Point optimal tests of the null hypothesis of cointegration

DOI10.1016/J.JECONOM.2004.02.011zbMATH Open1337.62219OpenAlexW2094401071MaRDI QIDQ261891FDOQ261891

Authors: Michael Jansson 

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

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zbMATH Keywords

cointegrationlocal asymptotic powerpoint optimal testpower envelope

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

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• Optimal Inference in Cointegrated Systems
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• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
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• Canonical Cointegrating Regressions
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• STATIONARITY TESTING WITH COVARIATES
• Efficient Tests for an Autoregressive Unit Root
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• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors

Cited In (8)

• Most stringent test of null of cointegration: a Monte Carlo comparison
• A simple, robust and powerful test of the trend hypothesis
• 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
• Tests of the null hypothesis of cointegration based on efficient tests for a unit MA root
• Statistical tests of a simple energy balance equation in a synthetic model of cotrending and cointegration
• 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

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