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3,842
Testing for Common Trends
 Journal of the American Statistical Association
, 1988
"... Cointegrated multiple time series share at least one common trend. Two tests are developed for the number of common stochastic trends (i.e., for the order of cointegration) in a multiple time series with and without drift. Both tests involve the roots of the ordinary least squares coefficient matrix ..."
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Cited by 464 (7 self)
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similar. The firstest (qf) is developed under the assumption that certain components of the process have a finiteorder vector autoregressive (VAR) representation, and the nuisance parameters are handled by estimating this VAR. The second test (q,) entails computing the eigenvalues of a corrected sample
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes
 Journal of Econometrics
, 1995
"... Various types of impulse responses have been used for interpreting finite order vector autoregessive (VAR) models in the stationary as well as the nonstationary cointegrated case. In practice, finite order VAR processes are regarded as rough approximations to the actual data generation process at be ..."
Abstract

Cited by 10 (3 self)
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Various types of impulse responses have been used for interpreting finite order vector autoregessive (VAR) models in the stationary as well as the nonstationary cointegrated case. In practice, finite order VAR processes are regarded as rough approximations to the actual data generation process
Finite state Markovchain approximations to univariate and vector autoregressions
 Economics Letters
, 1986
"... The paper develops a procedure for finding a discretevalued Markov chain whose sample paths approximate well those of a vector autoregression. The procedure has applications in those areas of economics, finance, and econometrics where approximate solutions to integral equations are required. 1. ..."
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Cited by 493 (0 self)
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The paper develops a procedure for finding a discretevalued Markov chain whose sample paths approximate well those of a vector autoregression. The procedure has applications in those areas of economics, finance, and econometrics where approximate solutions to integral equations are required. 1.
Statistical Analysis of Cointegrated Vectors
 Journal of Economic Dynamics and Control
, 1988
"... We consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by i.i.d. Gaussian errors. We then derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number of dimen ..."
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Cited by 2749 (12 self)
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We consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by i.i.d. Gaussian errors. We then derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number
A NoArbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables
, 2002
"... ..."
Modeling and Forecasting Realized Volatility
, 2002
"... this paper is built. First, although raw returns are clearly leptokurtic, returns standardized by realized volatilities are approximately Gaussian. Second, although the distributions of realized volatilities are clearly rightskewed, the distributions of the logarithms of realized volatilities are a ..."
Abstract

Cited by 549 (50 self)
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: a fractionallyintegrated Gaussian vector autoregression (VAR) . Importantly, our approach explicitly permits measurement errors in the realized volatilities. Comparing the resulting volatility forecasts to those obtained from currently popular daily volatility models and more complicated high
Measuring the information content of stock trades
 Journal of Finance
, 1991
"... This paper suggests that the interactions of security trades and quote revisions be modeled as a vector autoregressive system. Within this framework, a trade's information effect may be meaningfully measured as the ultimate price impact of the trade innovation. Estimates for a sample of NYSE is ..."
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Cited by 469 (11 self)
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This paper suggests that the interactions of security trades and quote revisions be modeled as a vector autoregressive system. Within this framework, a trade's information effect may be meaningfully measured as the ultimate price impact of the trade innovation. Estimates for a sample of NYSE
Discrete DifferentialGeometry Operators for Triangulated 2Manifolds
, 2002
"... This paper provides a unified and consistent set of flexible tools to approximate important geometric attributes, including normal vectors and curvatures on arbitrary triangle meshes. We present a consistent derivation of these first and second order differential properties using averaging Vorono ..."
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Cited by 449 (14 self)
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This paper provides a unified and consistent set of flexible tools to approximate important geometric attributes, including normal vectors and curvatures on arbitrary triangle meshes. We present a consistent derivation of these first and second order differential properties using averaging
BOTH OR NONE? GRANGER CAUSALITY ANALYSIS ON OECD COUNTRIES
"... This paper investigates the possibility of exportled growth and growthdriven export by testing for Granger causality between the logarithms of real exports and real GDP in twentyfive OECD countries. Two complementary testing strategies are applied. First, depending on the time series properties o ..."
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of the data, causality is tested with Wald tests within finiteorder vector autoregressive (VAR) models in levels and/or in firstdifferences. Then, with no need for pretesting, a modified Wald procedure is used in augmented level VAR systems. In both cases we experiment with alternative deterministic trend
Time varying structural vector autoregressions and monetary policy
 REVIEW OF ECONOMIC STUDIES
, 2005
"... Monetary policy and the private sector behavior of the US economy are modeled as a time varying structural vector autoregression, where the sources of time variation are both the coefficients and the variance covariance matrix of the innovations. The paper develops a new, simple modeling strategy f ..."
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Cited by 306 (8 self)
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Monetary policy and the private sector behavior of the US economy are modeled as a time varying structural vector autoregression, where the sources of time variation are both the coefficients and the variance covariance matrix of the innovations. The paper develops a new, simple modeling strategy
Results 1  10
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3,842