Durbin-Hausman tests for cointegration

DOI10.1016/0165-1889(94)90018-3zbMath0789.62093OpenAlexW2051066495MaRDI QIDQ5906476

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Publication date: 14 March 1994

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

zbMATH Keywords

simulationcointegrationvector time seriesregression residualsDurbin-Hausman testsresidual-based tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Statistical tables (62Q05)

Cites Work

• Unnamed Item
• 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
• Spurious regressions and residual-based tests for cointegration when regressors are cointegrated
• Asymptotic Properties of Residual Based Tests for Cointegration
• Multiple Time Series Regression with Integrated Processes
• Testing for a unit root in time series regression
• Testing for Common Trends
• Specification Tests in Econometrics
• Time Series Regression with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Errors in Variables

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