Distributions of error correction tests for cointegration

DOI10.1111/1368-423X.00085zbMath1018.62107MaRDI QIDQ4416010

James G. MacKinnon, Neil R. Ericsson

Publication date: 7 August 2003

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

critical valuecointegrationerror correctionresponse surface

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15) Monte Carlo methods (65C05)

Related Items (13)

Unnamed Item ⋮ The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators ⋮ Methods of analyzing nonstationary time series with implicit changes in their properties ⋮ Analytical evaluation of the power of tests for the absence of cointegration ⋮ More powerful cointegration tests with non-normal errors ⋮ Sample size, lag order and critical values of seasonal unit root tests ⋮ Detection and attribution of climate change through econometric methods ⋮ Residuals‐based tests for the null of no‐cointegration: an Analytical comparison ⋮ Liver cirrhosis and alcohol consumption in the U.K. ⋮ More powerful Engle–Granger cointegration tests ⋮ ADL tests for threshold cointegration ⋮ Mean-variance cointegration and the expectations hypothesis ⋮ The impact of integrated measurement errors on modeling long-run macroeconomic time series

Uses Software

• PcGive

Cites Work

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• Statistical analysis of cointegration vectors
• Cointegration in partial systems and the efficiency of single-equation analysis
• Testing for an unstable root in conditional and structural error correction models
• Structural analysis of vector error correction models with exogenous \(I(1)\) variables
• Cointegration tests in the presence of structural breaks
• Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED

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