Statistical inference on cointegration rank in error correction models with stationary covariates
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Publication:1298419
DOI10.1016/S0304-4076(97)00105-XzbMath0962.62086MaRDI QIDQ1298419
Publication date: 19 June 2001
Published in: Journal of Econometrics (Search for Journal in Brave)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Statistical tables (62Q05) Non-Markovian processes: hypothesis testing (62M07)
Related Items (5)
A covariate residual-based cointegration test applied to the CDS-bond basis ⋮ A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables ⋮ A REVIEW OF SYSTEMS COINTEGRATION TESTS ⋮ Distribution theory for unit root tests with conditional heteroskedasticity ⋮ Testing for cointegration using partially linear models
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Statistical analysis of cointegration vectors
- Cointegration in partial systems and the efficiency of single-equation analysis
- Testing for an unstable root in conditional and structural error correction models
- Efficient inference on cointegration parameters in structural error correction models
- Exogeneity
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- Multiple Time Series Regression with Integrated Processes
- Nested Reduced-Rank Autogressive Models for Multiple Time Series
- A canonical analysis of multiple time series
- Linear Statistical Inference and its Applications
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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