Asymptotic Properties of Residual Based Tests for Cointegration

DOI10.2307/2938339zbMath0733.62100OpenAlexW2110002822WikidataQ61699818 ScholiaQ61699818MaRDI QIDQ3359623

Publication date: 1990

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/385f0f7917dbe55a7d1bb00e9e68c0843355fa5e

zbMATH Keywords

consistency time series limiting distributions unit root tests asymptotic equivalence cointegrating regression standard Brownian motion augmented Dickey-Fuller test asymptotically similar tests rates of divergence conceptual pitfalls Power properties Renyi-mixing residual based procedures residual based tests for cointegration

Mathematics Subject Classification ID

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

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