Testing for cointegration using partially linear models
DOI10.1016/J.JECONOM.2004.02.007zbMATH Open1337.62220OpenAlexW2037391825MaRDI QIDQ261908FDOQ261908
Authors: Ted Juhl, Zhijie Xiao 
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.2004.02.007
Recommendations
Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84) Approximations to statistical distributions (nonasymptotic) (62E17) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
- Title not available (Why is that?)
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Title not available (Why is that?)
- Root-N-Consistent Semiparametric Regression
- Title not available (Why is that?)
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Semiparametric Estimation of Index Coefficients
- Statistical analysis of cointegration vectors
- Asymptotic Properties of Residual Based Tests for Cointegration
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Second Order Approximation in the Partially Linear Regression Model
- Convergence rates for partially splined models
- Convergence rates for parametric components in a partly linear model
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- Statistical inference on cointegration rank in error correction models with stationary covariates
- Semi-nonparametric cointegration testing
- Inference in Linear Time Series Models with some Unit Roots
- PARTIALLY LINEAR MODELS WITH UNIT ROOTS
- Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
- Root-n-consistent estimation of partially linear time series models
- Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
- Cointegration and Dynamic Simultaneous Equations Model
- Cointegration rank inference with stationary regressors in VAR models
Cited In (16)
- Semi-parametric estimation of linear cointegrating models with nonlinear contemporaneous endogeneity
- Cointegration in partial systems and the efficiency of single-equation analysis
- Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence
- Testing of partially variable structure cointegration
- Testing misspecified cointegrating relationships
- Testing cointegration relationship in a semiparametric varying coefficient model
- Testing for cointegration using principal components methods
- LR cointegration tests when some cointegrating relations are known
- A two-step procedure for testing partial parameter stability in cointegrated regression models
- Cointegration test for linear time trend model by quantile regression
- Time-varying cointegration
- A partially linear kernel estimator for categorical data
- Testing structural change in partially linear models
- Predictive ability with cointegrated variables
- Null recurrent unit root processes
- Determination of cointegrating rank in partially non‐stationary processes via a generalised von‐Neumann criterion
Uses Software
This page was built for publication: Testing for cointegration using partially linear models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q261908)
