A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION

DOI10.1017/S026646660606052XzbMATH Open1170.62412MaRDI QIDQ3434191FDOQ3434191

Authors: Jörg Breitung, Uwe Hassler 

Publication date: 23 April 2007

Published in: Econometric Theory (Search for Journal in Brave)

Recommendations

• Residual-based test for fractional cointegration
• DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
• Consistent Testing of Cointegrating Relationships
• Likelihood based testing for no fractional cointegration
• A residual based test for the null hypothesis of cointegration.

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Hypothesis testing in multivariate analysis (62H15)

Cites Work

• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Statistical analysis of cointegration vectors
• Alternative forms of fractional Brownian motion
• Weak convergence of multivariate fractional processes
• Asymptotic Properties of Residual Based Tests for Cointegration
• Efficient Tests of Nonstationary Hypotheses
• Gaussian Semi‐parametric Estimation of Fractional Cointegration
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Determination of cointegrating rank in fractional systems.
• A model of fractional cointegration, and tests for cointegration using the bootstrap.
• Residual log-periodogram inference for long-run relationships
• Understanding spurious regressions in econometrics
• Inference on the cointegration rank in fractionally integrated processes.
• The power of residual-based tests for cointegration when residuals are fractionally integrated
• Consistent Testing of Cointegrating Relationships
• Spurios regression theory with nonstationary fractionally integrated processes
• Spurious regressions between I(1) processes with long memory errors

Cited In (17)

• Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates
• Asymptotic normal tests for integration in panels with cross-dependent units
• A residual-based ADF test for stationary cointegration in I(2) settings
• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
• A comparison of semiparametric tests for fractional cointegration
• Bias correction for the regression-based LM fractional integration test
• Likelihood based testing for no fractional cointegration
• DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
• The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size
• On the maximum likelihood cointegration procedure under a fractional equilibrium error
• TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
• Testing for persistence change in fractionally integrated models: an application to world inflation rates
• A residual-based test for stochastic cointegration
• Changes in persistence, spurious regressions and the Fisher hypothesis
• Residual-based test for fractional cointegration
• A Wald test for the cointegration rank in nonstationary fractional systems
• Title not available (Why is that?)

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