Test for cointegration based on two-stage least squares

DOI10.1080/02664760500079571zbMath1121.62307OpenAlexW1985204873MaRDI QIDQ3592025

Norah R. al-Ballaa

Publication date: 11 September 2007

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760500079571

zbMATH Keywords

Monte Carlotwo-stage least squaresresidual-based testsingle-equation approach

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Statistical Inference in Instrumental Variables Regression with I(1) Processes
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• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Multiple Time Series Regression with Integrated Processes
• Testing for Common Trends
• Statistical Properties of the Two-Stage Least Squares Estimator Under Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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