A comparison of cointegration tests

zbMath0870.62066MaRDI QIDQ1363456

Petr Mariel

Publication date: 7 August 1997

Published in: Applications of Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/32959

zbMATH Keywords

Monte Carlo simulationcointegrationunit root testsintegrated processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (1)

Most stringent test of null of cointegration: a Monte Carlo comparison

Cites Work

• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
• Asymptotic Properties of Residual Based Tests for Cointegration
• Multiple Time Series Regression with Integrated Processes
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Durbin-Hausman tests for cointegration

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