Residual based tests for cointegration. A Monte Carlo study of size distortions
From MaRDI portal
Publication:1311290
DOI10.1016/0165-1765(93)90203-OzbMath0800.62768MaRDI QIDQ1311290
Publication date: 13 January 1994
Published in: Economics Letters (Search for Journal in Brave)
Related Items (4)
Tests for cointegration. A Monte Carlo comparison ⋮ Alternative stratetgies for ‘augmenting’ the dickey-fuller test: size-robustness in the face of pre-testing ⋮ Residuals‐based tests for the null of no‐cointegration: an Analytical comparison ⋮ More powerful Engle–Granger cointegration tests
Cites Work
- Unnamed Item
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Forecasting and testing in co-integrated systems
- Sandwich method for finding fixed points
- Asymptotic Properties of Residual Based Tests for Cointegration
- Testing for Common Trends
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
This page was built for publication: Residual based tests for cointegration. A Monte Carlo study of size distortions
