A simple cointegrating rank test without vector autoregression
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Cites work
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- Asymptotics for linear processes
- Band Spectral Regression with Trending Data
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Cited in
(14)- Testing for \(r\) versus \(r-1\) cointegrating vectors
- Nonparametric cointegration analysis
- Testing cointegration in infinite order vector autoregressive processes
- Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses
- Nonparametric tests for unit roots and cointegration.
- A simple test for the equality of integration orders
- Nonparametric cointegration analysis of fractional systems with unknown integration orders
- Determination of cointegrating rank in partially non‐stationary processes via a generalised von‐Neumann criterion
- ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT
- Simple, robust, and accurate \(F\) and \(t\) tests in cointegrated systems
- Cointegration: Bayesian significance test
- THE RANK OF A SUBMATRIX OF COINTEGRATION
- A nonlinear IV likelihood-based rank test for multivariate time series and long panels
- Identifying cointegration by eigenanalysis
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