Simulating competing cointegration tests in a bivariate system

DOI10.1080/02664769922070MaRDI QIDQ4935475zbMATH OpenOpenAlexFDO

Authors Rune Höglund, Ralf Östermark

Publication date 17 September 2001

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664769922070

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Recommendations

• Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison
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• Monte Carlo tests of cointegration with structural breaks
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Cites work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Statistical analysis of cointegration vectors
• Testing for Common Trends
• Tests for cointegration. A Monte Carlo comparison
• Time Series Regression with a Unit Root

Cited in

(3)

• Size and power of some cointegration tests under structural breaks and heteroskedastfc noise
• Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison
• Size and power of cointegration tests with non-normal GARCH error distributions

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