The DOI matches its Crossref record; 24 of the 24 references it cites were found in a registry or an index.
Cointegration and error correction
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Cites
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
Investigating causal relations by econometric models and cross-spectral methods
Granger, C. W. J. (1969) · Econometrica · doi:10.2307/1912791 · Cited by 22,989
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
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
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
Johansen, S. (1991) · Econometrica · doi:10.2307/2938278 · Cited by 11,116
Spurious regressions in econometrics
Granger, C. W. J., & Newbold, P. (1974) · Journal of Econometrics · doi:10.1016/0304-4076(74)90034-7 · Cited by 6,200
A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
Stock, J. H., & Watson, M. W. (1993) · Econometrica · doi:10.2307/2951763 · Cited by 5,013
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
Testing for unit roots in autoregressive-moving average models of unknown order
SAID, S. E., & DICKEY, D. A. (1984) · Biometrika · doi:10.1093/biomet/71.3.599 · Cited by 3,418
Time Series Regression with a Unit Root
Phillips, P. C. B. (1987) · Econometrica · doi:10.2307/1913237 · Cited by 2,814
Cited by
Trade Credit and the Bank Lending Channel
Nilsen, J. H. (2002) · Journal of Money, Credit, and Banking · doi:10.1353/mcb.2002.0032 · Cited by 622
Identifying cointegration by eigenanalysis
Zhang, R., Robinson, P., & Yao, Q. (2019) · Journal of the American Statistical Association · doi:10.1080/01621459.2018.1458620 · Cited by 51
Metadata
- Authors
- Davidson, J.
- Venue
- Handbook of Research Methods and Applications in Empirical Macroeconomics
- Publisher
- Edward Elgar Publishing
- Published
- 2013-07-30
- Pages
- 165-188
- OpenAlex
- W2286406400
- Cited by
- 503
- References
- 24
- FWCI
- 483.82
- Type
- book chapter
- Language
- en
- Open access
- closed
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- Davidson, J. (2013). Cointegration and error correction. Handbook of Research Methods and Applications in Empirical Macroeconomics. https://doi.org/10.4337/9780857931023.00013
Data sources
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.
