Distributions of error correction tests for cointegration
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Publication:4416010
DOI10.1111/1368-423X.00085zbMATH Open1018.62107MaRDI QIDQ4416010FDOQ4416010
Authors: Neil R. Ericsson, James G. Mackinnon 
Publication date: 7 August 2003
Published in: Econometrics Journal (Search for Journal in Brave)
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Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)
Cites Work
- Title not available (Why is that?)
- Statistical analysis of cointegration vectors
- Cointegration in partial systems and the efficiency of single-equation analysis
- Testing for an unstable root in conditional and structural error correction models
- Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Cointegration tests in the presence of structural breaks
- Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
- Structural analysis of vector error correction models with exogenous \(I(1)\) variables
- Title not available (Why is that?)
- THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED
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
- More powerful Engle-Granger cointegration tests
- Direct cointegration testing in error correction models
- The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators
- Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
- A critical assessment of simulated critical values
- Analytical evaluation of the power of tests for the absence of cointegration
- 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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