Diagnostic testing for cointegration
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Recommendations
- Inference on the cointegration rank in fractionally integrated processes.
- Determination of cointegrating rank in fractional systems.
- Consistent Testing of Cointegrating Relationships
- Testing for cointegration using principal components methods
- Nonparametric cointegration analysis of fractional systems with unknown integration orders
Cites work
- scientific article; zbMATH DE number 4102338 (Why is no real title available?)
- A semiparametric two-step estimator in a multivariate long memory model
- A simple test for the equality of integration orders
- Asymptotic Properties of Residual Based Tests for Cointegration
- Determination of cointegrating rank in fractional systems.
- Edgeworth expansions for semiparametric Whittle estimation of long memory.
- Efficient Tests of Nonstationary Hypotheses
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Exact local Whittle estimation of fractional integration
- Gaussian Semiparametric Estimation of Non-stationary Time Series
- Gaussian semiparametric estimation of long range dependence
- Gaussian semiparametric estimation of multivariate fractionally integrated processes
- Semiparametric analysis of long-memory time series
- Semiparametric fractional cointegration analysis
- Specification Tests in Econometrics
- Statistical analysis of cointegration vectors
- Testing for cointegration using principal components methods
Cited in
(15)- Cointegration analysis using \(M\) estimators.
- Identifying cointegration by eigenanalysis
- Efficient tapered local Whittle estimation of multivariate fractional processes
- A comparison of semiparametric tests for fractional cointegration
- Testing the co-integrationg rank with the likelihood ratio test under dependent errors assumption
- Testing for cointegration using principal components methods
- Inference on the cointegration rank in fractionally integrated processes.
- Cointegration Rank Estimation for High-Dimensional Time Series With Breaks
- Estimation of long-run parameters in unbalanced cointegration
- A simple test for the equality of integration orders
- Information-Theoretic Analysis of Serial Dependence and Cointegration
- A multivariate test against spurious long memory
- A Wald test for the cointegration rank in nonstationary fractional systems
- Long memory and long run variation
- Semiparametric inference in multivariate fractionally cointegrated systems
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