Nonparametric cointegration analysis
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Publication:1362072
DOI10.1016/S0304-4076(96)01820-9zbMath0900.62654OpenAlexW1975776930MaRDI QIDQ1362072
Publication date: 12 August 1997
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(96)01820-9
Related Items (28)
Determination of cointegrating rank in partially non‐stationary processes via a generalised von‐Neumann criterion ⋮ Cointegration analysis with state space models ⋮ Nonparametric cointegration analysis of fractional systems with unknown integration orders ⋮ On the specification and estimation of large scale simultaneous structural macroeconometric models ⋮ A unifying theory of tests of rank ⋮ Nonlinear Relationship Between Permanent and Transitory Components of Monetary Aggregates and the Economy ⋮ Identifying Cointegration by Eigenanalysis ⋮ Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate ⋮ SIMPLE, ROBUST, AND ACCURATEFANDtTESTS IN COINTEGRATED SYSTEMS ⋮ Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence ⋮ Price discovery, causality and forecasting in the freight futures market ⋮ Testing for the cointegrating rank of a VAR process with a time trend ⋮ AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION ⋮ Portmanteau-type tests for unit-root and cointegration ⋮ THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION ⋮ Markov-switching stochastic trends and economic fluctuations ⋮ Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics ⋮ The unbiasedness hypothesis in the freight forward market: Evidence from cointegration tests ⋮ Some Nonparametric Asymptotic Results for a Class of Stochastic Processes ⋮ A simple cointegrating rank test without vector autoregression ⋮ On the asymptotic behaviour of random matrices in a multivariate statistical model ⋮ NONLINEARITIES IN THE DYNAMICS OF THE EURO AREA DEMAND FOR M1 ⋮ A REVIEW OF SYSTEMS COINTEGRATION TESTS ⋮ Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending ⋮ New results on the convergence of random matrices ⋮ Regression-based analysis of cointegration systems ⋮ Nonparametric tests for unit roots and cointegration. ⋮ Variance ratio tests of the seasonal unit root hypothesis
Cites Work
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- Topics in Advanced Econometrics
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