Portmanteau-type tests for unit-root and cointegration
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Publication:1739591
Recommendations
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- Dickey-Fuller, Lagrange Multiplier and Combined Tests for a Unit Root in Autoregressive Time Series
Cites work
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- An asymptotic theory for sample covariances of Bernoulli shifts
- Asymptotic inference for nearly nonstationary AR(1) processes
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Efficient Tests for an Autoregressive Unit Root
- Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Higher-order sample autocorrelations and the unit root hypothesis
- scientific article; zbMATH DE number 3872515 (Why is no real title available?)
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- scientific article; zbMATH DE number 3059918 (Why is no real title available?)
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Low-frequency robust cointegration testing
- Nonlinear system theory: Another look at dependence
- Nonparametric cointegration analysis
- Nonparametric tests for unit roots and cointegration.
- ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- Optimal perturbation bounds for the Hermitian eigenvalue problem
- Regression Theory for Near-Integrated Time Series
- Semiparametric estimation of fractional cointegrating subspaces
- Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
- Testing for a unit root in time series regression
- TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
- Testing for unit roots in autoregressive-moving average models of unknown order
- Testing Models of Low-Frequency Variability
- Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- The Asymptotic Distribution of the Sample Autocorrelations for an Integrated ARMA Process
- The functional central limit theorem and weak convergence to stochastic integrals. II: Fractionally integrated processes
- The Invariance Principle for Stationary Processes
- Time series: theory and methods.
- UNIT ROOT TESTS WITH WAVELETS
Cited in
(5)- Nonparametric tests for unit roots and cointegration.
- Portmanteau-type test for unit root with heavy-tailed noise
- Unit roots and cointegration modelling through a family of flexible information criteria
- Cointegration Rank Estimation for High-Dimensional Time Series With Breaks
- Joint detection of unit roots and cointegration: data-based simulation
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