User’s Guide : Advanced Multivariate Analysis : Cointegration Testing : References
Boswijk, H. Peter (1995). “Identifiability of Cointegrated Systems,” Technical Report, Tinbergen Institute.
Engle, Robert F. and C. W. J. Granger (1987). “Co-integration and Error Correction: Representation, Estimation, and Testing,” Econometrica, 55, 251–276.
Fisher, R. A. (1932). Statistical Methods for Research Workers, 4th Edition, Edinburgh: Oliver & Boyd.
Hamilton, James D. (1994). Time Series Analysis, Princeton: Princeton University Press.
Johansen, Søren (1991). “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models,” Econometrica, 59, 1551–1580.
Johansen, Søren (1995). Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford: Oxford University Press.
Johansen, Søren and Katarina Juselius (1990). “Maximum Likelihood Estimation and Inferences on Cointegration—with applications to the demand for money,” Oxford Bulletin of Economics and Statistics, 52, 169–210.
Kao, Chinwa D. (1999). “Spurious Regression and Residual-Based Tests for Cointegration in Panel Data,” Journal of Econometrics, 90, 1–44.
MacKinnon, James G. (1996). “Numerical Distribution Functions for Unit Root and Cointegration Tests,” Journal of Applied Econometrics, 11, 601-618.
MacKinnon, James G., Alfred A. Haug, and Leo Michelis (1999), “Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration,” Journal of Applied Econometrics, 14, 563-577.
Maddala, G. S. and S. Wu (1999). “A Comparative Study of Unit Root Tests with Panel Data and A New Simple Test,” Oxford Bulletin of Economics and Statistics, 61, 631–52.
Osterwald-Lenum, Michael (1992). “A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics,” Oxford Bulletin of Economics and Statistics, 54, 461–472.
Pedroni, P. (1999). “Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors,” Oxford Bulletin of Economics and Statistics, 61, 653–70.
Pedroni, P. (2004). “Panel Cointegration; Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis,” Econometric Theory, 20, 597–625.