Size and power of some cointegration tests under structural breaks and heteroskedastfc noise (Q1871698): Difference between revisions

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+Ralf Oestermark
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+MaRDI publication profile
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+https://doi.org/10.1007/s00362-002-0131-x
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+W1994438839
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@@ Property / cites work @@
+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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@@ Property / cites work @@
+Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
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+Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
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+Co-Integration and Error Correction: Representation, Estimation, and Testing
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+Residual-based tests for cointegration in models with regime shifts
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+Tests for cointegration. A Monte Carlo comparison
@@ Property / cites work: Tests for cointegration. A Monte Carlo comparison / rank @@
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+Statistical analysis of cointegration vectors
@@ Property / cites work: Statistical analysis of cointegration vectors / rank @@
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+Simulating competing cointegration tests in a bivariate system
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+Asymptotic Properties of Residual Based Tests for Cointegration
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+Testing for a unit root in time series regression
@@ Property / cites work: Testing for a unit root in time series regression / rank @@
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+Testing for Common Trends
@@ Property / cites work: Testing for Common Trends / rank @@
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+A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
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