Testing for nonlinear cointegration under heteroskedasticity
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Cites work
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- A Parametric approach to testing the null of cointegration
- Better Bootstrap Confidence Intervals
- Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
- Bootstrap-assisted unit root testing with piecewise locally stationary errors
- Bootstrapping cointegrating regressions
- Bootstrapping general empirical measures
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Cointegrating polynomial regressions: fully modified OLS estimation and inference
- COINTEGRATING SMOOTH TRANSITION REGRESSIONS
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Economic Growth and the Environment
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Estimation for double-nonlinear cointegration
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION
- Nonlinear cointegrating power function regression with endogeneity
- Robust inference for near-unit root processes with time-varying error variances
- Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
- Size improvement of the KPSS test using sieve bootstraps
- Some notes on nonlinear cointegration: a partial review with some novel perspectives
- Spurious functional-coefficient regression models and robust inference with marginal integration
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Testing for a unit root in time series regression
- Testing for co-integration in vector autoregressions with non-stationary volatility
- Testing for parameter instability in predictive regression models
- Testing for structural change in conditional models
- 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?
- Testing the Null of Co-integration in the Presence of Variance Breaks
- Tests for nonlinear cointegration
- The dependent wild bootstrap
- Theoretical comparisons of block bootstrap methods
- Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
- Understanding spurious regressions in econometrics
- Unit Root Tests under Time-Varying Variances
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