More powerful Engle–Granger cointegration tests

DOI10.1080/00949655.2014.957206zbMath1457.62267OpenAlexW2171996927MaRDI QIDQ5222271

Hyejin Lee, Junsoo Lee

Publication date: 1 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2014.957206

zbMATH Keywords

cointegrationEngle-Granger test

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Analytical evaluation of the power of tests for the absence of cointegration
• Residual based tests for cointegration. A Monte Carlo study of size distortions
• Testing for an unstable root in conditional and structural error correction models
• Tests for cointegration. A Monte Carlo comparison
• ADL tests for threshold cointegration
• Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
• Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
• Distributions of error correction tests for cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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