Comparisons of tests for multivariate cointegration
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Publication:4032856
Cites work
- scientific article; zbMATH DE number 3816886 (Why is no real title available?)
- scientific article; zbMATH DE number 53501 (Why is no real title available?)
- Asymptotic Properties of Residual Based Tests for Cointegration
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS
- Statistical analysis of cointegration vectors
- Testing for Common Trends
- Testing for cointegration using principal components methods
Cited in
(24)- Cointegration tests with conditional heteroskedasticity.
- The efficiency of financial futures markets: tests of prediction accuracy.
- Analysis of cointegrated VARMA processes
- Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
- Price discovery, causality and forecasting in the freight futures market
- Modelling the causal relationship between energy consumption and GDP in new Zealand, Australia, India, Indonesia, the Philippines and Thailand.
- Statistical inference in vector autoregressions with possibly integrated processes
- A comparison of semiparametric tests for fractional cointegration
- Unit roots and cointegration modelling through a family of flexible information criteria
- Structural relations, cointegration and identification: Some simple results and their application
- The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- The unbiasedness hypothesis in the freight forward market: Evidence from cointegration tests
- The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment
- INTEGRATION OF GLOBAL CAPITAL MARKETS: AN EMPIRICAL EXPLORATION
- Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
- Small sample testing for cointegration using the bootstrap approach
- Multivariate cointegration analysis of the Finnish-Japanese stock markets
- A comparison of tests of linear hypothesis in cointegrated vector autoregressive models
- Two stage least squares estimation in structural cointegration models
- Specification via model selection in vector error correction models
- Long-memory exchange rate dynamics in the Euro era
- REAL EXCHANGE RATE BEHAVIOUR UNDER HONG KONG'S LINKED EXCHANGE RATE SYSTEM: AN EMPIRICAL INVESTIGATION
- NONLINEARITIES IN THE DYNAMICS OF THE EURO AREA DEMAND FOR M1
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