470
Metadata
- Authors
- Park, J. Y.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1992-01
- Volume
- 60
- Issue
- 1
- Pages
- 119
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2068775076
- Cited by
- 1,374
- References
- 10
- FWCI
- 59.83
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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