Testing for cointegration using partially linear models
DOI10.1016/J.JECONOM.2004.02.007zbMATH Open1337.62220OpenAlexW2037391825MaRDI QIDQ261908FDOQ261908
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
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)
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Cited In (9)
- TESTING STRUCTURAL CHANGE IN PARTIALLY LINEAR MODELS
- 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
- TIME-VARYING COINTEGRATION
- NULL RECURRENT UNIT ROOT PROCESSES
- Testing misspecified cointegrating relationships
- A Partially Linear Kernel Estimator for Categorical Data
- LR cointegration tests when some cointegrating relations are known
- SEMI‐PARAMETRIC ESTIMATION OF LINEAR COINTEGRATING MODELS WITH NONLINEAR CONTEMPORANEOUS ENDOGENEITY
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