Forecasting and testing in co-integrated systems

Journal of Econometrics

Volumn 35, Issue 1, 1987, Pages 143-159

  Engle, Robert F ^a   Yoo, Byung Sam ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 45949119851     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(87)90085-6     Document Type: Article

References (20)

1. A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle
2. Distribution of estimates for autoregressive time series with unit root
3. Cointegration and error correction Representation estimation and testing
4. Some properties of time series data and their use in econometric model specification
5. Cointegrated variables and error-correcting models
6. Developments in the study of cointegrated economic variables
7. Time series analysis of error-correcting models
8. Forecasting with Bayesian vector autoregressions: Five years of experience
9. Time series regression with unit roots
10. Understanding spurious regressions in econometrics
11. Multiple time series regression with integrated processes
12. Testing for unit roots in autoregressive-moving average models of unknown order
13. Macroeconomics and reality
14. Univariate detrending methods with stochastic trends
15. The limiting distribution of the serial correlation coefficient in the explosive case