Distributions of error correction tests for cointegration
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Publication:4416010
Recommendations
- Direct cointegration testing in error correction models
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
- Testing the Cointegrating Rank with Uncorrelated but Dependent Errors
- Testing cointegrating coefficients in vector autoregressive error correction models
Cites work
- scientific article; zbMATH DE number 3550005 (Why is no real title available?)
- scientific article; zbMATH DE number 3196612 (Why is no real title available?)
- Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
- Cointegration in partial systems and the efficiency of single-equation analysis
- Cointegration tests in the presence of structural breaks
- Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Statistical analysis of cointegration vectors
- Structural analysis of vector error correction models with exogenous \(I(1)\) variables
- THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED
- Testing for an unstable root in conditional and structural error correction models
Cited in
(17)- Liver cirrhosis and alcohol consumption in the U.K.
- Detection and attribution of climate change through econometric methods
- Mean-variance cointegration and the expectations hypothesis
- The impact of integrated measurement errors on modeling long-run macroeconomic time series
- Clive W. J. Granger and cointegration
- Direct cointegration testing in error correction models
- The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators
- More powerful Engle-Granger cointegration tests
- Analytical evaluation of the power of tests for the absence of cointegration
- A critical assessment of simulated critical values
- Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
- Methods of analyzing nonstationary time series with implicit changes in their properties
- Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
- Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
- Sample size, lag order and critical values of seasonal unit root tests
- More powerful cointegration tests with non-normal errors
- ADL tests for threshold cointegration
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