Polynomial cointegration. Estimation and test

DOI10.1016/0304-4076(93)01565-4zbMath0806.62096OpenAlexW1971595612MaRDI QIDQ1341209

Stéphane Gregoir, Guy Laroque

Publication date: 16 February 1995

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

Full work available at URL: https://doi.org/10.1016/0304-4076(93)01565-4

zbMATH Keywords

tablespercentilesasymptotic distributionprincipal component analysisrank testsunit rootsordinary least squaresmultivariate time seriesidentification criterionoverall cointegration dimensionoverall specification testpolynomial cointegrationpolynomial error correction model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables, Cointegration analysis with state space models, Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling, Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration, Testing for the cointegrating rank of a VAR process with a time trend, A STATE SPACE CANONICAL FORM FOR UNIT ROOT PROCESSES, FULLY MODIFIED ESTIMATION OF SEASONALLY COINTEGRATED PROCESSES, Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form, Testing for \(r\) versus \(r-1\) cointegrating vectors, A general inversion theorem for cointegration, A residual-based ADF test for stationary cointegration in I(2) settings, Testing for the cointegration rank when some cointegrating directions are changing

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