References
- Bahmani-Oskooee , M. and Alse , J. 1993 . Export growth and economic growth: an application of cointegration and error correction modelling . The Journal of Developing Areas , 27 : 535 – 542 .
- Dickey , D. A. and Fuller , W. A. 1981 . Likelihood ratio statistics for autoregressive time series with a unit root . Econometrica , 49 : 1057 – 1072 .
- Engle , R. F. 1987 . On the theory of cointegrated economic time series , San Diego, , USA : University of California .
- Engle , R. and Granger , C. 1987 . Cointegration and error correction: representation, estimation and testing . Econometrica , 55 : 251 – 276 .
- Hansen , B. E. and Phillips , P. C. B. 1990 . “ Estimation and inference in models of cointegration: a simulation study ” . In Advances in Econometrics: Cointegration, Spurious Regression and Unit Roots , Edited by: Fomby , T. B. and Rhodes , G. F. Jr. Vol 8 , USA : Jai Press Inc .
- Hargreaves , C. A review of methods of estimating cointegrated relationships . EMBA Conference . Port Douglas
- Kwiatkowski , D. , Phillips , P. C. B. , Schmidt , P. and Shin , Y. 1992 . Testing the null hypothesis of stationarity against the alternative of a unit root . Journal of Econometrics , 54 : 159 – 178 .
- McFarland , J. W. , McMahon , P. C. and Ngama , Y. 1992 . Forward exchange rates and expectations during the 1920's: a reexamination of the evidence , LA, , USA : A. B. Freeman School of Business, Tulane University .
- Park , J. Y. and Phillips , P. C. B. 1988 . Statistical inference in regressions with integrated processes: Part 1 . Econometric Theory , 4 : 468 – 498 .
- Perron , P. 1988 . Trends and random walks in macroeconomic time series . Journal of Economic Dynamics and Control , 12 : 297 – 332 .
- Phillips , P. C. B. and Hansen , B. E. 1990 . Statistical inference in instrumental variables regression with I(1) processes . The Review of Economic Studies , 57 : 99 – 125 .
- Philips , P. C. B. and Ouliaris , S. 1990 . Asymptotic properties of residual based tests of cointegration . Econometrica , 58 : 165 – 193 .
- Phillips , P. C. B. and Perron , P. 1988 . Testing for a unit root in time series regression . Biometrica , 75 : 335 – 346 .