Comparisons of tests for multivariate cointegration

Cites Work

Co-Integration and Error Correction: Representation, Estimation, and Testing
Statistical analysis of cointegration vectors
Asymptotic Properties of Residual Based Tests for Cointegration
Testing for Common Trends
Testing for cointegration using principal components methods
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ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS

Cited In (24)

Cointegration tests with conditional heteroskedasticity.
The efficiency of financial futures markets: tests of prediction accuracy.
Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
Analysis of cointegrated VARMA processes
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
Unit roots and cointegration modelling through a family of flexible information criteria
A comparison of semiparametric tests for fractional cointegration
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 Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment
The unbiasedness hypothesis in the freight forward market: Evidence from cointegration tests
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
REAL EXCHANGE RATE BEHAVIOUR UNDER HONG KONG'S LINKED EXCHANGE RATE SYSTEM: AN EMPIRICAL INVESTIGATION
Specification via model selection in vector error correction models
Long-memory exchange rate dynamics in the Euro era
NONLINEARITIES IN THE DYNAMICS OF THE EURO AREA DEMAND FOR M1

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