This paper provides an updated survey of a burgeoning literature on testing, estimation and
model specification in the presence of integrated variables. Integrated variables are a …

This paper provides a theoretical overview of Wald tests for Granger causality in levels
vector autoregressions (VAR's) and Johansen-type error correction models (ECM's). The …

Many papers have over the last few years been devoted to the estitnation and testing of long-
run relations under the heading of cointegration. Granger (1981), Granger and Weiss …

Since the notion of cointegration was established by Engel and Granger (1987), many
statistical methods have been suggested to estimate and test cointegrated models …

" Now in its fourth edition, this comprehensive introduction to fundamental panel data
methodologies provides insights on what is most essential in panel literature. A capstone to …

When I worked on my Introduction to Multiple Time Series Analysis (Lutk ̈ ̈-pohl (1991)), a
suitable textbook for this? eld was not available. Given the great importance these methods …

Efficient estimators of cointegrating vectors are presented for systems involving deterministic
components and variables of differing, higher orders of integration. The estimators are …

This paper studies the asymptotic properties of instrumental variable (IV) estimates of
multivariate cointegrating regressions and allows for deterministic and stochastic regressors …

This paper employs response surface regressions based on simulation experiments to
calculate asymptotic distribution functions for the Johansen‐type likelihood ratio tests for …

This paper is an introduction to unit root econometrics as applied in macroeconomics. The
paper first discusses univariate time series analysis, emphasizing the following topics …