Combining non-cointegration tests

DOI10.1111/J.1467-9892.2012.00814.XMaRDI QIDQ2852482zbMATH OpenOpenAlexFDO

Authors Christian Bayer, Christoph Hanck

Publication date 9 October 2013

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2012.00814.x

zbMATH Keywords

multiple testingcointegrationmeta test

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Analytical evaluation of the power of tests for the absence of cointegration
• A Meta Analytic Approach to Testing for Panel Cointegration
• Nonparametric cointegration analysis
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• Tests for Cointegration Based on Canonical Correlation Analysis

Cites work

• A Reality Check for Data Snooping
• A sieve bootstrap test for cointegration in a conditional error correction model
• Analytical evaluation of the power of tests for the absence of cointegration
• Asymptotic Optimality of Fisher's Method of Combining Independent Tests
• Asymptotic Properties of Residual Based Tests for Cointegration
• Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Residual-Based Block Bootstrap for Unit Root Testing
• Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
• Statistical analysis of cointegration vectors
• TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT
• Testing for an unstable root in conditional and structural error correction models
• Tests for cointegration. A Monte Carlo comparison
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION

Cited in

(7)

• The windowed scalogram difference: a novel wavelet tool for comparing time series
• Multiple unit root tests under uncertainty over the initial condition: some powerful modifications
• A residual-based nonparametric variance ratio no-cointegration test
• Does remittance and human capital formation affect financial development? A comparative analysis between India and China
• Foreign direct investments, renewable electricity output, and ecological footprints: do financial globalization facilitate renewable energy transition and environmental welfare in Bangladesh?
• Recursive adjustment for general deterministic components and improved cointegration rank tests
• A random forest-based approach to combining and ranking seasonality tests

This page was built for publication: Combining non-cointegration tests

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2852482)