A REVIEW OF SYSTEMS COINTEGRATION TESTS (Q4471125)

scientific article; zbMATH DE number 2076113

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English	A REVIEW OF SYSTEMS COINTEGRATION TESTS	scientific article; zbMATH DE number 2076113

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instance of

scholarly article

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title

A REVIEW OF SYSTEMS COINTEGRATION TESTS (English)

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18 June 2004

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zbMATH Keywords

LR tests

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asymptotic power

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small sample simulations

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DGP

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MaRDI profile type

MaRDI publication profile

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cites work

A new look at the statistical model identification

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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

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Threshold Cointegration

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Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

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Nonparametric cointegration analysis

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Tests for cointegration with infinite variance errors

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Model selection in partially nonstationary vector autoregressive processes with reduced rank structure

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Testing the null of stationarity for multiple time series

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Forecasting Economic Time Series

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Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes

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Making wald tests work for cointegrated VAR systems

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Efficient Tests for an Autoregressive Unit Root

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Co-Integration and Error Correction: Representation, Estimation, and Testing

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Forecasting and testing in co-integrated systems

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Five alternative methods of estimating long-run equilibrium relationships

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Pitfalls in testing for long run relationships

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Modelling Nonlinear Relationships between Extended-Memory Variables

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NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES

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Nonlinear stochastic trends

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Q4840212

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Small sample testing for cointegration using the bootstrap approach

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Tests for cointegration. A Monte Carlo comparison

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Tests of cointegrating rank with trend-break

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Statistical analysis of cointegration vectors

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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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The role of the constant and linear terms in cointegration analysis of nonstationary variables

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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

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Direct cointegration testing in error correction models

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Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

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APPROXIMATION OF THE ASYMPTOTIC DISTRIBUTION OF THE LOG LIKELIHOOD RATIO TEST FOR COINTEGRATION

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Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods

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Q4230749

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Impulse response analysis of cointegrated systems

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A lag augmentation test for the cointegrating rank of a VAR process

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Testing for the cointegrating rank of a VAR process with a time trend

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Fully Modified Least Squares and Vector Autoregression

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Econometric Model Determination

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Asymptotic Properties of Residual Based Tests for Cointegration

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Analysis of cointegration vectors using the GMM approach

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Q4003711

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Comparisons of tests for multivariate cointegration

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VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING

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LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS

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Testing cointegration in infinite order vector autoregressive processes

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Estimating the dimension of a model

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Statistical inference on cointegration rank in error correction models with stationary covariates

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Testing for \(r\) versus \(r-1\) cointegrating vectors

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Vector Autoregressions and Causality

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Statistical inference in vector autoregressions with possibly integrated processes

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On cointegration tests for VAR models with drift

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full work available at URL

https://doi.org/10.1081/etc-100104936

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Identifiers

zbMATH Open document ID

1044.62120

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DOI

10.1081/ETC-100104936

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4471125