EFFICIENT DETRENDING IN COINTEGRATING REGRESSION

DOI10.1017/S0266466699154033zbMATH Open0985.62077WikidataQ127770852 ScholiaQ127770852MaRDI QIDQ4512737FDOQ4512737

Peter C. B. Phillips, Zhijie Xiao

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)

Cited In (8)

• Cointegration in large VARs
• Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non‐stationary Volatility
• Large Spillover Networks of Nonstationary Systems
• Determination of vector error correction models in high dimensions
• Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
• Improved likelihood ratio tests for cointegration rank in the VAR model
• Forecasting cointegrated nonstationary time series with time-varying variance
• Cointegration testing under structural change: reducing size distortions and improving power of residual based tests

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