Asymptotic Properties of Residual Based Tests for Cointegration
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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
Recommendations
- Tests for cointegration with infinite variance errors
- A residual based test for the null hypothesis of cointegration.
- A CUSUM test for cointegration using regression residuals
- Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
- Spurious regressions and residual-based tests for cointegration when regressors are cointegrated
Cited in
(only showing first 100 items - show all)- Testing cointegrating relationships using irregular and non-contemporaneous series with an application to paleoclimate data
- LIMITED TIME SERIES WITH A UNIT ROOT
- Challenges of trending time series econometrics
- Statistical analysis of cointegration vectors
- Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates
- Testing for cointegration using partially linear models
- Demeaning the data in panel-cointegration models to control for cross-sectional dependencies
- Most stringent test of null of cointegration: a Monte Carlo comparison
- Cointegration in large VARs
- Residual log-periodogram inference for long-run relationships
- ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS
- Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises
- scientific article; zbMATH DE number 1911811 (Why is no real title available?)
- 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
- 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
- Combining non-cointegration tests
- International mobility of capital in the United States: robust evidence from time-series tests
- The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
- Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
- Testing for the Null Hypothesis of Cointegration with a Structural Break
- Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: an application to the Feldstein-Horioka puzzle
- Dynamic modeling of mean-reverting spreads for statistical arbitrage
- SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES
- Size and power of some cointegration tests under structural breaks and heteroskedastfc noise
- Eras of dominance: identifying strong and weak periods in professional tennis
- Spatial unit roots and spurious regression
- 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
- Testing for cointegration in nonlinear asymmetric smooth transition error correction models
- 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
- Weak convergence to stochastic integrals for econometric applications
- Explaining international comovements of output and asset returns: The role of money and nominal rigidities.
- Simple, robust, and accurate \(F\) and \(t\) tests in cointegrated systems
- A bivariate fractionally cointegrated relationship in the context of cyclical structures
- 50 years of capital mobility in the eurozone: breaking the Feldstein-Horioka puzzle
- Identifying cointegration by eigenanalysis
- Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach
- A residual-based ADF test for stationary cointegration in I(2) settings
- New Simple Tests for Panel Cointegration
- The information content of 3-month sterling futures
- Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
- Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
- Some results on testing for stationarity using data detrended in differences
- Seasonal cointegration. The Japanese consumption function (with discussion)
- ECONOMETRIC THEORY, by James Davidson, Blackwell Publishers, 2000
- On the relationship between the theory of cointegration and the theory of phase synchronization
- A cointegration approach to estimating preference parameters
- New Improved Tests for Cointegration with Structural Breaks
- Robust estimation for structural spurious regressions and a Hausman-type cointegration test
- Diagnostic testing for cointegration
- Polynomial cointegration. Estimation and test
- Statistical inference in vector autoregressions with possibly integrated processes
- Nonparametric cointegration analysis
- Efficient estimation and inference in cointegrating regressions with structural change
- Tests for cointegration. A Monte Carlo comparison
- Response to the comment on testing for spurious and cointegrated regressions: a wavelet approach
- Demand for medical care, consumption, and cointegration
- Multiple structural breaks in cointegrating regressions: a model selection approach
- Structural relations, cointegration and identification: Some simple results and their application
- Tests for cointegration with infinite variance errors
- Panel cointegration with global stochastic trends
- More powerful Engle-Granger cointegration tests
- Testing misspecified cointegrating relationships
- A multicointegration model of global climate change
- TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
- Semiparametrically optimal cointegration test
- A residual-based nonparametric variance ratio no-cointegration test
- Determination of cointegrating rank in fractional systems.
- A CUSUM test for cointegration using regression residuals
- System estimators of cointegrating matrix in absence of normalising information
- Cointegration tests in the presence of structural breaks
- Residual-based tests for cointegration in models with regime shifts
- Testing cointegration relationship in a semiparametric varying coefficient model
- Testing for structural breaks in cointegrated relationships
- Likelihood based testing for no fractional cointegration
- Residual based tests for cointegration in dependent panels
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- Durbin-Hausman tests for cointegration
- Tests for cointegration with structural breaks based on subsamples
- Dynamic pairs trading using the stochastic control approach
- A comparison of cointegration tests
- Nonstationary panel data analysis: an overview of some recent developments
- Testing cointegration in infinite order vector autoregressive processes
- Unit root econometrics and economic nonlinearities
- Testing for no-cointegration under time-varying variance
- Testing for cointegration using principal components methods
- Spurious regressions when stationary regressors are included
- Residuals-based tests for cointegration with generalized least-squares detrended data
- Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost
- Residual based tests for cointegration. A Monte Carlo study of size distortions
- Nonlinear estimation using estimated cointegrating relations
- TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES
- DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
- On multicointegration
- COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor
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