Testing for cointegration using partially linear models

DOI10.1016/j.jeconom.2004.02.007zbMath1337.62220OpenAlexW2037391825MaRDI QIDQ261908

Ted Juhl, Zhijie Xiao

Publication date: 24 March 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.02.007

zbMATH Keywords

cointegrationnonparametricsemiparametricpartially linear models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Economic time series analysis (91B84) Approximations to statistical distributions (nonasymptotic) (62E17) Non-Markovian processes: hypothesis testing (62M07)

Related Items (5)

NULL RECURRENT UNIT ROOT PROCESSES ⋮ TESTING STRUCTURAL CHANGE IN PARTIALLY LINEAR MODELS ⋮ SEMI‐PARAMETRIC ESTIMATION OF LINEAR COINTEGRATING MODELS WITH NONLINEAR CONTEMPORANEOUS ENDOGENEITY ⋮ TIME-VARYING COINTEGRATION ⋮ A Partially Linear Kernel Estimator for Categorical Data

Uses Software

• KernSmooth
• Ox

Cites Work

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• Root-N-Consistent Semiparametric Regression
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• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Cointegration and Dynamic Simultaneous Equations Model
• Cointegration rank inference with stationary regressors in VAR models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Semiparametric Estimation of Index Coefficients
• Second Order Approximation in the Partially Linear Regression Model

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