Distributions of error correction tests for cointegration
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Publication:4416010
DOI10.1111/1368-423X.00085zbMath1018.62107MaRDI QIDQ4416010
James G. MacKinnon, Neil R. Ericsson
Publication date: 7 August 2003
Published in: The Econometrics Journal (Search for Journal in Brave)
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E15: Exact distribution theory in statistics
65C05: Monte Carlo methods
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Uses Software
Cites Work
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- Testing for an unstable root in conditional and structural error correction models
- Structural analysis of vector error correction models with exogenous \(I(1)\) variables
- Cointegration tests in the presence of structural breaks
- Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
- Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED
