Asymptotic Properties of Residual Based Tests for Cointegration

DOI10.2307/2938339zbMATH Open0733.62100OpenAlexW2110002822WikidataQ61699818 ScholiaQ61699818MaRDI QIDQ3359623FDOQ3359623

S. Ouliaris, Peter C. B. Phillips

Publication date: 1990

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/385f0f7917dbe55a7d1bb00e9e68c0843355fa5e

zbMATH Keywords

consistencytime seriesasymptotic equivalencecointegrating regressionstandard Brownian motionunit root testsaugmented Dickey-Fuller testlimiting distributionsasymptotically similar testsrates of divergenceconceptual pitfallsPower propertiesRenyi-mixingresidual based proceduresresidual based tests for cointegration

Mathematics Subject Classification ID

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

Cited In (only showing first 100 items - show all)

• LIMITED TIME SERIES WITH A UNIT ROOT
• Challenges of trending time series econometrics
• Most stringent test of null of cointegration: a Monte Carlo comparison
• Cointegrating Regressions with Time Heterogeneity
• Statistical analysis of cointegration vectors
• ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS
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• Testing for cointegration using partially linear models
• Demeaning the data in panel-cointegration models to control for cross-sectional dependencies
• Residual log-periodogram inference for long-run relationships
• Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises
• Testing for an unstable root in conditional and structural error correction models
• Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection
• Testing for the Null Hypothesis of Cointegration with a Structural Break
• SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES
• The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
• Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
• Dynamic modeling of mean-reverting spreads for statistical arbitrage
• Explaining international comovements of output and asset returns: The role of money and nominal rigidities.
• New Simple Tests for Panel Cointegration
• ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS
• ECONOMETRIC THEORY, by James Davidson, Blackwell Publishers, 2000
• Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
• New Improved Tests for Cointegration with Structural Breaks
• Seasonal cointegration. The Japanese consumption function (with discussion)
• A cointegration approach to estimating preference parameters
• INFERENCE ON SEGMENTED COINTEGRATION
• Polynomial cointegration. Estimation and test
• Robust estimation for structural spurious regressions and a Hausman-type cointegration test
• Diagnostic testing for cointegration
• Statistical inference in vector autoregressions with possibly integrated processes
• Tests for cointegration. A Monte Carlo comparison
• Nonparametric cointegration analysis
• Structural relations, cointegration and identification: Some simple results and their application
• Tests for cointegration with infinite variance errors
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• Panel cointegration with global stochastic trends
• A multicointegration model of global climate change
• Determination of cointegrating rank in fractional systems.
• A CUSUM test for cointegration using regression residuals
• Testing cointegration relationship in a semiparametric varying coefficient model
• Cointegration tests in the presence of structural breaks
• Residual-based tests for cointegration in models with regime shifts
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• Testing for structural breaks in cointegrated relationships
• Nonstationary panel data analysis: an overview of some recent developments
• Dynamic pairs trading using the stochastic control approach
• Likelihood based testing for no fractional cointegration
• Residual based tests for cointegration in dependent panels
• A comparison of cointegration tests
• Testing for no-cointegration under time-varying variance
• Nonlinear estimation using estimated cointegrating relations
• Testing cointegration in infinite order vector autoregressive processes
• Testing for cointegration using principal components methods
• Spurious regressions when stationary regressors are included
• DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
• Are current account deficits sustainable?: Evidence from panel cointegration
• A residual based test for the null hypothesis of cointegration.
• UNIT ROOT TESTS WITH WAVELETS
• Spurious regression and residual-based tests for cointegration in panel data
• Spurious regressions and residual-based tests for cointegration when regressors are cointegrated
• Estimation and inference in nearly unbalanced nearly cointegrated systems
• Analytical evaluation of the power of tests for the absence of cointegration
• The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study
• A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL
• Testing Cointegrating Relationships Using Irregular and Non‐Contemporaneous Series with an Application to Paleoclimate Data
• Comparisons of tests for multivariate cointegration
• The power of residual-based tests for cointegration when residuals are fractionally integrated
• Residual-based tests for factorial cointegration: A Monte Carlo study
• Nonlinear minimization estimators in the presence of cointegrating relations.
• Quantile cointegrating regression
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• Test for the null hypothesis of cointegration with reduced size distortion
• Residual-based test for fractional cointegration
• Cointegrating regressions with messy regressors and an application to mixed-frequency series
• Identifying Cointegration by Eigenanalysis
• An Automated Approach Towards Sparse Single-Equation Cointegration Modelling
• Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series
• Cointegration testing under structural change: reducing size distortions and improving power of residual based tests
• A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
• Cross-sectional correlation robust tests for panel cointegration
• Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates
• Cointegration in large VARs
• COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES
• Aggregate consumption spending, the stock market and asymmetric error correction
• A simple method of testing for cointegration subject to multiple regime changes
• Combining non-cointegration tests
• International mobility of capital in the United States: robust evidence from time-series tests
• Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: an application to the Feldstein-Horioka puzzle
• Size and power of some cointegration tests under structural breaks and heteroskedastfc noise
• Testing for cointegration in nonlinear asymmetric smooth transition error correction models
• Detection and attribution of climate change through econometric methods
• Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions
• Bootstrap tests for fractional integration and cointegration: a comparison study
• A bivariate fractionally cointegrated relationship in the context of cyclical structures
• Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach
• 50 years of capital mobility in the eurozone: breaking the Feldstein-Horioka puzzle
• Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
• A residual-based ADF test for stationary cointegration in I(2) settings

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