STATISTICAL ANALYSIS OF COINTEGRATION VECTORS

[1]  P. Phillips,et al.  Asymptotic Properties of Residual Based Tests for Cointegration , 1990 .

[2]  Peter C. B. Phillips,et al.  Statistical Inference in Regressions with Integrated Processes: Part 2 , 1989, Econometric Theory.

[3]  P. Phillips,et al.  Statistical Inference in Regressions with Integrated Processes: Part 1 , 1988, Econometric Theory.

[4]  J. Stock,et al.  Testing for Common Trends , 1988 .

[5]  P. Phillips.  Multiple Regression with Integrated Time Series , 1987 .

[6]  James H. Stock,et al.  Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors , 1987 .

[7]  C. Granger,et al.  Co-integration and error correction: representation, estimation and testing , 1987 .

[8]  P. Phillips,et al.  Multiple Time Series Regression with Integrated Processes , 1986 .

[9]  Gregory C. Reinsel,et al.  Reduced rank models for multiple time series , 1986 .

[10]  Søren Johansen,et al.  The Mathematical Structure of Error Correction Models. , 1985 .

[11]  Steen A. Andersson,et al.  Distribution of Eigenvalues in Multivariate Statistical Analysis , 1983 .

[12]  W. Fuller,et al.  Distribution of the Estimators for Autoregressive Time Series with a Unit Root , 1979 .

[13]  Calyampudi R. Rao,et al.  Linear Statistical Inference and Its Applications. , 1975 .

[14]  Calyampudi R. Rao,et al.  The theory of least squares when the parameters are stochastic and its application to the analysis of growth curves. , 1965, Biometrika.

[15]  T. W. Anderson,et al.  An Introduction to Multivariate Statistical Analysis , 1959 .