THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED

DOI10.1017/S0266466600163054zbMath1054.62628OpenAlexW3123111966MaRDI QIDQ4512688

Eric Zivot

Publication date: 2000

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

Full work available at URL: https://doi.org/10.1017/s0266466600163054

Mathematics Subject Classification ID

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

Related Items (10)

Big Data: Forecasting and Control for Tourism Demand ⋮ Analytical evaluation of the power of tests for the absence of cointegration ⋮ More powerful cointegration tests with non-normal errors ⋮ Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test ⋮ A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL ⋮ Residuals‐based tests for the null of no‐cointegration: an Analytical comparison ⋮ Distributions of error correction tests for cointegration ⋮ Identification robust inference in cointegrating regressions ⋮ ADL tests for threshold cointegration ⋮ TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT

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