Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming
From MaRDI portal
Publication:5864447
DOI10.1080/07474938.2014.977080OpenAlexW2244441629MaRDI QIDQ5864447FDOQ5864447
Authors: Guillaume Chevillon 
Publication date: 7 June 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://hal-essec.archives-ouvertes.fr/docs/00/91/48/30/PDF/WP1320.pdf
Recommendations
- Testing for the cointegrating rank of a VAR process with a time trend
- Trend adjustment prior to testing for the cointegrating rank of a vector autoregressive process
- TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
- Low-frequency robust cointegration testing
- Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
Cites Work
- Title not available (Why is that?)
- Inference of Trends in Time Series
- Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
- Statistical analysis of cointegration vectors
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Long memory and regime switching
- Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
- Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
- Tests for Unit Roots and the Initial Condition
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- A Bartlett correction factor for tests on the cointegrating relations
- Bootstrapping cointegrating regressions
- Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
- The role of the constant and linear terms in cointegration analysis of nonstationary variables
- A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
- Efficient Tests for General Persistent Time Variation in Regression Coefficients
- LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
- Miscellanea. Bartlett correction of the unit root test in autoregressive models
- Testing for the cointegrating rank of a VAR process with a time trend
- Trend adjustment prior to testing for the cointegrating rank of a vector autoregressive process
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
- UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
- Semiparametric estimation and testing of the trend of temperature series
- A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence
- Bootstrap determination of the co-integration rank in vector autoregressive models
- Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
- Small sample testing for cointegration using the bootstrap approach
- Booststrapped johansen tests for cointegration relationships: a graphical analysis
- Bootstrap cointegration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
- A small sample correction for tests of hypotheses on the cointegrating vectors
- Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
Cited In (1)
Uses Software
This page was built for publication: Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5864447)
