Journal of Econometrics

Some thoughts on the development of cointegration

Fulltext Access 4 Pages 2010

Testing for co-integration in vector autoregressions with non-stationary volatility

Fulltext Access 18 Pages 2010

Forecasting with equilibrium-correction models during structural breaks

Fulltext Access 12 Pages 2010

Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables

Fulltext Access 14 Pages 2010

Likelihood inference for a nonstationary fractional autoregressive model

Fulltext Access 16 Pages 2010

Likelihood based testing for no fractional cointegration

Fulltext Access 11 Pages 2010

Likelihood-based inference for cointegration with nonlinear error-correction

Fulltext Access 17 Pages 2010

Modelling and measuring price discovery in commodity markets

Fulltext Access 13 Pages 2010

Cointegration, long-run structural modelling and weak exogeneity: Two models of the UK economy

Fulltext Access 9 Pages 2010

Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate

Fulltext Access 13 Pages 2010

Speed of adjustment in cointegrated systems

Fulltext Access 12 Pages 2010

Averaging estimators for autoregressions with a near unit root

Fulltext Access 14 Pages 2010

Cointegration in a historical perspective

Fulltext Access 4 Pages 2010

A spatio-temporal model of house prices in the USA

Fulltext Access 14 Pages 2010

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