Residual-Based Tests For Fractional Cointegration: A Monte Carlo Study

DOI10.1111/1467-9892.00201zbMath0971.62046OpenAlexW2101338484MaRDI QIDQ2740042

Ingolf Dittmann

Publication date: 16 September 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00201

zbMATH Keywords

augmented Dickey-Fuller testPhillips-Perron testGeweke-Porter-Hudak testLobato-Robinson LM-testmodified rescaled range test

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (11)

Modelling structural breaks, long memory and stock market volatility: an overview ⋮ Error Correction Models for Fractionally Cointegrated Time Series ⋮ The power of residual-based tests for cointegration when residuals are fractionally integrated ⋮ Stochastic integral convergence: a white noise calculus approach ⋮ Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach ⋮ Bootstrap tests for fractional integration and cointegration: a comparison study ⋮ Fractional cointegration in the presence of linear trends ⋮ Residual-based test for fractional cointegration ⋮ The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size ⋮ A test for fractional cointegration using the sieve bootstrap ⋮ A model of fractional cointegration, and tests for cointegration using the bootstrap.

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