Regression-based analysis of cointegration systems

DOI10.1016/J.JECONOM.2014.12.007MaRDI QIDQ2346014zbMATHOpenAlexFDO

Authors Javier Gomez-Biscarri, Javier Hualde

Publication date 29 May 2015

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2014.12.007

zbMATH Keywords

cointegrating spaceJohansen's methodologyPhillips' triangular formregression-based cointegration testing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 88842 (Why is no real title available?)
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Forecasting the term structure of government bond yields
• LONG-RUN STRUCTURAL MODELLING
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Nonparametric cointegration analysis
• Nonparametric tests for unit roots and cointegration.
• Optimal Inference in Cointegrated Systems
• Pitfalls in testing for long run relationships
• Some identification problems in the cointegrated vector autoregressive model
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Statistical analysis of cointegration vectors
• TESTS OF COMMON STOCHASTIC TRENDS
• THE RANK OF A SUBMATRIX OF COINTEGRATION
• Testing for Common Trends
• Testing for \(r\) versus \(r-1\) cointegrating vectors
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Tests for cointegration. A Monte Carlo comparison

Cited in

(5)

• Cointegration analysis with state space models
• A residual-based ADF test for stationary cointegration in I(2) settings
• Estimating theoretically consistent demand systems using cointegration techniques with application to Greek food data
• System Estimation of Panel Data Models Under Long-Range Dependence
• Cointegration and Dynamic Simultaneous Equations Model

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