The power of residual-based tests for cointegration when residuals are fractionally integrated

DOI10.1016/j.econlet.2002.03.001zbMath1254.91671OpenAlexW2020010341MaRDI QIDQ1927413

Francesc Marmol, Walter Kramer

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/4822

zbMATH Keywords

powercointegrationlong memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (4)

Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach ⋮ The power of the KPSS-test for cointegration when residuals are fractionally integrated ⋮ Bootstrap tests for fractional integration and cointegration: a comparison study ⋮ A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION

Cites Work

• Fractional integration and the augmented Dickey--Fuller test
• On the power of unit root tests against fractional alternatives
• On the maximum likelihood cointegration procedure under a fractional equilibrium error
• Residual-Based Tests For Fractional Cointegration: A Monte Carlo Study
• The Fractional Unit Root Distribution
• Asymptotic Properties of Residual Based Tests for Cointegration
• ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS

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