Donald Stephen Poskitt : Citation Profile


Are you Donald Stephen Poskitt?

Monash University

8

H index

6

i10 index

299

Citations

RESEARCH PRODUCTION:

38

Articles

43

Papers

RESEARCH ACTIVITY:

   43 years (1978 - 2021). See details.
   Cites by year: 6
   Journals where Donald Stephen Poskitt has often published
   Relations with other researchers
   Recent citing documents: 27.    Total self citations: 36 (10.75 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppo408
   Updated: 2021-10-16    RAS profile: 2021-09-07    
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Relations with other researchers


Works with:

Yao, Wenying (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Donald Stephen Poskitt.

Is cited by:

Lütkepohl, Helmut (25)

Kapetanios, George (22)

Dufour, Jean-Marie (15)

Vavra, Marian (11)

Eisenstat, Eric (9)

Chan, Joshua (9)

Psaradakis, Zacharias (8)

Garcia-Hiernaux, Alfredo (8)

Marcellino, Massimiliano (7)

Inoue, Atsushi (7)

Jerez, Miguel (7)

Cites to:

Phillips, Peter (25)

Lütkepohl, Helmut (14)

Nelson, Charles (13)

Startz, Richard (13)

Bollerslev, Tim (11)

Stock, James (10)

Vahid, Farshid (10)

Athanasopoulos, George (10)

Diebold, Francis (9)

Engle, Robert (8)

Nielsen, Morten (8)

Main data


Where Donald Stephen Poskitt has published?


Journals with more than one article published# docs
Journal of Time Series Analysis8
Journal of Econometrics5
Econometric Theory5
International Journal of Forecasting3
Econometrics Journal2
Journal of Multivariate Analysis2
Journal of Business & Economic Statistics2
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics35
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes3

Recent works citing Donald Stephen Poskitt (2021 and 2020)


YearTitle of citing document
2020Revisiting empirical studies on the liquidity effect: An identication-robust approach. (2020). Masson, Virginie ; Doko Tchatoka, Firmin ; Slinger, Lauren. In: School of Economics Working Papers. RePEc:adl:wpaper:2020-02.

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2021Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04346.

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2021Weak Identification in Discrete Choice Models. (2020). Renault, Eric ; Frazier, David T ; Zhao, Xueyan ; Zhang, Lina. In: Papers. RePEc:arx:papers:2011.06753.

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2021Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable. (2021). Lee, Dongjin. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:2:p:212-229.

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2020Robust estimation of stationary continuous‐time arma models via indirect inference. (2020). Kimmig, Sebastian ; Fasenhartmann, Vicky. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:620-651.

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2021Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks. (2021). Sorge, Marco M ; Angelini, Giovanni. In: Working Papers. RePEc:bol:bodewp:wp1160.

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2021Body tail adaptive kernel density estimation for nonnegative heavy-tailed data. (2021). Smail, Adjabi ; Nabil, Zougab ; Yasmina, Ziane. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:27:y:2021:i:1:p:57-69:n:3.

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2020An Indirect Proof for the Asymptotic Properties of VARMA Model Estimators. (2020). Melard, Guy. In: Working Papers ECARES. RePEc:eca:wpaper:2013/304272.

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2020On the inflation risks embedded in sovereign bond yields. (2020). Camba-Mendez, Gonzalo. In: Working Paper Series. RePEc:ecb:ecbwps:20202423.

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2020(Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models. (2020). Mayer, Alexander. In: Economics Letters. RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520302184.

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2020Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: Invariance and finite-sample distributional theory. (2020). Dufour, Jean-Marie ; Tchatoka, Firmin Doko. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:390-418.

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2020High-dimensional predictive regression in the presence of cointegration. (2020). Anderson, Heather ; Yao, Wenying ; Seo, Myung Hwan ; Koo, Bonsoo. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:456-477.

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2020Risk appetite and oil prices. (2020). Idilbi-Bayaa, Yasmeen ; Qadan, Mahmoud. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303901.

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2021The role of marketing channels in consumers’ promotional point redemption decisions. (2021). Li, Chen ; Kim, Junhee ; Swaminathan, Srinivasan. In: Journal of Business Research. RePEc:eee:jbrese:v:125:y:2021:i:c:p:314-323.

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2020Model specification and selection for multivariate time series. (2020). Bhansali, Rajendra J. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:175:y:2020:i:c:s0047259x18303762.

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2020Understanding the adoption of climate-smart agriculture: A farm-level typology with empirical evidence from southern Malawi. (2020). Miller, Daniel C ; McNamara, Paul E ; Amadu, Festus O. In: World Development. RePEc:eee:wdevel:v:126:y:2020:i:c:s0305750x19303407.

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2020Frequency Domain Local Bootstrap in long memory time series. (2020). Arteche, Josu. In: BILTOKI. RePEc:ehu:biltok:48980.

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2020A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing. (2020). de Matos, Patrick ; Matuschek, Lukas ; Bauer, Dietmar ; Wagner, Martin. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:4:p:42-:d:442543.

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2021Flood Insurance Market Penetration and Expectations of Disaster Assistance. (2021). Petrolia, Daniel ; Turner, Dylan ; Landry, Craig E. In: Environmental & Resource Economics. RePEc:kap:enreec:v:79:y:2021:i:2:d:10.1007_s10640-021-00565-x.

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2021On the Power Curves of the Conditional Likelihood Ratio and Related Tests for Instrumental Variables Regression with Weak Instruments. (2020). Windmeijer, Frank ; Van de Sijpe, Nicolas. In: Economics Papers. RePEc:nuf:econwp:2009.

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2020Singular spectrum analysis for modelling the hard-to-model risk factors. (2020). Berenguer, Andres ; Arevalo, Alvaro ; Gandarias, Luis. In: Risk Management. RePEc:pal:risman:v:22:y:2020:i:3:d:10.1057_s41283-020-00060-5.

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2020Assessing distributional properties of forecast errors for fan-chart modelling. (2020). Vavra, Marian. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:6:d:10.1007_s00181-019-01726-0.

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2021Monitoring memory parameter change-points in long-memory time series. (2021). Li, Fuxiao ; Xiao, Yanting ; Chen, Zhanshou. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:5:d:10.1007_s00181-020-01840-4.

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2021Prediction of dissolved oxygen, biochemical oxygen demand, and chemical oxygen demand using hydrometeorological variables: case study of Selangor River, Malaysia. (2021). Yaseen, Zaher Mundher ; Shahid, Shamsuddin ; Beyaztas, Ufuk ; Alakili, Intisar ; Salih, Sinan Q. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:23:y:2021:i:5:d:10.1007_s10668-020-00927-3.

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Testing for boundary conditions in case of fractionally integrated processes. (2020). Magrini, Stefano ; Gerolimetto, Margherita. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:29:y:2020:i:2:d:10.1007_s10260-019-00474-w.

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2020A Method for Predicting Long-Term Municipal Water Demands Under Climate Change. (2020). Hashim, Khalid ; Ahmed, Maytham S ; Gharghan, Sadik K ; Abdellatif, Mawada ; Alkhaddar, Rafid M ; Kot, Patryk ; Ortega-Martorell, Sandra ; Zubaidi, Salah L. In: Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA). RePEc:spr:waterr:v:34:y:2020:i:3:d:10.1007_s11269-020-02500-z.

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2021Weak Identification in Discrete Choice Models. (2021). Zhao, Xueyan ; Zhang, Lina ; Renault, Eric ; Frazier, David T. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1336.

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Works by Donald Stephen Poskitt:


YearTitleTypeCited
2020Decomposing Identification Gains and Evaluating Instrument Identification Power for Partially Identified Average Treatment Effects In: Papers.
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paper0
2020Decomposing Identification Gains and Evaluating Instrument Identification Power for Partially Identified Average Treatment Effects.(2020) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 0
paper
1996Specification of Echelon-Form VARMA Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article40
1993Specification of echelon form VARMA models..(1993) In: Statistic und Oekonometrie.
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This paper has another version. Agregated cites: 40
paper
2000Strongly Consistent Determination of Cointegrating Rank via Canonical Correlations. In: Journal of Business & Economic Statistics.
[Citation analysis]
article12
1999Double?blind deconvolution: the analysis of post?synaptic currents in nerve cells In: Journal of the Royal Statistical Society Series B.
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article0
1990SOME PROPERTIES OF AUTOREGRESSIVE ESTIMATES FOR PROCESSES WITH MIXED SPECTRA In: Journal of Time Series Analysis.
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article0
2005A Note on the Specification and Estimation of ARMAX Systems In: Journal of Time Series Analysis.
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article1
2008Properties of the Sieve Bootstrap for Fractionally Integrated and Non?Invertible Processes In: Journal of Time Series Analysis.
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article23
2006Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes.(2006) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 23
paper
1981A TIME SERIES APPLICATION OF THE USE OF MONTE CARLO METHODS TO COMPARE STATISTICAL TESTS In: Journal of Time Series Analysis.
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article1
2013Moment tests for window length selection in singular spectrum analysis of short– and long–memory processes In: Journal of Time Series Analysis.
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article3
2011Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short- and Long-Memory Processes.(2011) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 3
paper
2015Bias Correction of Persistence Measures in Fractionally Integrated Models In: Journal of Time Series Analysis.
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article0
2013Bias Correction of Persistence Measures in Fractionally Integrated Models.(2013) In: Monash Econometrics and Business Statistics Working Papers.
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paper
2014Bias Correction of Persistence Measures in Fractionally Integrated Models.(2014) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 0
paper
2020On Singular Spectrum Analysis And Stepwise Time Series Reconstruction In: Journal of Time Series Analysis.
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article0
1986SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS In: Journal of Time Series Analysis.
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article1
1994A Note on Autoregressive Modeling In: Econometric Theory.
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article5
1996Testing for Causation Using Infinite Order Vector Autoregressive Processes In: Econometric Theory.
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article40
2006ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS In: Econometric Theory.
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article2
2017BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP In: Econometric Theory.
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article1
1991Estimating Orthogonal Impulse Responses via Vector Autoregressive Models In: Econometric Theory.
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article32
1978Approximating the Exact Finite Sample Distribution of a Spectral Estimator. In: Econometrica.
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article0
2009Assessing the magnitude of the concentration parameter in a simultaneous equations model In: Econometrics Journal.
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article4
2004Assessing the Magnitude of the Concentration Parameter in a Simultaneous Equations Model.(2004) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 4
paper
2004Determination of cointegrating rank in partially non-stationary processes via a generalised von-Neumann criterion In: Econometrics Journal.
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article4
2012Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions In: Computational Statistics & Data Analysis.
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article6
2010Bayesian Adaptive Bandwidth Kernel Density Estimation of Irregular Multivariate Distributions.(2010) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 6
paper
2013Description length and dimensionality reduction in functional data analysis In: Computational Statistics & Data Analysis.
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article3
2009Description Length and Dimensionality Reduction in Functional Data Analysis.(2009) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 3
paper
2021Bayesian estimation for a semiparametric nonlinear volatility model In: Economic Modelling.
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article0
2008Conceptual frameworks and experimental design in simultaneous equations In: Economics Letters.
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article2
2007Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small In: Journal of Econometrics.
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article0
2015Higher-order improvements of the sieve bootstrap for fractionally integrated processes In: Journal of Econometrics.
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article2
2012Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes.(2012) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 2
paper
2013Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes.(2013) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 2
paper
2016Vector autoregressive moving average identification for macroeconomic modeling: A new methodology In: Journal of Econometrics.
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article6
2019The bivariate probit model, maximum likelihood estimation, pseudo true parameters and partial identification In: Journal of Econometrics.
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article9
2016The Bivariate Probit Model, Maximum Likelihood Estimation, Pseudo True Parameters and Partial Identification.(2016) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 9
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2020Issues in the estimation of mis-specified models of fractionally integrated processes In: Journal of Econometrics.
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article0
2014Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes.(2014) In: Monash Econometrics and Business Statistics Working Papers.
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2018Issues in the estimation of mis-specified models of fractionally integrated processes.(2018) In: Monash Econometrics and Business Statistics Working Papers.
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2003On the specification of cointegrated autoregressive moving-average forecasting systems In: International Journal of Forecasting.
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article6
1986The selection and use of linear and bilinear time series models In: International Journal of Forecasting.
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article7
2017Forecasting stochastic processes using singular spectrum analysis: Aspects of the theory and application In: International Journal of Forecasting.
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article4
1990Estimation and structure determination of multivariate input output systems In: Journal of Multivariate Analysis.
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article0
1994On the Asymptotic Relative Efficiency of Gaussian and Least Squares Estimators for Vector ARMA Models In: Journal of Multivariate Analysis.
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article0
2002Assessing Instrumental Variable Relevance:An Alternative Measure and Some Exact Finite Sample Theory In: Department of Economics - Working Papers Series.
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paper9
2005Small Concentration Asymptotics and Instrumental Variables Inference In: Department of Economics - Working Papers Series.
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paper3
2005Small Concentration Asymptotics and Instrumental Variables Inference.(2005) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 3
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2004Estimating Components in Finite Mixtures and Hidden Markov Models In: Monash Econometrics and Business Statistics Working Papers.
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paper0
2004Some Results on the Identification and Estimation of Vector ARMAX Processes In: Monash Econometrics and Business Statistics Working Papers.
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paper0
2004Approximating the Distribution of the Instrumental Variables Estimator when the Concentration Parameter is Small. In: Monash Econometrics and Business Statistics Working Papers.
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paper2
2004On The Identification and Estimation of Partially Nonstationary ARMAX Systems In: Monash Econometrics and Business Statistics Working Papers.
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paper0
2005Autoregressive Approximation in Nonstandard Situations: The Non-Invertible and Fractionally Integrated Cases. In: Monash Econometrics and Business Statistics Working Papers.
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2006The Finite-Sample Properties of Autoregressive Approximations of Fractionally-Integrated and Non-Invertible Processes In: Monash Econometrics and Business Statistics Working Papers.
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paper0
2009Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form In: Monash Econometrics and Business Statistics Working Papers.
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paper5
2012Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form.(2012) In: Econometric Reviews.
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This paper has another version. Agregated cites: 5
article
2009Vector Autoregresive Moving Average Identification for Macroeconomic Modeling: Algorithms and Theory In: Monash Econometrics and Business Statistics Working Papers.
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paper1
2010Description Length Based Signal Detection in singular Spectrum Analysis In: Monash Econometrics and Business Statistics Working Papers.
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paper1
2010Dual P-Values, Evidential Tension and Balanced Tests In: Monash Econometrics and Business Statistics Working Papers.
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paper0
2011Window Length Selection and Signal-Noise Separation and Reconstruction in Singular Spectrum Analysis In: Monash Econometrics and Business Statistics Working Papers.
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paper2
2012VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors In: Monash Econometrics and Business Statistics Working Papers.
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paper4
2012Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap In: Monash Econometrics and Business Statistics Working Papers.
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2014Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap.(2014) In: Monash Econometrics and Business Statistics Working Papers.
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2014Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations In: Monash Econometrics and Business Statistics Working Papers.
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2016Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations.(2016) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 2
article
2014On The Theory and Practice of Singular Spectrum Analysis Forecasting In: Monash Econometrics and Business Statistics Working Papers.
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2016Singular Spectrum Analysis of Grenander Processes and Sequential Time Series Reconstruction In: Monash Econometrics and Business Statistics Working Papers.
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2017Construction and visualization of optimal confidence sets for frequentist distributional forecasts In: Monash Econometrics and Business Statistics Working Papers.
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2019Binary Outcomes, OLS, 2SLS and IV Probit In: Monash Econometrics and Business Statistics Working Papers.
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2019Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach In: Monash Econometrics and Business Statistics Working Papers.
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paper0
2020On GMM Inference: Partial Identification, Identification Strength, and Non-Standard In: Monash Econometrics and Business Statistics Working Papers.
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paper0
2013Inference in the Presence of Weak Instruments: A Selected Survey In: Foundations and Trends(R) in Econometrics.
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article4
2007Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases In: Annals of the Institute of Statistical Mathematics.
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article19
2017Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy In: Journal of Business & Economic Statistics.
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article8
2014Forecasting with EC-VARMA models In: Working Papers.
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paper0
1995Consistent Specification of Cointegrated Autoregressive Moving-Average Systems In: SFB 373 Discussion Papers.
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paper8
1996The Analysis of Cointegrated Autoregressive Moving-Average Systems In: SFB 373 Discussion Papers.
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paper1
1996Consistent Estimation of the Number of Cointegration Relations in a Vector Autoregressive Model In: SFB 373 Discussion Papers.
[Citation analysis]
paper8

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