A Parametric approach to testing the null of cointegration

DOI10.1111/1467-9892.00058zbMath0885.62106OpenAlexW2064288231MaRDI QIDQ4351579

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Publication date: 3 May 1998

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00058

zbMATH Keywords

Brownian motioncointegrationpseudo-likelihoodresidual-based testautoregressive-moving average

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items (6)

A comparison of some common methods for detecting Granger noncausality ⋮ Most stringent test of null of cointegration: a Monte Carlo comparison ⋮ Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison ⋮ Cointegration and the joint confirmation hypothesis. ⋮ Testing the Null of Co-integration in the Presence of Variance Breaks ⋮ A simple method of testing for cointegration subject to multiple regime changes

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