Comparisons of tests for multivariate cointegration
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Publication:4032856
DOI10.1007/BF02925336zbMath0850.62923OpenAlexW1997101713MaRDI QIDQ4032856
Publication date: 1 April 1993
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02925336
Related Items (24)
A comparison of tests of linear hypothesis in cointegrated vector autoregressive models ⋮ Statistical inference in vector autoregressions with possibly integrated processes ⋮ Unit roots and cointegration modelling through a family of flexible information criteria ⋮ Analysis of cointegrated VARMA processes ⋮ Cointegration tests with conditional heteroskedasticity. ⋮ Small sample testing for cointegration using the bootstrap approach ⋮ Price discovery, causality and forecasting in the freight futures market ⋮ Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order ⋮ Two stage least squares estimation in structural cointegration models ⋮ The efficiency of financial futures markets: tests of prediction accuracy. ⋮ Modelling the causal relationship between energy consumption and GDP in new Zealand, Australia, India, Indonesia, the Philippines and Thailand. ⋮ Long-memory exchange rate dynamics in the Euro era ⋮ REAL EXCHANGE RATE BEHAVIOUR UNDER HONG KONG'S LINKED EXCHANGE RATE SYSTEM: AN EMPIRICAL INVESTIGATION ⋮ INTEGRATION OF GLOBAL CAPITAL MARKETS: AN EMPIRICAL EXPLORATION ⋮ The unbiasedness hypothesis in the freight forward market: Evidence from cointegration tests ⋮ Multivariate cointegration analysis of the Finnish-Japanese stock markets ⋮ The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment ⋮ NONLINEARITIES IN THE DYNAMICS OF THE EURO AREA DEMAND FOR M1 ⋮ Bootstrap and fast double bootstrap tests of cointegration rank with financial time series ⋮ Specification via model selection in vector error correction models ⋮ A comparison of semiparametric tests for fractional cointegration ⋮ A REVIEW OF SYSTEMS COINTEGRATION TESTS ⋮ The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests ⋮ Structural relations, cointegration and identification: Some simple results and their application
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- Statistical analysis of cointegration vectors
- Testing for cointegration using principal components methods
- ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS
- Asymptotic Properties of Residual Based Tests for Cointegration
- Testing for Common Trends
- Co-Integration and Error Correction: Representation, Estimation, and Testing
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