Niels Haldrup : Citation Profile


Are you Niels Haldrup?

Aarhus Universitet

12

H index

17

i10 index

758

Citations

RESEARCH PRODUCTION:

34

Articles

38

Papers

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   25 years (1994 - 2019). See details.
   Cites by year: 30
   Journals where Niels Haldrup has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 37 (4.65 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha155
   Updated: 2021-10-16    RAS profile: 2020-04-13    
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Relations with other researchers


Works with:

Proietti, Tommaso (3)

Rodríguez Caballero, Carlos (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Niels Haldrup.

Is cited by:

Rodríguez Caballero, Carlos (30)

Guillén, Osmani (24)

Darné, Olivier (16)

Nielsen, Morten (15)

Weron, Rafał (13)

Pelagatti, Matteo (12)

Rodrigues, Paulo (11)

Carrion-i-Silvestre, Josep (11)

Grossi, Luigi (11)

Sibbertsen, Philipp (10)

Zarnikau, Jay (10)

Cites to:

Granger, Clive (44)

Phillips, Peter (31)

Perron, Pierre (30)

Engle, Robert (27)

Nielsen, Morten (25)

Johansen, Soren (24)

Franses, Philip Hans (18)

Diebold, Francis (17)

Weron, Rafał (12)

Schmidt, Peter (11)

Taylor, Robert (10)

Main data


Where Niels Haldrup has published?


Journals with more than one article published# docs
Journal of Econometrics7
Journal of Business & Economic Statistics3
Oxford Bulletin of Economics and Statistics2
Economics Letters2
Journal of Applied Econometrics2
Energy Economics2
Journal of Time Series Econometrics2

Working Papers Series with more than one paper published# docs
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego4

Recent works citing Niels Haldrup (2021 and 2020)


YearTitle of citing document
2020Temperature Anomalies, Long Memory, and Aggregation. (2020). Vera-Valdes, Eduardo J. In: CREATES Research Papers. RePEc:aah:create:2020-16.

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2021Cointegrated Solutions of Unit-Root VARs: An Extended Representation Theorem. (2021). Zoia, Maria Grazia ; Faliva, Mario. In: Papers. RePEc:arx:papers:2102.10626.

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2021Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems. (2021). , Peter ; PEter, ; Kheifets, Igor L. In: Papers. RePEc:arx:papers:2108.03486.

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2021Energy trading efficiency in the US Midcontinent electricity markets. (2021). Zarnikau, J ; Woo, C K ; Tsai, C H ; Qi, H S ; Cao, K H. In: Applied Energy. RePEc:eee:appene:v:302:y:2021:i:c:s0306261921008886.

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2021A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts. (2021). Kurita, Takamitsu ; Castle, Jennifer L. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000749.

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2021Time-frequency connectedness between Asian electricity sectors. (2021). TAGHIZADEH-HESARY, Farhad ; Ngo, Thanh ; Naeem, Muhammad Abubakr ; Arif, Muhammad ; Hasan, Mudassar ; Taghizadehhesary, Farhad. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:208-224.

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2020Cross market predictions for commodity prices. (2020). Zhang, Yongmin ; Ding, Shusheng. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:455-462.

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2020Spatial dynamic models with intertemporal optimization: Specification and estimation. (2020). Lee, Lung-Fei ; Jeong, Hanbat. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:1:p:82-104.

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2020Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root. (2020). Tu, Yundong ; Lin, Yingqian. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:52-65.

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2021Consistent inference for predictive regressions in persistent economic systems. (2021). Andersen, Torben ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:215-244.

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2021Bootstrap seasonal unit root test under periodic variation. (2021). Politis, Dimitris N ; Zou, Nan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:1-21.

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2021Fundamental pricing laws and long memory effects in the day-ahead power market. (2021). Biskas, Pandelis N ; Thomaidis, Nikolaos S. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100116x.

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2020Oil price drivers, geopolitical uncertainty and oil exporters currencies. (2020). Akram, Qaisar. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301419.

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2020Volatility spillovers in Australian electricity markets. (2020). Trueck, Stefan ; Truck, Stefan ; Kordzakhia, Nino ; Han, Lin. In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320301225.

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2020A dynamic network analysis of spot electricity prices in the Australian national electricity market. (2020). Truck, Stefan ; Yan, Guan. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303121.

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2021Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components. (2021). Theodossiou, Panayiotis ; Savva, Christos ; Kosmidou, Kyriaki ; Ioannidis, Filippos. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000153.

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2020Determinants of the wholesale prices of energy and ancillary services in the U.S. Midcontinent electricity market. (2020). Zarnikau, Jay ; Woo, C K ; Tsai, C H. In: Energy. RePEc:eee:energy:v:195:y:2020:i:c:s0360544220301584.

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2020A global empirical re-assessment of the Environmental Kuznets curve for deforestation. (2020). Caravaggio, Nicola. In: Forest Policy and Economics. RePEc:eee:forpol:v:119:y:2020:i:c:s1389934120305165.

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2021Gompertz law revisited: Forecasting mortality with a multi-factor exponential model. (2021). Zhu, Wenjun ; Tuljapurkar, Shripad ; Tan, Ken Seng ; Li, Hong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:268-281.

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2020Tracking fiscal discipline. Looking for a PIIGS on the wing. (2020). Neto, David. In: International Economics. RePEc:eee:inteco:v:163:y:2020:i:c:p:147-154.

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2021Public investment and growth: Lessons learned from 60-years experience in Southern Italy. (2021). Papagni, Erasmo ; Alfano, Maria Rosaria ; Baraldi, Anna Laura ; Felice, Emanuele ; Lepore, Amedeo. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:43:y:2021:i:2:p:376-393.

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2020Long memory or regime switching in volatility? Evidence from high-frequency returns on the U.S. stock indices. (2020). Ho, Kin-Yip ; Gao, Guangyuan ; Shi, Yanlin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x18300441.

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2021Have jobs and wages stopped rising? Productivity and structural change in advanced countries. (2021). Valentini, Enzo ; Gentili, Andrea ; Compagnucci, Fabiano ; Gallegati, Mauro. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:56:y:2021:i:c:p:412-430.

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2021Temperature Anomalies, Long Memory, and Aggregation. (2021). Vera-Valdés, J. Eduardo ; Vera-Valdes, Eduardo J. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:1:p:9-:d:509830.

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2021Air Pollution Prediction Using an Ensemble of Dynamic Transfer Models for Multivariate Time Series. (2021). Choi, Dongguen ; Kong, Taewoon ; Lee, Kichun. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:3:p:1367-:d:488684.

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2021Short-term electricity price forecastingmodels comparative analysis : Machine Learning vs. Econometrics. (2021). Lantz, Frederic ; Farnoosh, Arash ; Cohet, Tancrede ; Cazelles, Jerome ; de Certaines, Guillaume ; Ferre, Antoine. In: Working Papers. RePEc:hal:wpaper:hal-03262208.

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2020Optimal Filter Approximations for Latent Long Memory Stochastic Volatility. (2020). Ching, Grace Lee. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:2:d:10.1007_s10614-019-09933-8.

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2020Semi-endogenous versus Schumpeterian growth models: a critical review of the literature and new evidence. (2020). Herzer, Dierk. In: MPRA Paper. RePEc:pra:mprapa:100383.

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2020A Residual-based Test For Multicointegration In Models With Structural Breaks And Threshold Adjustment To Steady State. (2020). Cassim, Lucius. In: MPRA Paper. RePEc:pra:mprapa:101453.

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2020Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries. (2020). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:102315.

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2021Testing for the cointegration rank between Periodically Integrated processes. (2021). del Barrio Castro, Tomás. In: MPRA Paper. RePEc:pra:mprapa:106603.

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2021Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina. In: Working Papers. RePEc:ptu:wpaper:w202102.

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2021Forecasting Electricity Prices with Expert, Linear and Non-Linear Models. (2021). Ravazzolo, Francesco ; del Grosso, Filippo ; Gianfreda, Angelica ; Bille, Anna Gloria. In: Working Paper series. RePEc:rim:rimwps:21-20.

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2020Forecasting daily spot prices in the Russian electricity market with the ARFIMA model. (2020). Balagula, Yuri. In: Applied Econometrics. RePEc:ris:apltrx:0389.

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2021The fundamental drivers of electricity price: a multi-scale adaptive regression analysis. (2021). Gilenko, Evgeniy V ; Fedorova, Elena A ; Afanasyev, Dmitriy O. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:4:d:10.1007_s00181-020-01825-3.

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2021Heterogeneity of fiscal adjustments in EU economies in the pre- and post-crisis periods: common correlated effects approach. (2021). Pucar, Emilija Beker ; Glavaki, Olgica. In: Eurasian Economic Review. RePEc:spr:eurase:v:11:y:2021:i:1:d:10.1007_s40822-020-00164-z.

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2020Pitfalls in long memory research. (2020). , Chandrashekhar ; Madhavan, Vinodh ; Saha, Kunal ; McMillan, David ; Shekhar, Chandra. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:8:y:2020:i:1:p:1733280.

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2021Mapping US presidential terms with S&P500 index: Time series analysis approach. (2021). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Mudida, Robert ; Osuolale, Kazeem A ; Gilalana, Luis A. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:1938-1954.

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2021Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:5:p:544-565.

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2020On long memory origins and forecast horizons. (2020). Veravaldes, Eduardo J. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:5:p:811-826.

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Niels Haldrup has edited the books:


YearTitleTypeCited

Works by Niels Haldrup:


YearTitleTypeCited
2000On the Robustness of Unit Root Tests in the Presence of Double Unit Roots In: Economics Working Papers.
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paper8
2002On the Robustness of Unit Root Tests in the Presence of Double Unit Roots.(2002) In: Journal of Time Series Analysis.
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This paper has another version. Agregated cites: 8
article
2000On the Robustness of Unit Root Tests in the Presence of Double Unit Roots.(2000) In: University of California at San Diego, Economics Working Paper Series.
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This paper has another version. Agregated cites: 8
paper
2000Local Power Functions of Tests for Double Unit Roots In: Economics Working Papers.
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paper7
2005Local power functions of tests for double unit roots.(2005) In: Statistica Neerlandica.
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This paper has another version. Agregated cites: 7
article
2000Local Power Functions of Tests for Double Unit Roots.(2000) In: University of California at San Diego, Economics Working Paper Series.
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This paper has another version. Agregated cites: 7
paper
2000Measurement Errors and Outliers in Seasonal Unit Root Testing In: Economics Working Papers.
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paper5
2000Measurement Errors and Outliers in Seasonal Unit Root Testing.(2000) In: University of California at San Diego, Economics Working Paper Series.
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This paper has another version. Agregated cites: 5
paper
2005Measurement errors and outliers in seasonal unit root testing.(2005) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 5
article
2002Long-run forecasting in multicointegrated systems In: Economics Working Papers.
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paper10
2003Long-Run Forecasting in Multicointegrated Systems.(2003) In: Discussion Papers of DIW Berlin.
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This paper has another version. Agregated cites: 10
paper
2002Long-Run Forecasting in Multicointegrated Systems.(2002) In: Finance Working Papers.
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This paper has another version. Agregated cites: 10
paper
2004Long-run forecasting in multicointegrated systems.(2004) In: Journal of Forecasting.
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This paper has another version. Agregated cites: 10
article
2003Estimation of Fractional Integration in the Presence of Data Noise In: Economics Working Papers.
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paper37
2007Estimation of fractional integration in the presence of data noise.(2007) In: Computational Statistics & Data Analysis.
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This paper has another version. Agregated cites: 37
article
2003Empirical analysis of price data in the delineation of the relevant geographical market in competition analysis In: Economics Working Papers.
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paper12
2004Testing for Additive Outliers in Seasonally Integrated Time Series In: Economics Working Papers.
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paper0
2005Testing for Additive Outliers in Seasonally Integrated Time Series.(2005) In: DEA Working Papers.
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This paper has another version. Agregated cites: 0
paper
2004A Regime Switching Long Memory Model for Electricity Prices In: Economics Working Papers.
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paper124
2006A regime switching long memory model for electricity prices.(2006) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 124
article
2005Improving Size and Power in Unit Root Testing In: Economics Working Papers.
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paper4
2005Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data In: Economics Working Papers.
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paper8
2007Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data.(2007) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 8
article
2005Sequential versus simultaneous market delineation: The relevant antitrust market for salmon In: Economics Working Papers.
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paper2
2008SEQUENTIAL VERSUS SIMULTANEOUS MARKET DELINEATION: THE RELEVANT ANTITRUST MARKET FOR SALMON.(2008) In: Journal of Competition Law and Economics.
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This paper has another version. Agregated cites: 2
article
2005Sequential Versus Simultaneous Market Delineation: The Relevant Antitrust Market for Salmon.(2005) In: Working Paper series, University of East Anglia, Centre for Competition Policy (CCP).
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This paper has another version. Agregated cites: 2
paper
2005Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices In: Economics Working Papers.
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paper86
2006Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices.(2006) In: Studies in Nonlinear Dynamics & Econometrics.
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This paper has another version. Agregated cites: 86
article
2006A Note on the Vogelsang Test for Additive Outliers In: Economics Working Papers.
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paper4
2008A note on the Vogelsang test for additive outliers.(2008) In: Statistics & Probability Letters.
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This paper has another version. Agregated cites: 4
article
2006A Gaussian IV estimator of cointegrating relations In: Economics Working Papers.
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paper2
2007A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching In: CREATES Research Papers.
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paper47
2010A vector autoregressive model for electricity prices subject to long memory and regime switching.(2010) In: Energy Economics.
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article
2009A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching.(2009) In: Working Paper.
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paper
2009Detection of additive outliers in seasonal time series In: CREATES Research Papers.
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paper1
2011Detection of Additive Outliers in Seasonal Time Series.(2011) In: Journal of Time Series Econometrics.
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This paper has another version. Agregated cites: 1
article
2012Unit roots, nonlinearities and structural breaks In: CREATES Research Papers.
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2013Unit roots, non-linearities and structural breaks.(2013) In: Chapters.
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This paper has another version. Agregated cites: 4
chapter
2014Discriminating between fractional integration and spurious long memory In: CREATES Research Papers.
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paper9
2014Deterministic and stochastic trends in the Lee-Carter mortality model In: CREATES Research Papers.
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paper3
2016Deterministic and stochastic trends in the Lee–Carter mortality model.(2016) In: Applied Economics Letters.
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This paper has another version. Agregated cites: 3
article
2015Space-time modeling of electricity spot prices In: CREATES Research Papers.
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paper0
2017Space-time modeling of electricity spot prices.(2017) In: The Energy Journal.
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This paper has another version. Agregated cites: 0
article
2015Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads In: CREATES Research Papers.
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paper6
2016Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads.(2016) In: Energy Economics.
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This paper has another version. Agregated cites: 6
article
2015Long Memory, Fractional Integration, and Cross-Sectional Aggregation In: CREATES Research Papers.
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paper8
2017Long memory, fractional integration, and cross-sectional aggregation.(2017) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 8
article
2016A generalized exponential time series regression model for electricity prices In: CREATES Research Papers.
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paper3
2017Spikes and memory in (Nord Pool) electricity price spot prices In: CREATES Research Papers.
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paper0
2017Spikes and memory in (Nord Pool) electricity price spot prices.(2017) In: CEIS Research Paper.
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paper
2018A Parametric Factor Model of the Term Structure of Mortality In: CREATES Research Papers.
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paper2
2019A Parametric Factor Model of the Term Structure of Mortality.(2019) In: Econometrics.
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This paper has another version. Agregated cites: 2
article
1994Semiparametric Tests for Double Unit Roots. In: Journal of Business & Economic Statistics.
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article11
1994The Effects of Additive Outliers on Tests for Unit Roots and Cointegration. In: Journal of Business & Economic Statistics.
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article119
1998An Econometric Analysis of I(2) Variables In: Journal of Economic Surveys.
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article37
1997Separation in Cointegrated Systems and Persistent-Transitory Decompositions. In: Oxford Bulletin of Economics and Statistics.
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article22
2003Guest Editors’ Introduction: Model Selection and Evaluation in Econometrics In: Oxford Bulletin of Economics and Statistics.
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article0
2011Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors Introduction In: Journal of Time Series Econometrics.
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article0
2000Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach In: University of California at San Diego, Economics Working Paper Series.
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paper0
1999Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach.(1999) In: Tinbergen Institute Discussion Papers.
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1996Multicointegration and present value relations In: DES - Working Papers. Statistics and Econometrics. WS.
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paper0
2002REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES In: Econometric Theory.
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article10
1995A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence In: Economics Letters.
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article14
1997Testing for multicointegration In: Economics Letters.
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article34
1994The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables In: Journal of Econometrics.
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article55
1996Mirror image distributions and the Dickey-Fuller regression with a maintained trend In: Journal of Econometrics.
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article5
1997Multiple unit roots in periodic autoregression In: Journal of Econometrics.
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article12
1998Representations of I(2) cointegrated systems using the Smith-McMillan form In: Journal of Econometrics.
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article7
1997Money demand, adjustment costs, and forward-looking behavior In: Journal of Policy Modeling.
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article6
2005Sequential versus simultaneous market In: Working Papers.
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paper0
1999Estimating the LQAC Model with I(2) Variables. In: Journal of Applied Econometrics.
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article13
1994The Linear Quadratic Adjustment Cost Model and the Demand for Labour. In: Journal of Applied Econometrics.
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article16
2010Separation in Cointegrated Systems In: Journal of Financial Econometrics.
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article4

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