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Efficient posterior simulation for cointegrated models with priors on the cointegration space
Koop, Gary, (2010)
Koop, Gary, (2005)
On the small sample properties of weak exogeneity tests in cointegrated VAR models
Brüggemann, Ralf, (2002)
Jackknife estimation of stationary autoregressive models
Chambers, Marcus J., (2012)
Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
Chambers, Marcus J., (2020)
The effects of sampling frequency on detrending methods for unit root tests
Chambers, Marcus J., (2016)