Simulating competing cointegration tests in a bivariate system
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Publication:4935475
DOI10.1080/02664769922070zbMath0968.62064OpenAlexW2063539275MaRDI QIDQ4935475
Publication date: 17 September 2001
Published in: Journal of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02664769922070
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
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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
- Tests for cointegration. A Monte Carlo comparison
- Asymptotic Properties of Residual Based Tests for Cointegration
- Testing for Common Trends
- Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
- Time Series Regression with a Unit Root
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
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