Testing misspecified cointegrating relationships

DOI10.1016/S0165-1765(98)00089-5MaRDI QIDQ1274178zbMATH OpenFDO

Authors Jan M. Podivinsky

Publication date 12 January 1999

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1765(98)00089-5

zbMATH Keywords

cointegrationLR testmisspecification

Mathematics Subject Classification ID

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

Recommendations

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Cites work

• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time- series model
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Forecasting and testing in co-integrated systems
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Statistical analysis of cointegration vectors
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK

Cited in

(7)

• Price flexibility in channels of distribution: Eevidence from scanner data.
• Misspecification tests and their uses in econometrics
• Low-frequency robust cointegration testing
• Testing for cointegration in the presence of mis-specified structural change
• DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
• THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED
• LR cointegration tests when some cointegrating relations are known

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