Durbin-Hausman tests for cointegration

DOI10.1016/0165-1889(94)90018-3MaRDI QIDQ5894580zbMATH OpenOpenAlexFDO

Authors

Publication date 27 February 1997

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1889(94)90018-3

zbMATH Keywords

CointegrationResidual-based testsDurbin-Hausman tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• Durbin-Hausman tests for cointegration
• A CUSUM test for cointegration using regression residuals
• Asymptotic Properties of Residual Based Tests for Cointegration
• A residual based test for the null hypothesis of cointegration.
• A comparison of cointegration tests

Cites work

• scientific article; zbMATH DE number 3718235 (Why is no real title available?)
• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Errors in Variables
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Multiple Time Series Regression with Integrated Processes
• Regression Theory for Near-Integrated Time Series
• Specification Tests in Econometrics
• Statistical analysis of cointegration vectors
• Testing for Common Trends
• Testing for cointegration using principal components methods
• Time Series Regression with a Unit Root
• Towards a unified asymptotic theory for autoregression

Cited in

(4)

• A CUSUM test for cointegration using regression residuals
• A comparison of cointegration tests
• Spurious regressions and residual-based tests for cointegration when regressors are cointegrated
• Durbin-Hausman tests for cointegration

This page was built for publication: Durbin-Hausman tests for cointegration

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5894580)