A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL
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Publication:3577697
DOI10.1017/S0266466609990053zbMath1191.62151WikidataQ59107889 ScholiaQ59107889MaRDI QIDQ3577697
Franz C. Palm, Jean-Pierre Urbain, Stephan Smeekes
Publication date: 23 July 2010
Published in: Econometric Theory (Search for Journal in Brave)
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Related Items (9)
Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series ⋮ Detrending Bootstrap Unit Root Tests ⋮ Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order ⋮ Nonlinear error correction based cointegration test in panel data ⋮ Identification robust inference in cointegrating regressions ⋮ An Automated Approach Towards Sparse Single-Equation Cointegration Modelling ⋮ A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables ⋮ BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY ⋮ Combining non-cointegration tests
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