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

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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)

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• 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
• 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
• The information content of 3-month sterling futures
• Some results on testing for stationarity using data detrended in differences
• On the relationship between the theory of cointegration and the theory of phase synchronization
• Demand for medical care, consumption, and cointegration
• Testing misspecified cointegrating relationships
• Durbin-Hausman tests for cointegration
• System estimators of cointegrating matrix in absence of normalising information
• Tests for cointegration with structural breaks based on subsamples
• Unit root econometrics and economic nonlinearities
• Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost
• WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS
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• The power of the KPSS-test for cointegration when residuals are fractionally integrated
• Regression-based analysis of cointegration systems
• ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT
• Testing for a unit root by frequency domain regression
• Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
• Stock prices-inflation puzzle and the predictability of stock market returns
• Methods of analyzing nonstationary time series with implicit changes in their properties
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• Fundamentals, regime shifts, and dollar behavior in the 1980s
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• Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
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• JOINT TIME-SERIES AND CROSS-SECTION LIMIT THEORY UNDER MIXINGALE ASSUMPTIONS
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• A simple cointegrating rank test without vector autoregression
• Test for cointegration based on two-stage least squares
• TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT
• TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION
• A Meta Analytic Approach to Testing for Panel Cointegration
• 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

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