Testing misspecified cointegrating relationships

DOI10.1016/S0165-1765(98)00089-5zbMath0914.90054MaRDI QIDQ1274178

Jan M. Podivinsky

Publication date: 12 January 1999

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

cointegrationmisspecificationLR test

Mathematics Subject Classification ID

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

Related Items (1)

Price flexibility in channels of distribution: Eevidence from scanner data.

Cites Work

• Statistical analysis of cointegration vectors
• Forecasting and testing in co-integrated systems
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• 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
• Asymptotic Properties of Residual Based Tests for Cointegration
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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