Pitfalls in testing for long run relationships
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Recommendations
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Cites work
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- An introduction to stochastic unit-root processes
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Consistent autoregressive spectral estimates
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Estimation and Hypothesis Testing in Dynamic Singular Equation Systems
- Estimation and Hypothesis Testing in Singular Equation Systems with Autoregressive Disturbances
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- Fractional differencing
- scientific article; zbMATH DE number 3357844 (Why is no real title available?)
- Lag length estimation in large dimensional systems
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Long-Term Memory in Stock Market Prices
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- On the determination of integration indices in I(2) systems
- On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
- Pitfalls in testing for long run relationships
- RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES
- SOME DOUBLY STOCHASTIC TIME SERIES MODELS
- Specification Tests in Econometrics
- Spurious regressions in econometrics
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
- The Fractional Unit Root Distribution
- Time series: theory and methods.
Cited in
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- Cointegration tests with conditional heteroskedasticity.
- Pitfalls in testing for long run relationships
- Inference on the cointegration rank in fractionally integrated processes.
- Detection and attribution of climate change through econometric methods
- A residual-based ADF test for stationary cointegration in I(2) settings
- Regression-based analysis of cointegration systems
- Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests
- A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
- On the robustness of cointegration tests when series are fractionally intergrated
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- Most stringent test of null of cointegration: a Monte Carlo comparison
- Bootstrap based multi-step ahead joint forecast densities for financial interval-valued time series
- Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
- Predictive ability with cointegrated variables
- Johansen‐type cointegration tests with a Fourier function
- Likelihood based testing for no fractional cointegration
- Analytical evaluation of the power of tests for the absence of cointegration
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