Brendan McCabe : Citation Profile


Are you Brendan McCabe?

University of Liverpool

12

H index

13

i10 index

508

Citations

RESEARCH PRODUCTION:

41

Articles

17

Papers

RESEARCH ACTIVITY:

   45 years (1975 - 2020). See details.
   Cites by year: 11
   Journals where Brendan McCabe has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 16 (3.05 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmc192
   Updated: 2020-08-01    RAS profile: 2020-04-19    
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Relations with other researchers


Works with:

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

Is cited by:

Kurozumi, Eiji (20)

Hadri, Kaddour (19)

Carrion-i-Silvestre, Josep (14)

Martin, Gael (10)

lucey, brian (10)

Leybourne, Stephen (9)

Snyder, Ralph (9)

Basher, Syed (8)

Westerlund, Joakim (6)

Tremayne, Andrew (6)

Harvey, David (6)

Cites to:

Martin, Gael (25)

Forbes, Catherine (14)

Bauwens, Luc (12)

Veredas, David (10)

Tremayne, Andrew (7)

Harris, David (6)

Jung, Robert (5)

Leybourne, Stephen (5)

Shephard, Neil (5)

Ploberger, Werner (5)

Winkelmann, Rainer (4)

Main data


Where Brendan McCabe has published?


Journals with more than one article published# docs
Journal of Time Series Analysis8
Econometric Theory6
International Journal of Forecasting5
Economics Letters4
Journal of Business & Economic Statistics4
Statistics & Probability Letters3
Journal of Econometrics2
Empirical Economics2

Working Papers Series with more than one paper published# docs
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics11
Working Papers / University of Liverpool, Department of Economics2
Econometrics / University Library of Munich, Germany2

Recent works citing Brendan McCabe (2020 and 2019)


YearTitle of citing document
2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Grassi, Stefano ; Delle Monache, Davide. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2018Robust Tests for Convergence Clubs. (2018). Yazgan, Ege ; Stengos, Thanasis ; Corrado, Luisa ; Weeks, Melvyn . In: Papers. RePEc:arx:papers:1812.09518.

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2019Detailed study of a moving average trading rule. (2019). Yen, Ju-Yi ; Silva, Christian A ; Ferreira, Fernando F. In: Papers. RePEc:arx:papers:1907.00212.

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2019Focused Bayesian Prediction. (2019). Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:1912.12571.

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2020Generalized Poisson Difference Autoregressive Processes. (2020). Casarin, Roberto ; Robert, Christian P ; Carallo, Giulia. In: Papers. RePEc:arx:papers:2002.04470.

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2020Machine Learning Econometrics: Bayesian algorithms and methods. (2020). Korobilis, Dimitris ; Pettenuzzo, Davide. In: Papers. RePEc:arx:papers:2004.11486.

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2017Bayesian Single Changepoint Estimation in a Parameter-driven Model. (2017). Utazi, Chigozie E. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:44:y:2017:i:3:p:765-779.

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2020Machine Learning Econometrics: Bayesian algorithms and methods. (2020). Pettenuzzo, Davide ; Korobilis, Dimitris. In: Working Papers. RePEc:brd:wpaper:130.

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2018Robust Tests for Convergence Clubs. (2018). Yazgan, Ege ; Stengos, Thanasis ; Corrado, Luisa ; Weeks, M. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1873.

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2017Hybrid Stochastic Local Unit Roots. (2017). Phillips, Peter ; PEter, ; Lieberman, Offer. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2113.

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2019Time variation in inflation persistence: New evidence from modelling US inflation. (2019). Granville, Brigitte ; Zeng, Ning . In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:30-39.

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2020Are unemployment rates in OECD countries stationary? Evidence from univariate and panel unit root tests. (2020). Shahbaz, Muhammad ; Khraief, Naceur ; Heshmati, Almas ; Azam, Muhammad. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818301050.

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2019Testing for randomness in a random coefficient autoregression model. (2019). Horvath, Lajos ; Trapani, Lorenzo. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:338-352.

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2020Hybrid stochastic local unit roots. (2020). Phillips, Peter ; Lieberman, Offer. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:257-285.

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2018Testing the null of difference stationarity against the alternative of a stochastic unit root: A new test based on multivariate STUR. (2018). Muriel, Nelson ; Gonzalez-Farias, Graciela. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:46-62.

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2020The retailed gasoline price in China: Time-series analysis and future trend projection. (2020). Ou, Shiqi ; Bouchard, Jessey ; Przesmitzki, Steven ; He, Xin ; Gao, Zhiming ; Li, Hongwei ; Hao, XU ; Xu, Guoquan ; Lin, Zhenhong. In: Energy. RePEc:eee:energy:v:191:y:2020:i:c:s036054421932239x.

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2017Is the Feldstein-Horioka puzzle still with us? National saving-investment dynamics and international capital mobility: A panel data analysis across EU member countries. (2017). Kouretas, Georgios ; Zarangas, Leonidas ; Stavroyiannis, Stavros ; Drakos, Anastassios A. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:76-88.

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2019A SHARP model of bid–ask spread forecasts. (2019). Pirino, Davide ; Cattivelli, Luca. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1211-1225.

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2020Probabilistic forecasting of heterogeneous consumer transaction–sales time series. (2020). West, Mike ; Helman, Paul ; Berry, Lindsay R. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:552-569.

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2019Bivariate integer-autoregressive process with an application to mutual fund flows. (2019). darolles, serge ; le Fol, Gaelle ; Sun, Ran ; Lu, Yang. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:173:y:2019:i:c:p:181-203.

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2020Bernoulli vector autoregressive model. (2020). Sun, Ying ; Euan, Carolina. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:177:y:2020:i:c:s0047259x19302854.

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2017Modeling the multivariate dynamic dependence structure of commodity futures portfolios. (2017). Paraschiv, Florentina ; Erik, Tom ; Fuss, Roland ; ROLAND FSS, ; Aepli, Matthias D. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:6:y:2017:i:c:p:66-87.

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2017A comparison of two modified stationarity tests. A Monte Carlo study. (2017). Ayuda, María-Isabel ; Ferrer-Perez, H ; Aznar, A. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:134:y:2017:i:c:p:28-36.

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2020Computing probabilities of integer-valued random variables by recurrence relations. (2020). Puig, P ; Baena-Mirabete, S. In: Statistics & Probability Letters. RePEc:eee:stapro:v:161:y:2020:i:c:s0167715220300225.

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2018The Stochastic Stationary Root Model. (2018). Hetland, Andreas. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:39-:d:165046.

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2019Evaluating Approximate Point Forecasting of Count Processes. (2019). Gob, Rainer ; Frahm, Gabriel ; Alwan, Layth C ; Weiss, Christian H ; Homburg, Annika. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:30-:d:246272.

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2020Maximum-Likelihood Estimation in a Special Integer Autoregressive Model. (2020). Jung, Robert ; Tremayne, Andrew R. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:24-:d:368766.

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2020An Alternative Pricing System through Bayesian Estimates and Method of Moments in a Bonus-Malus Framework for the Ghanaian Auto Insurance Market. (2020). Wu, Zhao ; Jacob, Azaare. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:143-:d:380011.

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2020Machine Learning Econometrics: Bayesian algorithms and methods. (2020). Pettenuzzo, Davide ; Korobilis, Dimitris. In: Working Papers. RePEc:gla:glaewp:2020_09.

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2019Bivariate integer-autoregressive process with an application to mutual fund flows. (2019). Sun, Ran ; Lu, Yang ; le Fol, Gaelle ; Darolles, Serge. In: Post-Print. RePEc:hal:journl:halshs-02418967.

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2017Bootstrapping INAR models. (2017). Weiss, Christian ; Jentsch, Carsten. In: Working Papers. RePEc:mnh:wpaper:42881.

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2017Construction and visualization of optimal confidence sets for frequentist distributional forecasts. (2017). Poskitt, Donald ; Perera, Indeewara ; Martin, Gael M ; Harris, David. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-9.

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2020Focused Bayesian Prediction. (2020). Loaiza Maya, Rubén ; Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-1.

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2020Computing Bayes: Bayesian Computation from 1763 to the 21st Century. (2020). Robert, Christian P ; Frazier, David T ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-14.

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2018Testing for strict stationarity in a random coefficient autoregressive model. (2018). Trapani, Lorenzo. In: Discussion Papers. RePEc:not:notgts:18/02.

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2018Testing for randomness in a random coefficient autoregression model. (2018). Horvath, Lajos ; Trapani, Lorenzo. In: Discussion Papers. RePEc:not:notgts:18/03.

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2020Machine Learning Econometrics: Bayesian algorithms and methods. (2020). Pettenuzzo, Davide ; Korobilis, Dimitris. In: MPRA Paper. RePEc:pra:mprapa:100165.

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2020Multivariate GARCH Approaches: case of major sectorial Tunisian stock markets. (2020). Neifar, Malika. In: MPRA Paper. RePEc:pra:mprapa:99658.

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2020Local Projections, Autocorrelation, and Efficiency. (2020). Lusompa, Amaze. In: MPRA Paper. RePEc:pra:mprapa:99856.

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2017Exchange Rate Volatility and Malawi¡¯s Tobacco Exports to The United Kingdom and The United States. (2017). Mwanyungwe, Abel . In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:4:y:2017:i:1:p:149-168.

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2019Robust Tests for Convergence Clubs. (2019). Yazgan, Ege ; Stengos, Thanasis ; Corrado, Luisa ; Weeks, Melvyn . In: CEIS Research Paper. RePEc:rtv:ceisrp:451.

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2019Model-based INAR bootstrap for forecasting INAR(p) models. (2019). Gerolimetto, Margherita ; Bisaglia, Luisa. In: Computational Statistics. RePEc:spr:compst:v:34:y:2019:i:4:d:10.1007_s00180-019-00902-1.

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2017Forecast combination for discrete choice models: predicting FOMC monetary policy decisions. (2017). Vasnev, Andrey ; Pauwels, Laurent L. In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:1:d:10.1007_s00181-016-1080-x.

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2017Hurdle models of repayment behaviour in personal loan contracts. (2017). Jose , ; Mario, . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:2:d:10.1007_s00181-016-1140-2.

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2019The Balassa-Samuelson effect reversed: new evidence from OECD countries. (2019). Gubler, Matthias ; Sax, Christoph . In: Swiss Journal of Economics and Statistics. RePEc:spr:sjecst:v:155:y:2019:i:1:d:10.1186_s41937-019-0029-3.

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2019Mixed Poisson INAR(1) processes. (2019). Barreto-Souza, Wagner. In: Statistical Papers. RePEc:spr:stpapr:v:60:y:2019:i:6:d:10.1007_s00362-017-0912-x.

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2019Predicting China’s Monetary Policy with Forecast Combinations. (2019). Pauwels, Laurent. In: Working Papers. RePEc:syb:wpbsba:2123/20406.

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2017Local power of panel unit root tests allowing for structural breaks. (2017). Tzavalis, Elias ; Karavias, Yiannis. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:10:p:1123-1156.

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2017INAR implementation of newsvendor model for serially dependent demand counts. (2017). Alwan, Layth C ; Weiss, Christian H. In: International Journal of Production Research. RePEc:taf:tprsxx:v:55:y:2017:i:4:p:1085-1099.

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2019Time-Varying Cointegration and the Kalman Filter. (2019). Miller, J. ; Yigit, Taner ; Eroglu, Burak Alparslan. In: Working Papers. RePEc:umc:wpaper:1905.

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2019Validity of Weak-Form Market Efficiency in Central and Eastern European Countries (CEECs): Evidence from Linear and Nonlinear Unit Root Tests. (2019). Levent, Erdas Mehmet. In: Review of Economic Perspectives. RePEc:vrs:reoecp:v:19:y:2019:i:4:p:399-428:n:8.

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Works by Brendan McCabe:


YearTitleTypeCited
1994A Consistent Test for a Unit Root. In: Journal of Business & Economic Statistics.
[Citation analysis]
article111
1996Can Economic Time Series Be Differenced to Stationarity? In: Journal of Business & Economic Statistics.
[Citation analysis]
article53
1999Modified Stationarity Tests with Data-Dependent Model-Selection Rules. In: Journal of Business & Economic Statistics.
[Citation analysis]
article21
2005Panel Stationarity Tests for Purchasing Power Parity With Cross-Sectional Dependence In: Journal of Business & Economic Statistics.
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article55
2011Efficient probabilistic forecasts for counts In: Journal of the Royal Statistical Society Series B.
[Citation analysis]
article13
1980Testing the Constancy of Regression Relationships Over Time Using Least Squares Residuals In: Journal of the Royal Statistical Society Series C.
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article5
1997A Parametric approach to testing the null of cointegration In: Journal of Time Series Analysis.
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article0
2004Analysis of low count time series data by poisson autoregression In: Journal of Time Series Analysis.
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article24
2005Assessing Persistence In Discrete Nonstationary Time-Series Models In: Journal of Time Series Analysis.
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article0
2008Maximum likelihood estimation of higher‐order integer‐valued autoregressive processes In: Journal of Time Series Analysis.
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article8
2013Testing for parameter constancy in non-Gaussian time series In: Journal of Time Series Analysis.
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article0
2013Score statistics for testing serial dependence in count data In: Journal of Time Series Analysis.
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article2
2015DISCRETE TIME SERIES, PROCESSES, AND APPLICATIONS IN FINANCE, by Gilles Zumbach. Springer Finance Series. Published by Springer, Heidelberg, Berlin, 2013. Total number of pages: 315. ISBN: 978-3-642-3 In: Journal of Time Series Analysis.
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article0
2019Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series In: Journal of Time Series Analysis.
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article0
2020Structural Change and the Problem of Phantom Break Locations In: Manchester School.
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article0
1994A Simple Test for Cointegration. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article14
1988Some applications for Basils independence theorem in testing econometric models In: Statistica Neerlandica.
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article0
1995Testing a Time-Series for Difference Stationarity In: Cambridge Working Papers in Economics.
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paper12
1998ON ESTIMATING AN ARMA MODEL WITH AN MA UNIT ROOT In: Econometric Theory.
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article3
2003SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE In: Econometric Theory.
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article21
2006A RESIDUAL-BASED TEST FOR STOCHASTIC COINTEGRATION In: Econometric Theory.
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article3
2007MODIFIED KPSS TESTS FOR NEAR INTEGRATION In: Econometric Theory.
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article7
2008TESTING FOR LONG MEMORY In: Econometric Theory.
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article14
2019SEMIPARAMETRIC INDEPENDENCE TESTING FOR TIME SERIES OF COUNTS AND THE ROLE OF THE SUPPORT In: Econometric Theory.
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article0
2004Testing for Dependence in Non-Gaussian Time Series Data In: Econometric Society 2004 Australasian Meetings.
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paper3
2004Testing for Dependence in Non-Gaussian Time Series Data.(2004) In: Monash Econometrics and Business Statistics Working Papers.
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paper
1983The independence of tests for structural change in regression models In: Economics Letters.
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article6
2017Is MORE LESS? The role of data augmentation in testing for structural breaks In: Economics Letters.
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article0
1987Testing regression models for random effects outliers under elliptical symmetry In: Economics Letters.
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article0
1992A simple test for parameter constancy in a nonlinear time series regression model In: Economics Letters.
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article0
2002Stochastic cointegration: estimation and inference In: Journal of Econometrics.
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article15
1989Misspecification tests in econometrics based on ranks In: Journal of Econometrics.
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article8
2004Forecasting discrete valued low count time series In: International Journal of Forecasting.
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article37
2005Bayesian predictions of low count time series In: International Journal of Forecasting.
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article26
2008Model selection, estimation and forecasting in INAR(p) models: A likelihood-based Markov Chain approach In: International Journal of Forecasting.
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article6
2013Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models In: International Journal of Forecasting.
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article2
2011Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models.(2011) In: Monash Econometrics and Business Statistics Working Papers.
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2019Approximate Bayesian forecasting In: International Journal of Forecasting.
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article7
2018Approximate Bayesian forecasting.(2018) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 7
paper
1993On the moments of certain stochastic integrals In: Statistics & Probability Letters.
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article0
2005Asymptotic properties of CLS estimators in the Poisson AR(1) model In: Statistics & Probability Letters.
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article9
1990An extension of Andersons multiple decision procedure In: Statistics & Probability Letters.
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article0
2020Distributions You Can Count On …But What’s the Point? In: Econometrics.
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article0
2006Conditional Maximum Likelihood Estimation of Higher-Order Integer-Valued Autoregressive Processes In: Working Papers.
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paper0
2018Structural Change and the Problem of Phantom Break Locations In: Working Papers.
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paper0
2003Persistence and Nonstationary Models In: Monash Econometrics and Business Statistics Working Papers.
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paper0
2003Coherent Predictions of Low Count Time Series In: Monash Econometrics and Business Statistics Working Papers.
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paper0
2009Optimal Probabilistic Forecasts for Counts In: Monash Econometrics and Business Statistics Working Papers.
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paper3
2010A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data In: Monash Econometrics and Business Statistics Working Papers.
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paper0
2014Approximate Bayesian Computation in State Space Models In: Monash Econometrics and Business Statistics Working Papers.
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paper2
2016Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models In: Monash Econometrics and Business Statistics Working Papers.
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paper2
2016Data-driven particle Filters for particle Markov Chain Monte Carlo In: Monash Econometrics and Business Statistics Working Papers.
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paper0
2019Forecasting Observables with Particle Filters: Any Filter Will Do! In: Monash Econometrics and Business Statistics Working Papers.
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paper0
1989Testing for Coefficient Constancy in Random Walk Models with Particular Reference to the Initial Value Problem. In: Empirical Economics.
[Citation analysis]
article1
1989A Sequential Approach to Testing for Structural Change in Econometric Models. In: Empirical Economics.
[Citation analysis]
article0
1975Tests for the Severity of Multicollinearity in Regression Analysis: A Comment. In: The Review of Economics and Statistics.
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article3
2003Panel Stationarity Tests with Cross-sectional Dependence In: Econometrics.
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paper6
2003Testing for Stochastic Cointegration and Evidence for Present Value Models In: Econometrics.
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paper6

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 2 2020. Contact: CitEc Team