Residuals‐based tests for cointegration with generalized least‐squares detrended data

DOI10.1111/ectj.12056OpenAlexW2381938673MaRDI QIDQ5093933

Gabriel Rodríguez, Pierre Perron

Publication date: 2 August 2022

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

Full work available at URL: https://doi.org/10.1111/ectj.12056

zbMATH Keywords

hypothesis testingcointegrationOLS and GLS detrended dataresiduals-based unit root tests

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (3)

Johansen‐type cointegration tests with a Fourier function ⋮ Cointegration in high frequency data ⋮ Testing for no-cointegration under time-varying variance

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