Nonparametric cointegration analysis
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Publication:1362072
DOI10.1016/S0304-4076(96)01820-9zbMATH Open0900.62654OpenAlexW1975776930MaRDI QIDQ1362072FDOQ1362072
Publication date: 12 August 1997
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(96)01820-9
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Cites Work
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- Distribution of eigenvalues in multivariate statistical analysis
- Asymptotics for linear processes
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Forecasting and testing in co-integrated systems
- Statistical analysis of cointegration vectors
- Testing for an unstable root in conditional and structural error correction models
- Optimal Inference in Cointegrated Systems
- Asymptotic Properties of Residual Based Tests for Cointegration
- Testing for a unit root in time series regression
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- Time Series Regression with a Unit Root
- Efficient inference on cointegration parameters in structural error correction models
- Inference in Linear Time Series Models with some Unit Roots
- Testing for Common Trends
- Topics in Advanced Econometrics
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Higher-order sample autocorrelations and the unit root hypothesis
- The role of the constant and linear terms in cointegration analysis of nonstationary variables
- Testing stationarity and trend stationarity against the unit root hypothesis
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Cited In (42)
- Cointegration analysis using \(M\) estimators.
- Variance ratio tests of the seasonal unit root hypothesis
- Common nonstationary components of asset prices
- Price discovery, causality and forecasting in the freight futures market
- Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
- A comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests
- A unifying theory of tests of rank
- Wage formation and employment in a cointegrated VAR model
- Consistent Testing of Cointegrating Relationships
- On the specification and estimation of large scale simultaneous structural macroeconometric models
- Cointegration analysis with state space models
- Nonlinear Relationship Between Permanent and Transitory Components of Monetary Aggregates and the Economy
- AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION
- On the asymptotic behaviour of random matrices in a multivariate statistical model
- Nonparametric tests for unit roots and cointegration.
- Semi-nonparametric cointegration testing
- THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- Some Nonparametric Asymptotic Results for a Class of Stochastic Processes
- Nonlinear estimation using estimated cointegrating relations
- The unbiasedness hypothesis in the freight forward market: Evidence from cointegration tests
- Regression-based analysis of cointegration systems
- Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence
- Method of cointegration and exchange rates
- Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate
- Portmanteau-type tests for unit-root and cointegration
- Vector autoregressive processes with nonlinear time trends in cointegrating relations
- Generalised empirical likelihood for cointegrating regressions
- Nonparametric inference for quantile cointegrations with stationary covariates
- New results on the convergence of random matrices
- SIMPLE, ROBUST, AND ACCURATEFANDtTESTS IN COINTEGRATED SYSTEMS
- Markov-switching stochastic trends and economic fluctuations
- Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics
- Nonparametric cointegration analysis of fractional systems with unknown integration orders
- A simple cointegrating rank test without vector autoregression
- Identifying Cointegration by Eigenanalysis
- LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION
- Cointegration analysis as a tool to measure the purchasing power of Ukrainian mean total wages
- Testing for the cointegrating rank of a VAR process with a time trend
- NONLINEARITIES IN THE DYNAMICS OF THE EURO AREA DEMAND FOR M1
- Determination of cointegrating rank in partially non‐stationary processes via a generalised von‐Neumann criterion
- Local Linear Estimation of a Nonparametric Cointegration Model
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