The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables

DOI10.1016/0304-4076(93)01564-3zbMath0814.62075OpenAlexW2061609891MaRDI QIDQ1341208

Niels Haldrup

Publication date: 14 June 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)01564-3

zbMATH Keywords

Brownian motioncointegrationasymptotic theorymoney demandleast squares regressiondeterministic componentsGaussian inferencedouble unit rootI(1) and I(2) variablesnoncointegrationresidual- based Dickey-Fuller class of testssingle-equation regression models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (22)

The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks ⋮ Tests for the order of integration against higher order integration ⋮ The monetary model of the exchange rate under hyperinflation: ⋮ ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES ⋮ A comparison of cointegration tests ⋮ Local power functions of tests for double unit roots ⋮ Multiple unit roots in periodic autoregression ⋮ Spurious regression due to neglected of non-stationary volatility ⋮ Spurious regression between long memory series due to mis-specified structural breaks ⋮ Spurious nonlinear regressions in econometrics ⋮ Spurious correlation of \(I(0)\) regressors in models with an \(I(1)\) dependent variable ⋮ Testing for multicointegration ⋮ Fully modified least squares cointegrating parameter estimation in multicointegrated systems ⋮ Nonsense regressions due to neglected time-varying means ⋮ A simple solution of the spurious regression problem ⋮ Spurious regressions when stationary regressors are included ⋮ On the Robustness of Unit Root Tests in the Presence of Double Unit Roots ⋮ ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY ⋮ Pitfalls in testing for long run relationships ⋮ Spurios regression theory with nonstationary fractionally integrated processes ⋮ Trend stationarity in the \(I(2)\) cointegration model. ⋮ A residual-based ADF test for stationary cointegration in I(2) settings

Cites Work

• Unnamed Item
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• Estimation for autoregressive processes with unit roots
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• Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
• Spurious regressions in econometrics
• Polynomial cointegration. Estimation and test
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Inference in Linear Time Series Models with some Unit Roots
• Exogeneity
• Optimal Inference in Cointegrated Systems
• Asymptotic Properties of Residual Based Tests for Cointegration
• A Stastistical Analysis of Cointegration for I(2) Variables
• Trends versus Random Walks in Time Series Analysis
• Asymptotic Normality, When Regressors Have a Unit Root
• Canonical Cointegrating Regressions
• Time Series Regression with a Unit Root
• 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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