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

Yıl 1998, Sayı: 13, 131 – 141, 31.12.1998

Faik BİLGİLİ

Öz

      

Anahtar Kelimeler

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

Kaynakça

  • 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.
  • Enders, VValter, Applied Econometric Time Series, John Wiley & Sons, İne. New York, 1995.
  • 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. – ’ ’
  • 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.
  • 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.
  • Granger, Clive and P. Newbold, "Spurious Regressions in Econometrics" Journal of Econometrics, 2 (1974), 111-20.
  • Hamilton, James D,Time Series Analysis, Princeton University Press, Princeton, New Jersey, 1994.
  • 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.
  • Johansen, S^ren, "Statistical Analysis of Cointegration Vectors," Journal of Economic Dynamics and Control, 12 (1988), 231-254
  • 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.
  • Phillips, Peter, "Understanding Spurious Regressions in Econometrics" Journal of Econometrics, 33 (1986), 311-40.

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

Yıl 1998, Sayı: 13, 131 – 141, 31.12.1998

Faik BİLGİLİ

Öz

    

Anahtar Kelimeler

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

Kaynakça

  • 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.
  • Enders, VValter, Applied Econometric Time Series, John Wiley & Sons, İne. New York, 1995.
  • 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. – ’ ’
  • 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.
  • 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.
  • Granger, Clive and P. Newbold, "Spurious Regressions in Econometrics" Journal of Econometrics, 2 (1974), 111-20.
  • Hamilton, James D,Time Series Analysis, Princeton University Press, Princeton, New Jersey, 1994.
  • 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.
  • Johansen, S^ren, "Statistical Analysis of Cointegration Vectors," Journal of Economic Dynamics and Control, 12 (1988), 231-254
  • 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.
  • Phillips, Peter, "Understanding Spurious Regressions in Econometrics" Journal of Econometrics, 33 (1986), 311-40.

Ayrıntılar

Birincil Dil İngilizce
BölümMakaleler
Yazarlar

Faik BİLGİLİ

Yayımlanma Tarihi31 Aralık 1998
Yayımlandığı Sayı Yıl 1998 Sayı: 13

Kaynak Göster

APABİLGİLİ, F. (1998). STATIONARITY AND COINTEGRATİON TESTS: COMPARISON OF ENGLE -GRANGER AND JOHANSEN METHODOLOGIES. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi(13), 131-141.

Download or read online: Click here