A residual based test for the null hypothesis of cointegration.

DOI10.1016/S0165-1765(99)00079-8zbMath1050.62529WikidataQ127662369 ScholiaQ127662369MaRDI QIDQ1960368

Zhijie Xiao

Publication date: 12 January 2000

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Unit rootsCointegrationStationarityFully modified regressionIntegrated processesResidual based tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Related Items

Residual log-periodogram inference for long-run relationships ⋮ Micro versus macro cointegration in heterogeneous panels ⋮ Most stringent test of null of cointegration: a Monte Carlo comparison ⋮ International mobility of capital in the United States: robust evidence from time-series tests ⋮ Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison

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