Testing for multicointegration

DOI10.1016/S0165-1765(97)00167-5MaRDI QIDQ1389465zbMATH OpenOpenAlexWikidataFDO

Authors Tom Engsted, Niels Haldrup, Jesús Gonzalo

Publication date 30 June 1998

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(97)00167-5

zbMATH Keywords

cointegration\(I(2)\) processesmulticointegration

Mathematics Subject Classification ID

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

Recommendations

• A residual-based ADF test for stationary cointegration in I(2) settings
• Testing for cointegration using principal components methods
• Estimation of Cointegrated Systems with I(2) Processes
• The likelihood ratio test for cointegration ranks in the I(2) model
• On the determination of integration indices in I(2) systems

Cites work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• A Stastistical Analysis of Cointegration for I(2) Variables
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation of Cointegrated Systems with I(2) Processes
• On the determination of integration indices in I(2) systems
• The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables

Cited in

(9)

• A residual-based ADF test for stationary cointegration in I(2) settings
• A multicointegration model of global climate change
• The MAP test for multimodality
• High-dimensional IV cointegration estimation and inference
• Multicointegration under measurement errors
• Mixed normal inference on multicointegration
• Fully modified least squares cointegrating parameter estimation in multicointegrated systems
• Testing for multimodality
• scientific article; zbMATH DE number 3997008 (Why is no real title available?)

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