More powerful cointegration tests with non-normal errors

DOI10.1515/snde-2013-0060zbMath1506.62367OpenAlexW1978487874MaRDI QIDQ2687879

Kyungso Im, Hyejin Lee, Junsoo Lee

Publication date: 7 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2013-0060

zbMATH Keywords

nonlinear processescointegrationnon-normal errorsresidual augmented least squares (RALS)

Mathematics Subject Classification ID

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

Cites Work

• More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares
• Testing for an unstable root in conditional and structural error correction models
• ADL tests for threshold cointegration
• Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
• Distributions of error correction tests for cointegration
• THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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