Joint detection of unit roots and cointegration: data-based simulation
From MaRDI portal
Publication:883241
DOI10.1016/J.MATCOM.2006.08.007zbMATH Open1111.62077OpenAlexW1966953231MaRDI QIDQ883241FDOQ883241
Publication date: 4 June 2007
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2006.08.007
Recommendations
- BIC-based unit-root detection: simulation-based evidence
- Unit roots and cointegration modelling through a family of flexible information criteria
- scientific article; zbMATH DE number 2072436
- Unit Roots, Cointegration, and Pretesting in Var Models
- Nonparametric tests for unit roots and cointegration.
- Portmanteau-type tests for unit-root and cointegration
- Cointegration Detection Using Dynamic Factor Models
- Tests of the null hypothesis of cointegration based on efficient tests for a unit MA root
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
Cites Work
- Estimating the dimension of a model
- A new look at the statistical model identification
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Statistical analysis of cointegration vectors
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- The role of the constant and linear terms in cointegration analysis of nonstationary variables
- Computer automation of general-to-specific model selection procedures
- Unit Roots, Cointegration, and Structural Change
- Specification via model selection in vector error correction models
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- Comments on testing economic theories and the use of model selection criteria
Cited In (5)
- Cointegration and the joint confirmation hypothesis.
- Subspace-based methods to determine unit roots and cointegrating ranks
- Simulated real-time detection of multiple structural changes: evidence from Japanese economic growth
- Which vintage of data to use when there are multiple vintages of data?: Cointegration, weak exogeneity and common factors
- Cointegration Detection Using Dynamic Factor Models
Uses Software
This page was built for publication: Joint detection of unit roots and cointegration: data-based simulation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q883241)
