A Parametric approach to testing the null of cointegration

DOI10.1111/1467-9892.00058MaRDI QIDQ4351579zbMATH OpenOpenAlexFDO

Authors

Publication date 3 May 1998

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00058

zbMATH Keywords

autoregressive-moving averageBrownian motioncointegrationpseudo-likelihoodresidual-based test

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(15)

• Testing for \(r\) versus \(r-1\) cointegrating vectors
• A simple method of testing for cointegration subject to multiple regime changes
• Cointegration and the joint confirmation hypothesis.
• Point optimal tests of the null hypothesis of cointegration
• A comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests
• Testing the Null of Co-integration in the Presence of Variance Breaks
• TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT
• Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison
• Some tests for parameter constancy in cointegrated VAR‐models
• scientific article; zbMATH DE number 762936 (Why is no real title available?)
• Most stringent test of null of cointegration: a Monte Carlo comparison
• A comparison of some common methods for detecting Granger noncausality
• Tests of the null hypothesis of cointegration based on efficient tests for a unit MA root
• A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
• Testing for nonlinear cointegration under heteroskedasticity

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