Consistent Testing of Cointegrating Relationships

DOI10.1111/J.1468-0262.2004.00554.XMaRDI QIDQ5475063zbMATH OpenOpenAlexFDO

Authors F. Marmol, Carlos I. Hoyos Velasco

Publication date 16 June 2006

Published in Econometrica (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10016/4415

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
• Nonparametric cointegration analysis
• A model of fractional cointegration, and tests for cointegration using the bootstrap.
• A Wald test for the cointegration rank in nonstationary fractional systems
• Inference on the cointegration rank in fractionally integrated processes.

Cited in

(26)

• Testing for cointegration using principal components methods
• No-cointegration test based on fractional differencing: Some Monte Carlo results
• Inference on the cointegration rank in fractionally integrated processes.
• A model of fractional cointegration, and tests for cointegration using the bootstrap.
• A test of serial independence of deviations from cointegrating relations
• A comparison of semiparametric tests for fractional cointegration
• Cointegrated dynamics for a generalized long memory process: application to interest rates
• Nonparametric predictive regression
• A simple test for the equality of integration orders
• Estimation of long-run parameters in unbalanced cointegration
• Testing cointegration relationship in a semiparametric varying coefficient model
• A Wald test for the cointegration rank in nonstationary fractional systems
• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
• Diagnostic testing for cointegration
• Information-Theoretic Analysis of Serial Dependence and Cointegration
• UNBALANCED COINTEGRATION
• A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
• Fractional cointegration in the presence of linear trends
• DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
• Root-\(n\)-consistent estimation of weak fractional cointegration
• Residual-based test for fractional cointegration
• Comment on: ``Testing for spurious and cointegrated regressions: a wavelet approach
• The Periodogram of fractional processes¹
• Generalised empirical likelihood for cointegrating regressions
• NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
• Likelihood based testing for no fractional cointegration

This page was built for publication: Consistent Testing of Cointegrating Relationships

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5475063)