Journal ArticleDOI
Forecasting and testing in co-integrated systems
Robert F. Engle,Byung Sam Yoo +1 more
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In this article, the authors examined the behavior of forecasts made from a co-integrated system as introduced by Granger (1981), Granger and Weiss (1983), and Engle and Granger (1987).About:
This article is published in Journal of Econometrics.The article was published on 1987-05-01. It has received 2003 citations till now. The article focuses on the topics: Vector autoregression.read more
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Critical values for cointegration tests
TL;DR: In this article, the results of the simulation experiments are summarized by means of response surface regressions in which critical values depend on the sample size and can be read off directly, and critical values for any finite sample size can easily be computed with a hand calculator.
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Introductory Econometrics for Finance
TL;DR: The third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time as discussed by the authors.
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In Search of Complementarity in Innovation Strategy: Internal R&D and External Knowledge Acquisition
TL;DR: This paper uses a productivity and an adoption approach, while including a search for contextual variables in the firms strategy that affects complementarity, to analyze complementarity between innovation activities: internal research and development (R&D) and external knowledge acquisition.
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Asymptotic Properties of Residual Based Tests for Cointegration
Peter C.B. Phillips,Sam Ouliaris +1 more
TL;DR: In this paper, an asymptotic theory for residual based tests for cointegration is developed and the power properties of the test are also studied, and the tests are consistent if suitably constructed, but the ADF and Z(subscript "t") tests have slower rates of divergence under co-integration.
Book
Introductory Econometrics for Finance
TL;DR: This third edition of this bestselling and thoroughly classroom-tested textbook has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time.
References
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Journal ArticleDOI
Co-integration and Error Correction: Representation, Estimation and Testing
TL;DR: The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples.
Journal ArticleDOI
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David A. Dickey,Wayne A. Fuller +1 more
TL;DR: In this article, the limit distributions of the estimator of p and of the regression t test are derived under the assumption that p = ± 1, where p is a fixed constant and t is a sequence of independent normal random variables.
Journal ArticleDOI
Macroeconomics and reality
TL;DR: In this article, the authors argue that the style in which their builders construct claims for a connection between these models and reality is inappropriate, to the point at which claims for identification in these models cannot be taken seriously.
Book
Introduction to Statistical Time Series
TL;DR: In this paper, Fourier analysis is used to estimate the mean and autocorrelations of the Fourier spectral properties of a Fourier wavelet and the estimated spectrum of the wavelet.
Journal ArticleDOI
Testing for unit roots in autoregressive-moving average models of unknown order
Said E. Said,David A. Dickey +1 more
TL;DR: In this paper, the authors developed a test for unit roots which is based on an approximation of an autoregressive-moving average model by an auto-gression, which has a limit distribution whose percentiles have been tabulated.
Related Papers (5)
Co-integration and Error Correction: Representation, Estimation and Testing
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David A. Dickey,Wayne A. Fuller +1 more