Low-frequency robust cointegration testing
From MaRDI portal
Publication:2439861
DOI10.1016/j.jeconom.2012.09.006zbMath1283.62177OpenAlexW3022372708MaRDI QIDQ2439861
Ulrich K. Müller, Mark W. Watson
Publication date: 18 March 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.561.7495
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)
Related Items (6)
SIMPLE, ROBUST, AND ACCURATEFANDtTESTS IN COINTEGRATED SYSTEMS ⋮ Cointegration Rank Estimation for High-Dimensional Time Series With Breaks ⋮ Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence ⋮ Portmanteau-type tests for unit-root and cointegration ⋮ Identification robust inference in cointegrating regressions ⋮ NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
Cites Work
- Unnamed Item
- Unnamed Item
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Size and power of tests of stationarity in highly autocorrelated time series
- A theory of robust long-run variance estimation
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Asymptotic inference for nearly nonstationary AR(1) processes
- Statistical analysis of cointegration vectors
- Estimating fractional cointegration in the presence of polynomial trends
- Narrow-band analysis of nonstationary processes
- Long memory processes and fractional integration in econometrics
- Semiparametric estimation of fractional cointegrating subspaces
- Absolute moments in 2-dimensional normal distribution
- Efficient Tests Under a Weak Convergence Assumption
- Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- Testing Models of Low-Frequency Variability
- Towards a unified asymptotic theory for autoregression
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Testing for the Constancy of Parameters Over Time
- Canonical Cointegrating Regressions
- Semiparametric Estimation of Multivariate Fractional Cointegration
- TESTS OF COMMON STOCHASTIC TRENDS
- On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
- Simple Robust Testing of Regression Hypotheses
- STATIONARITY TESTING WITH COVARIATES
- Gaussian Semi‐parametric Estimation of Fractional Cointegration
- Efficient Tests for an Autoregressive Unit Root
- Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
- Testing Statistical Hypotheses
- Cointegration in Fractional Systems with Unknown Integration Orders
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
This page was built for publication: Low-frequency robust cointegration testing
