Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison
From MaRDI portal
Publication:4434416
DOI10.1081/ETC-120025897zbMath1030.62067MaRDI QIDQ4434416
Publication date: 6 November 2003
Published in: Econometric Reviews (Search for Journal in Brave)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)
Related Items (1)
Cites Work
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
- A new test for structural stability in the linear regression model
- Joint application of the Dickey-Fuller and KPSS tests
- Testing for \(r\) versus \(r-1\) cointegrating vectors
- On the power of stationarity tests using optimal bandwidth estimates
- Unit root and stationarity tests' wedding
- Cointegration and the joint confirmation hypothesis.
- Tests for cointegration. A Monte Carlo comparison
- A residual based test for the null hypothesis of cointegration.
- Canonical Cointegrating Regressions
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Automatic Lag Selection in Covariance Matrix Estimation
- A Parametric approach to testing the null of cointegration
- Testing for structural change in cointegrated regression models: some comparisons and generalizations
- TESTS OF COMMON STOCHASTIC TRENDS
- Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models
This page was built for publication: Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison
