More powerful Engle-Granger cointegration tests
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Publication:5222271
DOI10.1080/00949655.2014.957206zbMATH Open1457.62267OpenAlexW2171996927MaRDI QIDQ5222271FDOQ5222271
Authors: Hyejin Lee, Junsoo Lee 
Publication date: 1 April 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2014.957206
Recommendations
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- Analytical evaluation of the power of tests for the absence of cointegration
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Title not available (Why is that?)
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Testing for an unstable root in conditional and structural error correction models
- Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
- Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
- Distributions of error correction tests for cointegration
- Tests for cointegration. A Monte Carlo comparison
- Analytical evaluation of the power of tests for the absence of cointegration
- Residual based tests for cointegration. A Monte Carlo study of size distortions
- ADL tests for threshold cointegration
Cited In (3)
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