Joint detection of unit roots and cointegration: data-based simulation

DOI10.1016/j.matcom.2006.08.007zbMath1111.62077OpenAlexW1966953231MaRDI QIDQ883241

Kosei Fukuda

Publication date: 4 June 2007

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2006.08.007

zbMATH Keywords

model selectioncointegrationunit rootinformation criteriondata-based simulation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Uses Software

• PcGets

Cites Work

• Statistical analysis of cointegration vectors
• Estimating the dimension of a model
• Specification via model selection in vector error correction models
• Comments on testing economic theories and the use of model selection criteria
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• The role of the constant and linear terms in cointegration analysis of nonstationary variables
• Unit Roots, Cointegration, and Structural Change
• Computer automation of general-to-specific model selection procedures
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• A new look at the statistical model identification

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