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Testing for unit roots with cointegrated data
Reed, W. Robert - 2015
This paper demonstrates that unit root tests can suffer from inflated Type I error rates when data are cointegrated. Results from Monte Carlo simulations show that three commonly used unit root tests - the ADF, Phillips-Perron, and DF-GLS tests - frequently overreject the true null of a unit...
Persistent link: https://www.econbiz.de/10011309691
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Small sample adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra - In: Journal of time series econometrics 14 (2022) 1, pp. 51-85
Persistent link: https://www.econbiz.de/10013260145
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Specification testing for nonlinear cointegrating regression
Wang, Qiying; Phillips, Peter C. B. - 2011
cointegration and regressors that have autoregressive unit roots or near unit roots. The limit theory for the specification test …
Persistent link: https://www.econbiz.de/10008826041
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A comparison between tests for changes in the adjustment coefficients in cointegrated systems
Barassi, Marco R. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003391491
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Testing for breaks in cointegrated panels with common and idiosyncratic stochastic trends
Kao, Chihwa; Trapani, Lorenzo; Urga, Giovanni - 2011
Persistent link: https://www.econbiz.de/10009381370
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Testing linear restrictions on cointegration vectors : sizes and powers of Wald tests in finite samples
Haug, Alfred Albert - 1999
canonical cointegration method of Park (1992) the dynamic ordinary least squares method of Phillips and Loretan (1991 …
Persistent link: https://www.econbiz.de/10009793260
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Univariate unit root tests perform poorly when data are cointegrated
Reed, W. Robert - 2016 - Revised edition
Persistent link: https://www.econbiz.de/10011514491
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Residual-based tests for fractional cointegration : a Monte Carlo study
Dittmann, Ingolf - 1998
cointegration. Critical values and the power of the tests under the alternative of fractional cointegration are simulated and …
Persistent link: https://www.econbiz.de/10010467702
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Testing for unit roots with cointergated data
Reed, W. Robert - 2015
Persistent link: https://www.econbiz.de/10011296226
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Unit root tests, size distortions, and cointegrated data
Reed, W. Robert - 2014
Persistent link: https://www.econbiz.de/10011296518