Point optimal tests of the null hypothesis of cointegration
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Publication:261891
DOI10.1016/j.jeconom.2004.02.011zbMath1337.62219OpenAlexW2094401071MaRDI QIDQ261891
Publication date: 24 March 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.02.011
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Related Items (7)
A simple, robust and powerful test of the trend hypothesis ⋮ Most stringent test of null of cointegration: a Monte Carlo comparison ⋮ Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form ⋮ Test for the null hypothesis of cointegration with reduced size distortion ⋮ Statistical tests of a simple energy balance equation in a synthetic model of cotrending and cointegration ⋮ Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach ⋮ Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
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