A simple cointegrating rank test without vector autoregression

DOI10.1016/S0304-4076(01)00084-7zbMath0987.62032OpenAlexW2018568276MaRDI QIDQ5959569

Mototsugu Shintani

Publication date: 30 June 2002

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00084-7

zbMATH Keywords

cointegrationunit rootsvariance ratiolong-run variancespectrum estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Determination of cointegrating rank in partially non‐stationary processes via a generalised von‐Neumann criterion ⋮ Nonparametric cointegration analysis of fractional systems with unknown integration orders ⋮ Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses ⋮ Identifying Cointegration by Eigenanalysis ⋮ SIMPLE, ROBUST, AND ACCURATEFANDtTESTS IN COINTEGRATED SYSTEMS ⋮ ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT

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