Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends

DOI10.1016/0304-4076(92)90081-2zbMath0746.62105OpenAlexW2037331515MaRDI QIDQ1194026

Bruce E. Hansen

Publication date: 27 September 1992

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

Full work available at URL: https://doi.org/10.1016/0304-4076(92)90081-2

zbMATH Keywords

time serieschi-square testleast squares estimationdeterministic trendscointegrated modelsestimation detrending methodsregressor trendsvalidity of trend exclusion

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Related Items (19)

Cointegration in fractional systems with deterministic trends ⋮ The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables ⋮ Panel cointegration with global stochastic trends ⋮ Analytical evaluation of the power of tests for the absence of cointegration ⋮ A residual based test for the null hypothesis of cointegration. ⋮ Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes ⋮ Fractional cointegration in the presence of linear trends ⋮ Detection and attribution of climate change through econometric methods ⋮ Residuals‐based tests for the null of no‐cointegration: an Analytical comparison ⋮ The Estimation and Inference of a Panel Cointegration Model with a Time Trend ⋮ Fundamentals, regime shifts, and dollar behavior in the 1980s ⋮ COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES ⋮ A cointegration approach to estimating preference parameters ⋮ System estimators of cointegrating matrix in absence of normalising information ⋮ Tests for cointegration with infinite variance errors ⋮ Test for partial parameter instability in regressions with \(I(1)\) processes ⋮ Spurious regression and residual-based tests for cointegration in panel data ⋮ Functional-coefficient cointegration models in the presence of deterministic trends ⋮ A CUSUM test for cointegration using regression residuals

Cites Work

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• Multiple Time Series Regression with Integrated Processes
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Asymptotic Normality, When Regressors Have a Unit Root
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Testing for Common Trends
• Time Series Regression with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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