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## Testing for Common Trends (1988)

Venue: | Journal of the American Statistical Association |

Citations: | 452 - 7 self |

### Citations

5092 | Probability and measure - Billingsley - 1986 |

2505 | Co-integration and error correction: representation, estimation and testing - Engle, Granger - 1987 |

2466 |
Distribution of the estimators for autoregressive time series with a unit root
- DICKEY, FULLER
- 1979
(Show Context)
Citation Context ...l special cases of this testing problem have been considered elsewhere. The case that has received the most attention has been testing for 1 versus 0 unit roots in a univariate time series (e.g., see =-=Dickey and Fuller 1979-=-; Fuller 1976; Phillips 1987; Solo 1984). In a multivariate setting, a test of k = 1 versus m = 0 was developed by Fountis and Dickey (1986) for processes with a VAR representation with iid normal err... |

764 |
Introduction to Statistical Time Series
- Fuller
- 1996
(Show Context)
Citation Context ...testing problem have been considered elsewhere. The case that has received the most attention has been testing for 1 versus 0 unit roots in a univariate time series (e.g., see Dickey and Fuller 1979; =-=Fuller 1976-=-; Phillips 1987; Solo 1984). In a multivariate setting, a test of k = 1 versus m = 0 was developed by Fountis and Dickey (1986) for processes with a VAR representation with iid normal errors. Engle an... |

738 | Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications - Nelson, Plosser - 1982 |

572 | A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components with Particular Attention to Measurement of the `Business Cycle - Beveridge, Nelson - 1981 |

396 | Time series regression with a unit root
- Phillips
- 1987
(Show Context)
Citation Context ...em have been considered elsewhere. The case that has received the most attention has been testing for 1 versus 0 unit roots in a univariate time series (e.g., see Dickey and Fuller 1979; Fuller 1976; =-=Phillips 1987-=-; Solo 1984). In a multivariate setting, a test of k = 1 versus m = 0 was developed by Fountis and Dickey (1986) for processes with a VAR representation with iid normal errors. Engle and Granger (1987... |

242 | Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors - Stock - 1987 |

191 | Econometric Modelling of the Aggregate Time-series Relationship between Consumers - Davidson, Hendry, et al. - 1978 |

143 | Wages and prices in the United Kingdom: a study in econometric methodology - Sargan - 1964 |

142 | Trends and Cycles in Macroeconomic Time Series - Harvey - 1985 |

123 | Multiple time series regression with integrated processes - Phillips, Durlauf - 1986 |

121 | Limiting distributions of least squares estimates of unstable autoregressive processes - Chan, Wei - 1988 |

55 | Statistical Confluence Analysis by Means of Complete Regression Systems - Frisch - 1934 |

54 | A canonical analysis of multiple time series - Box, Tiao - 1977 |

14 |
The order of differencing in ARIMA models
- SOLO
- 1984
(Show Context)
Citation Context ...nsidered elsewhere. The case that has received the most attention has been testing for 1 versus 0 unit roots in a univariate time series (e.g., see Dickey and Fuller 1979; Fuller 1976; Phillips 1987; =-=Solo 1984-=-). In a multivariate setting, a test of k = 1 versus m = 0 was developed by Fountis and Dickey (1986) for processes with a VAR representation with iid normal errors. Engle and Granger (1987) proposed ... |

12 | Testing for a unit root nonstationarity in Multivariate Autoregressive time series - Fountis, Dickey - 1989 |

4 | Stochastic Trend and Economic Fluctuations,” Working Paper version - King, Plosser, et al. - 1987 |

2 |
Time Series Analysis and Theory
- Brillinger
- 1975
(Show Context)
Citation Context ... (1 - L)-1(C(L) - C(1)) so that Cj* = -E'=j,I Ci. Because a'C(l) = 0 and a'u = 0, it follows that Zt a'Xt = a'Xo + a'C*(L)GlI2vt. (2.3) With the additional assumption in (2.1) that C(L) is 1summable (=-=Brillinger 1981-=-), C*(L) is absolutely summable and Zt has bounded variance. The cointegrated process Xt has an alternative representation in terms of a reduced number of common random walks plus a stationary compone... |

1 | Testing for Common Trends: Technical Appendix - Stock, Watson - 1988 |