EFFICIENT DETRENDING IN COINTEGRATING REGRESSION

DOI10.1017/S0266466699154033MaRDI QIDQ4512737zbMATHWikidataFDO

Authors Zhijie Xiao, Peter C. B. Phillips

Publication date 23 May 2002

Published in Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

Monte Carlounit roots test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
• Canonical Cointegrating Regressions
• Optimal estimation of cointegrated systems with irrelevant instruments
• Trend adjustment prior to testing for the cointegrating rank of a vector autoregressive process
• Nonlinear econometric models with cointegrated and deterministically trending regressors

Cited in

(8)

• Forecasting cointegrated nonstationary time series with time-varying variance
• Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
• Determination of vector error correction models in high dimensions
• Cointegration in large VARs
• Towards uniformly efficient trend estimation under weak/strong correlation and non-stationary volatility
• Cointegration testing under structural change: reducing size distortions and improving power of residual based tests
• Large Spillover Networks of Nonstationary Systems
• Improved likelihood ratio tests for cointegration rank in the VAR model

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