Analytical evaluation of the power of tests for the absence of cointegration

DOI10.1016/J.JECONOM.2003.10.025zbMath1328.62535OpenAlexW3123536081MaRDI QIDQ899515

Elena Pesavento

Publication date: 29 December 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.escholarship.org/uc/item/4cq4773c

zbMATH Keywords

cointegrationerror correctionlocal asymptotic power

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (9)

Most stringent test of null of cointegration: a Monte Carlo comparison ⋮ A covariate residual-based cointegration test applied to the CDS-bond basis ⋮ COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY ⋮ A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL ⋮ Residuals‐based tests for the null of no‐cointegration: an Analytical comparison ⋮ Cointegration in high frequency data ⋮ More powerful Engle–Granger cointegration tests ⋮ TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT ⋮ Combining non-cointegration tests

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