Testing for multicointegration
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Publication:1389465
DOI10.1016/S0165-1765(97)00167-5zbMath0896.90042OpenAlexW3124517483WikidataQ127631361 ScholiaQ127631361MaRDI QIDQ1389465
Niels Haldrup, Tom Engsted, Jesús Gonzalo
Publication date: 30 June 1998
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1765(97)00167-5
Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)
Related Items (4)
Multicointegration under measurement errors ⋮ Fully modified least squares cointegrating parameter estimation in multicointegrated systems ⋮ High-dimensional IV cointegration estimation and inference ⋮ A residual-based ADF test for stationary cointegration in I(2) settings
Cites Work
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
- On the determination of integration indices in I(2) systems
- Estimation of Cointegrated Systems with I(2) Processes
- A Stastistical Analysis of Cointegration for I(2) Variables
- Co-Integration and Error Correction: Representation, Estimation, and Testing
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