A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION

DOI10.1017/S026646660606052XzbMath1170.62412MaRDI QIDQ3434191

Jörg Breitung, Uwe Hassler

Publication date: 23 April 2007

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Monte Carlo methods (65C05)

Related Items (8)

Testing for persistence change in fractionally integrated models: an application to world inflation rates ⋮ Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach ⋮ A Wald test for the cointegration rank in nonstationary fractional systems ⋮ Changes in persistence, spurious regressions and the Fisher hypothesis ⋮ Asymptotic normal tests for integration in panels with cross-dependent units ⋮ Likelihood based testing for no fractional cointegration ⋮ A comparison of semiparametric tests for fractional cointegration ⋮ TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN

Cites Work

• Residual log-periodogram inference for long-run relationships
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• Understanding spurious regressions in econometrics
• Statistical analysis of cointegration vectors
• Spurios regression theory with nonstationary fractionally integrated processes
• Alternative forms of fractional Brownian motion
• Weak convergence of multivariate fractional processes
• Determination of cointegrating rank in fractional systems.
• Inference on the cointegration rank in fractionally integrated processes.
• A model of fractional cointegration, and tests for cointegration using the bootstrap.
• The power of residual-based tests for cointegration when residuals are fractionally integrated
• Asymptotic Properties of Residual Based Tests for Cointegration
• Efficient Tests of Nonstationary Hypotheses
• Spurious regressions between I(1) processes with long memory errors
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Gaussian Semi‐parametric Estimation of Fractional Cointegration
• Consistent Testing of Cointegrating Relationships

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