Test for the null hypothesis of cointegration with reduced size distortion

DOI10.1111/J.1467-9892.2007.00564.XzbMATH Open1189.62026OpenAlexW1986174319MaRDI QIDQ3552834FDOQ3552834

Authors: Eiji Kurozumi, Yoichi Arai 

Publication date: 22 April 2010

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hi-stat.ier.hit-u.ac.jp/research/discussion/2006/pdf/D06-190.pdf

Recommendations

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• A CUSUM test for cointegration using regression residuals

zbMATH Keywords

cointegrationpoint optimal testlocally best test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Asymptotic Properties of Residual Based Tests for Cointegration
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Robust tests for spherical symmetry and their application to least squares regression
• Point optimal tests of the null hypothesis of cointegration
• Inference in Linear Time Series Models with some Unit Roots
• Canonical Cointegrating Regressions
• Efficient Tests for an Autoregressive Unit Root
• Title not available (Why is that?)
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• Locally robust tests for serial correlation in least squares regression

Cited In (3)

• Point optimal tests of the null hypothesis of cointegration
• Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
• Statistical tests of a simple energy balance equation in a synthetic model of cotrending and cointegration

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