A REVIEW OF SYSTEMS COINTEGRATION TESTS
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Cites work
- A lag augmentation test for the cointegrating rank of a VAR process
- A new look at the statistical model identification
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Analysis of cointegration vectors using the GMM approach
- APPROXIMATION OF THE ASYMPTOTIC DISTRIBUTION OF THE LOG LIKELIHOOD RATIO TEST FOR COINTEGRATION
- Asymptotic Properties of Residual Based Tests for Cointegration
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
- Comparisons of tests for multivariate cointegration
- Direct cointegration testing in error correction models
- Econometric Model Determination
- Efficient Tests for an Autoregressive Unit Root
- Estimating the dimension of a model
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Five alternative methods of estimating long-run equilibrium relationships
- Forecasting and testing in co-integrated systems
- Forecasting Economic Time Series
- Fully Modified Least Squares and Vector Autoregression
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- scientific article; zbMATH DE number 53501 (Why is no real title available?)
- scientific article; zbMATH DE number 1249700 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- Impulse response analysis of cointegrated systems
- Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
- Making wald tests work for cointegrated VAR systems
- Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
- Modelling Nonlinear Relationships between Extended-Memory Variables
- Nonlinear stochastic trends
- NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
- Nonparametric cointegration analysis
- On cointegration tests for VAR models with drift
- Pitfalls in testing for long run relationships
- Small sample testing for cointegration using the bootstrap approach
- Statistical analysis of cointegration vectors
- Statistical inference in vector autoregressions with possibly integrated processes
- Statistical inference on cointegration rank in error correction models with stationary covariates
- Testing cointegration in infinite order vector autoregressive processes
- Testing for \(r\) versus \(r-1\) cointegrating vectors
- Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
- Testing for the cointegrating rank of a VAR process with a time trend
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Testing the null of stationarity for multiple time series
- Tests for cointegration with infinite variance errors
- Tests for cointegration. A Monte Carlo comparison
- Tests of cointegrating rank with trend-break
- The role of the constant and linear terms in cointegration analysis of nonstationary variables
- Threshold Cointegration
- Vector Autoregressions and Causality
- VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
Cited in
(27)- Pitfalls in testing for long run relationships
- A comparison of cointegration tests
- Determination of vector error correction models in high dimensions
- Using multiple time series analysis for geosensor data forecasting
- A unifying theory of tests of rank
- The effects of ignoring level shifts on systems cointegration tests
- The comparison of performances of widely used cointegration tests
- Combining non-cointegration tests
- BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
- Tests against stationary and explosive alternatives in vector autoregressive models
- Test for the null hypothesis of cointegration with reduced size distortion
- Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
- Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
- Simple, robust, and accurate \(F\) and \(t\) tests in cointegrated systems
- THE RANK OF A SUBMATRIX OF COINTEGRATION
- Improved likelihood ratio tests for cointegration rank in the VAR model
- Comparison of procedures for fitting the autoregressive order of a vector error correction model
- Most stringent test of null of cointegration: a Monte Carlo comparison
- A multivariate time series approach to projected life tables
- Efficient estimation and inference in cointegrating regressions with structural change
- Cointegration Detection Using Dynamic Factor Models
- Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming
- Large Spillover Networks of Nonstationary Systems
- Structural vector autoregressive analysis for cointegrated variables
- Joint detection of unit roots and cointegration: data-based simulation
- Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank
- Analytical evaluation of the power of tests for the absence of cointegration
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