TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT
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Publication:3652628
DOI10.1017/S026646660999034XzbMath1179.62117MaRDI QIDQ3652628
Graham Elliott, Elena Pesavento
Publication date: 15 December 2009
Published in: Econometric Theory (Search for Journal in Brave)
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)
Related Items (2)
A covariate residual-based cointegration test applied to the CDS-bond basis ⋮ Combining non-cointegration tests
Cites Work
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- Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
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- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
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