Cointegration testing under structural change: reducing size distortions and improving power of residual based tests
From MaRDI portal
Publication:520400
DOI10.1007/s10260-014-0253-zzbMath1359.62062OpenAlexW2127850903MaRDI QIDQ520400
Publication date: 3 April 2017
Published in: Statistical Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10260-014-0253-z
powercointegrationstructural changeGLS detrendingmodified information criteriaresidual based testssize distortions
Cites Work
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Spurious regressions in econometrics
- Local asymptotic distribution related to the AR(1) model with dependent errors
- Residual-based tests for cointegration in models with regime shifts
- Testing for the cointegrating rank of a VAR process with a time trend
- Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process
- A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION
- Asymptotic Properties of Residual Based Tests for Cointegration
- On the Theory of Testing for Unit Roots in Observed Time Series
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Automatic Lag Selection in Covariance Matrix Estimation
- TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
- EFFICIENT DETRENDING IN COINTEGRATING REGRESSION
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
- Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
- Efficient Tests for an Autoregressive Unit Root
- Unit‐root testing against the alternative hypothesis of up to m structural breaks
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
This page was built for publication: Cointegration testing under structural change: reducing size distortions and improving power of residual based tests