Pitfalls in testing for long run relationships

DOI10.1016/S0304-4076(97)00111-5zbMath1041.62525WikidataQ127780854 ScholiaQ127780854MaRDI QIDQ1298439

Tae-Hwy Lee, Jesús Gonzalo

Publication date: 1998

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

zbMATH Keywords

cointegrationdeterministic trendsexplosive rootssingular covariance matrix\(I(2)\)Engle-Granger testfractional unit rootsJohansen teststochastic roots

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items

A class of stochastic unit-root bilinear processes: mixing properties and unit-root test ⋮ Most stringent test of null of cointegration: a Monte Carlo comparison ⋮ Bootstrap based multi-step ahead joint forecast densities for financial interval-valued time series ⋮ Cointegration tests with conditional heteroskedasticity. ⋮ Johansen‐type cointegration tests with a Fourier function ⋮ Analytical evaluation of the power of tests for the absence of cointegration ⋮ Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests ⋮ Detection and attribution of climate change through econometric methods ⋮ Residuals‐based tests for the null of no‐cointegration: an Analytical comparison ⋮ Predictive ability with cointegrated variables ⋮ Likelihood based testing for no fractional cointegration ⋮ A REVIEW OF SYSTEMS COINTEGRATION TESTS ⋮ Pitfalls in testing for long run relationships ⋮ A residual-based ADF test for stationary cointegration in I(2) settings ⋮ Regression-based analysis of cointegration systems ⋮ Inference on the cointegration rank in fractionally integrated processes.

Cites Work

• Unnamed Item
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Time series: theory and methods.
• Consistent autoregressive spectral estimates
• Spurious regressions in econometrics
• Pitfalls in testing for long run relationships
• The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
• An introduction to stochastic unit-root processes
• On the determination of integration indices in I(2) systems
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• The Fractional Unit Root Distribution
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• SOME DOUBLY STOCHASTIC TIME SERIES MODELS
• Fractional differencing
• Estimation and Hypothesis Testing in Dynamic Singular Equation Systems
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Estimation and Hypothesis Testing in Singular Equation Systems with Autoregressive Disturbances
• Specification Tests in Econometrics
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Long-Term Memory in Stock Market Prices
• On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES
• Lag length estimation in large dimensional systems