A Direct Test for Cointegration Between a Pair of Time Series

DOI10.1111/1467-9892.00261zbMATH Open1062.62193OpenAlexW1967108537MaRDI QIDQ4677002FDOQ4677002

Authors: Stephen Leybourne, Paul Newbold, Dimitrios V. Vougas, Tae-Hwan Kim 

Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00261

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zbMATH Keywords

cointegration testsJohansen testpairs of time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Forecasting and testing in co-integrated systems
• Statistical analysis of cointegration vectors
• Estimation and inference in nearly unbalanced nearly cointegrated systems
• Five alternative methods of estimating long-run equilibrium relationships
• Title not available (Why is that?)

Cited In (3)

• A time series paradox: unit root tests perform poorly when data are cointegrated
• Test for cointegration based on two-stage least squares
• Testing cointegrating relationships using irregular and non-contemporaneous series with an application to paleoclimate data

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