Testing for an unstable root in conditional and structural error correction models

DOI10.1016/0304-4076(93)01560-9zbMath0807.62088MaRDI QIDQ1341204

H. Peter Boswijk

Publication date: 2 January 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)01560-9

zbMATH Keywords

identification; Monte Carlo simulation; critical values; cointegration; Wald tests; simultaneous equations models; structural form; demand for money; rate of inflation; conditional error correction models; instability hypothesis; single-equation models; unstable root; vector Brownian motion process

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

Related Items

Distributions of error correction tests for cointegration, Residuals‐based tests for the null of no‐cointegration: an Analytical comparison, Bootstrap inference in systems of single equation error correction models, Autoregressive distributed lag models and cointegration, Analytical evaluation of the power of tests for the absence of cointegration, Statistical inference on cointegration rank in error correction models with stationary covariates, Nonparametric cointegration analysis, Efficient inference on cointegration parameters in structural error correction models, Seasonal cointegration for monthly data, Detection and attribution of climate change through econometric methods, Combining non-cointegration tests, ADL tests for threshold cointegration, A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL, COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES, TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT

Cites Work

• Unnamed Item
• Statistical analysis of cointegration vectors
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Cointegration in partial systems and the efficiency of single-equation analysis
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Asymptotic Properties of Residual Based Tests for Cointegration
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models