On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots

Cited In (35)

Covariance-based orthogonality tests for regressors with unknown persistence
ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model.
Bootstrap unit root tests in models with GARCH(1,1) errors
Nearly weighted risk minimal unbiased estimation
Detection and attribution of climate change through econometric methods
Inference on functionals under first order degeneracy
Priors for the long run
INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY
Asymptotic theory for near integrated processes driven by tempered linear processes
Bonferroni-based size-correction for nonstandard testing problems
Expectations hypotheses tests at Long Horizons
Expectations hypotheses tests at Long Horizons
Low-frequency robust cointegration testing
Nonparametric predictive regression
A control function approach for testing the usefulness of trending variables in forecast models and linear regression
On LASSO for predictive regression
Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence
Semi-parametric single-index predictive regression models with cointegrated regressors
Pitfalls in testing for long run relationships
Asymptotic inference in time series regressions with a unit root and infinite variance errors
Cointegration rank testing under conditional heteroskedasticity
Impulse response confidence intervals for persistent data: what have we learned?
Analytical evaluation of the power of tests for the absence of cointegration
UNBALANCED COINTEGRATION
Small-sample inference in rational expectations models with persistent data
Global temperatures and greenhouse gases: a common features approach
The uniform validity of impulse response inference in autoregressions
Persistence-robust surplus-lag Granger causality testing
Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors
Identification robust inference in cointegrating regressions
Robust inference for predictability in smooth transition predictive regressions
LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
Taking stock of long-horizon predictability tests: are factor returns predictable?
Fully modified estimation of seasonally cointegrated processes

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