Semi-nonparametric cointegration testing

DOI10.1016/S0304-4076(01)00136-1MaRDI QIDQ1867722zbMATH OpenOpenAlexFDO

Authors H. Peter Boswijk, André Lucas

Publication date 2 April 2003

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(01)00136-1

zbMATH Keywords

skewnesstermcointegrationstructuresemi-nonparametric estimationfat tails

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20)

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Cites work

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• Asymptotic normality and consistency of semi-nonparametric regression estimators using an upwards \(F\) test truncation rule
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• Direct cointegration testing in error correction models
• Efficient Tests for an Autoregressive Unit Root
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• Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• Maximum Likelihood Estimation of Misspecified Models
• Maximum likelihood principle and model selection when the true model is unspecified
• Pseudo Maximum Likelihood Methods: Theory
• Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
• Semi-Nonparametric Maximum Likelihood Estimation
• Statistical analysis of cointegration vectors
• The role of the constant and linear terms in cointegration analysis of nonstationary variables
• UNIT ROOT TESTS BASED ON ADAPTIVE MAXIMUM LIKELIHOOD ESTIMATION

Cited in

(9)

• Testing for cointegration using partially linear models
• Semiparametric fractional cointegration analysis
• A comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests
• A unifying theory of tests of rank
• Semiparametrically optimal cointegration test
• Testing cointegration relationship in a semiparametric varying coefficient model
• Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate
• Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank
• A weighted symmetric cointegration test

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