Point optimal tests of the null hypothesis of cointegration
From MaRDI portal
Publication:261891
DOI10.1016/j.jeconom.2004.02.011zbMath1337.62219OpenAlexW2094401071MaRDI QIDQ261891
Publication date: 24 March 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.02.011
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Related Items
A simple, robust and powerful test of the trend hypothesis, Most stringent test of null of cointegration: a Monte Carlo comparison, Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form, Test for the null hypothesis of cointegration with reduced size distortion, Statistical tests of a simple energy balance equation in a synthetic model of cotrending and cointegration, Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach, Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
- Robust tests for spherical symmetry and their application to least squares regression
- Asymptotics for linear processes
- A CUSUM test for cointegration using regression residuals
- Optimal Inference in Cointegrated Systems
- Canonical Cointegrating Regressions
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Time Series Regression with a Unit Root
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- STATIONARITY TESTING WITH COVARIATES
- Efficient Tests for an Autoregressive Unit Root