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

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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+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
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+Statistical analysis of cointegration vectors
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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
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+Testing for Common Trends
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+A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
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