On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
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Publication:4530906
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(35)- Covariance-based orthogonality tests for regressors with unknown persistence
- Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model.
- ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
- 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
- Asymptotic theory for near integrated processes driven by tempered linear processes
- Bonferroni-based size-correction for nonstandard testing problems
- INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY
- Expectations hypotheses tests at Long Horizons
- Low-frequency robust cointegration testing
- Expectations hypotheses tests at Long Horizons
- 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
- 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
- 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
- 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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