A REVIEW OF SYSTEMS COINTEGRATION TESTS (Q4471125): Difference between revisions

@@ Property / author @@
-Helmut Lütkepohl
@@ Property / author: Helmut Lütkepohl / rank @@
-Normal rank
@@ Property / author @@
+Helmut Lütkepohl
@@ Property / author: Helmut Lütkepohl / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+A new look at the statistical model identification
+Normal rank
@@ Property / cites work @@
+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
+Normal rank
@@ Property / cites work @@
+An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
+Normal rank
@@ Property / cites work @@
+Threshold Cointegration
@@ Property / cites work: Threshold Cointegration / rank @@
+Normal rank
@@ Property / cites work @@
+Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
+Normal rank
@@ Property / cites work @@
+Nonparametric cointegration analysis
@@ Property / cites work: Nonparametric cointegration analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Tests for cointegration with infinite variance errors
+Normal rank
@@ Property / cites work @@
+Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
+Normal rank
@@ Property / cites work @@
+Testing the null of stationarity for multiple time series
+Normal rank
@@ Property / cites work @@
+Forecasting Economic Time Series
@@ Property / cites work: Forecasting Economic Time Series / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
+Normal rank
@@ Property / cites work @@
+Making wald tests work for cointegrated VAR systems
+Normal rank
@@ Property / cites work @@
+Efficient Tests for an Autoregressive Unit Root
@@ Property / cites work: Efficient Tests for an Autoregressive Unit Root / rank @@
+Normal rank
@@ Property / cites work @@
+Co-Integration and Error Correction: Representation, Estimation, and Testing
+Normal rank
@@ Property / cites work @@
+Forecasting and testing in co-integrated systems
@@ Property / cites work: Forecasting and testing in co-integrated systems / rank @@
+Normal rank
@@ Property / cites work @@
+Five alternative methods of estimating long-run equilibrium relationships
+Normal rank
@@ Property / cites work @@
+Pitfalls in testing for long run relationships
@@ Property / cites work: Pitfalls in testing for long run relationships / rank @@
+Normal rank
@@ Property / cites work @@
+Modelling Nonlinear Relationships between Extended-Memory Variables
+Normal rank
@@ Property / cites work @@
+NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
+Normal rank
@@ Property / cites work @@
+Nonlinear stochastic trends
@@ Property / cites work: Nonlinear stochastic trends / rank @@
+Normal rank
@@ Property / cites work @@
+Q4840212
@@ Property / cites work: Q4840212 / rank @@
+Normal rank
@@ Property / cites work @@
+Small sample testing for cointegration using the bootstrap approach
+Normal rank
@@ Property / cites work @@
+Tests for cointegration. A Monte Carlo comparison
@@ Property / cites work: Tests for cointegration. A Monte Carlo comparison / rank @@
+Normal rank
@@ Property / cites work @@
+Tests of cointegrating rank with trend-break
@@ Property / cites work: Tests of cointegrating rank with trend-break / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical analysis of cointegration vectors
@@ Property / cites work: Statistical analysis of cointegration vectors / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
+Normal rank
@@ Property / cites work @@
+The role of the constant and linear terms in cointegration analysis of nonstationary variables
+Normal rank
@@ Property / cites work @@
+Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
+Normal rank
@@ Property / cites work @@
+Direct cointegration testing in error correction models
+Normal rank
@@ Property / cites work @@
+Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
+Normal rank
@@ Property / cites work @@
+APPROXIMATION OF THE ASYMPTOTIC DISTRIBUTION OF THE LOG  LIKELIHOOD RATIO TEST FOR COINTEGRATION
+Normal rank
@@ Property / cites work @@
+Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
+Normal rank
@@ Property / cites work @@
+Q4230749
@@ Property / cites work: Q4230749 / rank @@
+Normal rank
@@ Property / cites work @@
+Impulse response analysis of cointegrated systems
@@ Property / cites work: Impulse response analysis of cointegrated systems / rank @@
+Normal rank
@@ Property / cites work @@
+A lag augmentation test for the cointegrating rank of a VAR process
+Normal rank
@@ Property / cites work @@
+Testing for the cointegrating rank of a VAR process with a time trend
+Normal rank
@@ Property / cites work @@
+Fully Modified Least Squares and Vector Autoregression
+Normal rank
@@ Property / cites work @@
+Econometric Model Determination
@@ Property / cites work: Econometric Model Determination / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic Properties of Residual Based Tests for Cointegration
+Normal rank
@@ Property / cites work @@
+Analysis of cointegration vectors using the GMM approach
+Normal rank
@@ Property / cites work @@
+Q4003711
@@ Property / cites work: Q4003711 / rank @@
+Normal rank
@@ Property / cites work @@
+Comparisons of tests for multivariate cointegration
+Normal rank
@@ Property / cites work @@
+VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
+Normal rank
@@ Property / cites work @@
+LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
+Normal rank
@@ Property / cites work @@
+Testing cointegration in infinite order vector autoregressive processes
+Normal rank
@@ Property / cites work @@
+Estimating the dimension of a model
@@ Property / cites work: Estimating the dimension of a model / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical inference on cointegration rank in error correction models with stationary covariates
+Normal rank
@@ Property / cites work @@
+Testing for \(r\) versus \(r-1\) cointegrating vectors
+Normal rank
@@ Property / cites work @@
+Vector Autoregressions and Causality
@@ Property / cites work: Vector Autoregressions and Causality / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical inference in vector autoregressions with possibly integrated processes
+Normal rank
@@ Property / cites work @@
+On cointegration tests for VAR models with drift
@@ Property / cites work: On cointegration tests for VAR models with drift / rank @@
+Normal rank