Concepedia

Recursive Cointegration Tests

Recursive Cointegration Tests is a methodological framework in econometrics that sequentially applies cointegration testing over recursively expanding subsamples of a time series dataset to assess the stability and constancy of long-run equilibrium relationships among non-stationary variables over time.

76

Publications

6.9K

Citations

145

Authors

104

Institutions

Publications per year

2017–2026

17

Parents

Publications

76

ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW

David F. Hendry · Oxford Bulletin of Economics and Statistics · 1986 · 634 citations

, , +10

Some tests for parameter constancy in cointegrated VAR‐models

Henrik Hansen, Søren Johansen · Econometrics Journal · 1999 · 619 citations

, , +17

Electricity consumption, employment and real income in Australia evidence from multivariate Granger causality tests

Paresh Kumar Narayan, Russell Smyth · Energy Policy · 2003 · 609 citations

, , +14

Testing for multiple bubbles: limit theory of real-time detectors: Testing for multiple bubbles

Peter C.B. Phillips, Shuping Shi, Jun Yu · ePrints Soton (University of Southampton) · 2015 · 480 citations

, , +16

Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence

Anindya Banerjee, Robin L. Lumsdaine, James H. Stock · Journal of Business and Economic Statistics · 1992 · 406 citations

, , +13

1–5 of 76

Authors

145

  1. JY
    Jian Yang

    University of Colorado Denver, United States

    5 publications · 278 citations

    5

    h-index

  2. AB
    Anindya Banerjee

    European University Institute, Italy

    3 publications · 972 citations

    3

    h-index

  3. JH
    James H. Stock

    Harvard University, United States

    3 publications · 972 citations

    3

    h-index

  4. DF
    David F. Hendry

    University of Oxford, United Kingdom

    3 publications · 994 citations

    3

    h-index

  5. RL
    Robin L. Lumsdaine

    National Bureau of Economic Research, United States

    3 publications · 972 citations

    3

    h-index

1–5 of 145

Institutions

104

  1. University of Oxford

    Oxford, United Kingdom

    5 h-index

    6 publications

    1.1K citations

  2. Monash University

    Melbourne, Australia

    3 h-index

    5 publications

    1.3K citations

  3. Prairie View A&M University

    Prairie View, United States

    3 h-index

    5 publications

    214 citations

  4. Lancaster University

    Lancaster, United Kingdom

    2 h-index

    5 publications

    217 citations

  5. Eastern Mediterranean University

    Famagusta, Cyprus

    2 h-index

    2 publications

    85 citations

  6. Harvard University

    Cambridge, United States

    2 h-index

    2 publications

    566 citations

  7. University of Southampton

    Southampton, United Kingdom

    2 h-index

    2 publications

    290 citations

  8. European University Institute

    Florence, Italy

    2 h-index

    2 publications

    844 citations

1–8 of 104

Venues

  1. SSRN Electronic Journal

    Repository · 6 publications · 281 citations

    6

    h-index

  2. International Economic Journal

    3 publications · 41 citations

    3

    h-index

  3. RePEc: Research Papers in Economics

    Repository · 3 publications · 224 citations

    3

    h-index

  4. Resources Policy

    3 publications · 102 citations

    3

    h-index

  5. Economic Research-Ekonomska Istraživanja

    2 publications · 26 citations

    2

    h-index

1–5