A weighted symmetric cointegration test

DOI10.1080/00949650701216596zbMath1274.62583OpenAlexW2016735519MaRDI QIDQ3518408

Dimitrios V. Vougas, Steven Cook

Publication date: 7 August 2008

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650701216596

zbMATH Keywords

Monte Carlo simulationcointegrationtest powerweighted symmetric estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Related Items (1)

Performance of threshold cointegration tests

Cites Work

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• Testing for cointegration: Power versus frequency of observation--another view
• Estimating break points in a time series regression with structural changes
• Residual-based tests for cointegration in models with regime shifts
• Testing for cointegration: power versus frequency of observation -- further Monte Carlo results
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
• Examination of Some More Powerful Modifications of the Dickey–Fuller Test

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