A residual-based nonparametric variance ratio no-cointegration test
From MaRDI portal
Publication:6604032
DOI10.1111/jtsa.12734MaRDI QIDQ6604032
Publication date: 12 September 2024
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Inference from stochastic processes (62Mxx)
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Analytical evaluation of the power of tests for the absence of cointegration
- Understanding spurious regressions in econometrics
- Spurious regressions in econometrics
- Nonparametric tests for unit roots and cointegration.
- A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
- Powerful Unit Root Tests Free of Nuisance Parameters
- Combining non-cointegration tests
- Asymptotic Properties of Residual Based Tests for Cointegration
- ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT
- A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC
- Testing for a unit root in time series regression
- Towards a unified asymptotic theory for autoregression
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
- Residuals‐based tests for cointegration with generalized least‐squares detrended data
- Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
- Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics
This page was built for publication: A residual-based nonparametric variance ratio no-cointegration test
