Residual based tests for cointegration. A Monte Carlo study of size distortions

DOI10.1016/0165-1765(93)90203-OMaRDI QIDQ1311290zbMATH OpenFDO

Authors Alfred A. Haug

Publication date 13 January 1994

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(93)90203-O

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Forecasting and testing in co-integrated systems
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• Sandwich method for finding fixed points
• Testing for Common Trends

Cited in

(4)

• Tests for cointegration. A Monte Carlo comparison
• Alternative stratetgies for ‘augmenting’ the dickey-fuller test: size-robustness in the face of pre-testing
• More powerful Engle-Granger cointegration tests
• Residuals‐based tests for the null of no‐cointegration: an Analytical comparison

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