Testing for an unstable root in conditional and structural error correction models
type: Item
instance of: scholarly article
title: Testing for an unstable root in conditional and structural error correction models
zbMATH Open document ID: 0807.62088
DOI: 10.1016/0304-4076(93)01560-9
author: H. Peter Boswijk
published in: Journal of Econometrics
publication date: 1995-01-02T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62E20
zbMATH DE Number: 706583
zbMATH Keywords: cointegration
zbMATH Keywords: identification
zbMATH Keywords: Wald tests
zbMATH Keywords: unstable root
zbMATH Keywords: conditional error correction models
zbMATH Keywords: single-equation models
zbMATH Keywords: simultaneous equations models
zbMATH Keywords: structural form
zbMATH Keywords: vector Brownian motion process
zbMATH Keywords: critical values
zbMATH Keywords: Monte Carlo simulation
zbMATH Keywords: demand for money
zbMATH Keywords: rate of inflation
zbMATH Keywords: instability hypothesis
MaRDI profile type: Publication
full work available at URL: 0304-4076(93)01560-9
OpenAlex ID: W2150560679
cites work: Q5560061
cites work: Limiting distributions of least squares estimates of unstable autoregressive processes
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cites work: Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
cites work: Co-Integration and Error Correction: Representation, Estimation, and Testing
cites work: Statistical analysis of cointegration vectors
cites work: Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
cites work: Cointegration in partial systems and the efficiency of single-equation analysis
cites work: Asymptotic Properties of Residual Based Tests for Cointegration
description: scientific article; zbMATH DE number 706583