A Wald test for the cointegration rank in nonstationary fractional systems

DOI10.1016/j.jeconom.2009.03.007zbMath1431.62351OpenAlexW2143427503MaRDI QIDQ2628844

Carlos Velasco, Marco Avarucci

Publication date: 18 July 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.03.007

zbMATH Keywords

singular value decompositionfractional integrationcointegration testfractional error correction model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (2)

A unifying theory of tests of rank ⋮ A comparison of semiparametric tests for fractional cointegration

Cites Work

• Generalized reduced rank tests using the singular value decomposition
• Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
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• Inference on the cointegration rank in fractionally integrated processes.
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• Spectral analysis of fractionally cointegrated systems
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• Exact local Whittle estimation of fractional integration
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• DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
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• Efficient Tests of Nonstationary Hypotheses
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• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Efficient Wald Tests for Fractional Unit Roots
• Cointegration in Fractional Systems with Unknown Integration Orders
• A Fractional Dickey-Fuller Test for Unit Roots
• Consistent Testing of Cointegrating Relationships
• Semiparametric fractional cointegration analysis
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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