Durbin-Hausman tests for cointegration
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Publication:5894580
DOI10.1016/0165-1889(94)90018-3zbMath0875.90195OpenAlexW2051066495MaRDI QIDQ5894580
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Publication date: 27 February 1997
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1889(94)90018-3
Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)
Related Items (2)
A comparison of cointegration tests ⋮ Spurious regressions and residual-based tests for cointegration when regressors are cointegrated
Cites Work
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- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Statistical analysis of cointegration vectors
- Testing for cointegration using principal components methods
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Asymptotic Properties of Residual Based Tests for Cointegration
- Multiple Time Series Regression with Integrated Processes
- Towards a unified asymptotic theory for autoregression
- Testing for Common Trends
- Specification Tests in Econometrics
- Regression Theory for Near-Integrated Time Series
- Time Series Regression with a Unit Root
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Errors in Variables
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