Dergiler / Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 1998 / Sayı: 13

STATIONARITY AND COINTEGRATİON TESTS: COMPARISON OF ENGLE -GRANGER AND JOHANSEN METHODOLOGIES

Sayfa
131–141
Yayın Tarihi
1998-12-31
DOI
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Bu Makaleye Atıf Yap

Bilgili, F. (1998). STATIONARITY AND COINTEGRATİON TESTS: COMPARISON OF ENGLE -GRANGER AND JOHANSEN METHODOLOGIES. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Sayı: 13, 131–141. https://ajindex.com/articles/119145

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Kaynakça (11)

  1. Dickey, David A. and Jansen W. Dennis, Thornton L. Daniel, "A Primer On Cointegration with an Application to Money and Income," Federal Reserve Bank of St. Louis, March/April 1991.
  2. Enders, VValter, Applied Econometric Time Series, John Wiley & Sons, İne. New York, 1995.
  3. Engle, R. and C. Granger, "Cointegration and Error Correction: Representation, Estimation, and Testing," İn Engle and Granger (eds.), Long Run Economic Readings in Cointegration, Oxford University Press New York 1991 81-113. - ’ ’
  4. Engle, R. and Yoo Sam, "Forecasting and Testing in Co-integrated Systems," İn Engle and Granger (eds.), Long Run Economic'Relationships. Readings in Cointegration, Oxford University Press, New York, 1991, 237-67.
  5. Granger, Clive, "Developments in The Study of Cointegrated Economic Variables, İn Engle and Granger (eds.), Long Run Economic Relationships. Readings in Cointegration, Oxford University Press, New York, 1991,65-81.
  6. Granger, Clive and P. Newbold, "Spurious Regressions in Econometrics" Journal of Econometrics, 2 (1974), 111-20.
  7. Hamilton, James D,Time Series Analysis, Princeton University Press, Princeton, New Jersey, 1994.
  8. Hargreaves, Colin, "A Review of Methods of Estimating Cointegrating Relationships," İn Colin P. Hargreaves (ed.), Nonstationary Time Series Analysis and Cointegration, Oxford University Press, New York, 1994, 87-133.
  9. Johansen, S^ren, "Statistical Analysis of Cointegration Vectors," Journal of Economic Dynamics and Control, 12 (1988), 231-254
  10. Johansen, S.and K. Juselius, "Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money," Oxford Bulletin of Economics and Statistics, 52 (1990), 169-209.
  11. Phillips, Peter, "Understanding Spurious Regressions in Econometrics" Journal of Econometrics, 33 (1986), 311-40.