Size and power of some cointegration tests under structural breaks and heteroskedastfc noise

DOI10.1007/s00362-002-0131-xzbMath1010.62084OpenAlexW1994438839MaRDI QIDQ1871698

Rune Höglund, Ralf Oestermark

Publication date: 4 May 2003

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-002-0131-x

zbMATH Keywords

regime shiftspowercointegrationsize distortionscommon factor systems

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items

The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations ⋮ A comparison of semiparametric tests for fractional cointegration

Cites Work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Statistical analysis of cointegration vectors
• Residual-based tests for cointegration in models with regime shifts
• Tests for cointegration. A Monte Carlo comparison
• Asymptotic Properties of Residual Based Tests for Cointegration
• Testing for a unit root in time series regression
• Testing for Common Trends
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Simulating competing cointegration tests in a bivariate system

This page was built for publication: Size and power of some cointegration tests under structural breaks and heteroskedastfc noise