Durbin-Hausman tests for cointegration

DOI10.1016/0165-1889(94)90018-3zbMATH Open0875.90195OpenAlexW2051066495MaRDI QIDQ5894580FDOQ5894580

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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

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

zbMATH Keywords

CointegrationResidual-based testsDurbin-Hausman tests

Mathematics Subject Classification ID

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

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Specification Tests in Econometrics
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Errors in Variables
• Multiple Time Series Regression with Integrated Processes
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Statistical analysis of cointegration vectors
• Asymptotic Properties of Residual Based Tests for Cointegration
• Towards a unified asymptotic theory for autoregression
• Regression Theory for Near-Integrated Time Series
• Time Series Regression with a Unit Root
• Testing for Common Trends
• Title not available (Why is that?)
• Testing for cointegration using principal components methods

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

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