Semiparametrically optimal cointegration test

Cites Work

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Semi-Nonparametric Maximum Likelihood Estimation
Minimizing the impact of the initial condition on testing for unit roots
Improved likelihood ratio tests for cointegration rank in the VAR model
Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank
The Cramér-Rao functional and limiting laws
On asymptotically efficient estimation in semiparametric models
Consistent estimation of the influence function of locally asymptotically linear estimators
A note on the construction of asymptotically linear estimators
Statistical analysis of cointegration vectors
Limiting distributions of least squares estimates of unstable autoregressive processes
On adaptive estimation
Adaptive estimation of cointegrating regressions with ARMA errors
Adaptive estimation in time-series models
Testing cointegration in infinite order vector autoregressive processes
Efficient estimation in nonlinear autoregressive time-series models
On adaptive estimation in nonstationary ARMA models with GARCH errors
On adaptive estimation in stationary ARMA processes
Semi-nonparametric cointegration testing
Testing for the cointegrating rank of a VAR process with a time trend
Semiparametric testing with highly persistent predictors
Semiparametrically point-optimal hybrid rank tests for unit roots
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
Optimal Inference in Cointegrated Systems
Asymptotic Properties of Residual Based Tests for Cointegration
Optimal Inference in Regression Models with Nearly Integrated Regressors
Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
Testing for Common Trends
Autoregressive Conditional Density Estimation
Asymptotic Statistics
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
Time Series Regression with a Unit Root
Co-Integration and Error Correction: Representation, Estimation, and Testing
Efficient Tests for an Autoregressive Unit Root
On Quadratic Expansions of Log-Likelihoods and a General Asymptotic Linearity Result
Tests for Unit Roots and the Initial Condition
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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