Showing 1 - 6 of 6
Persistent link: https://www.econbiz.de/10012094935
Persistent link: https://www.econbiz.de/10012410064
In this article, we propose a new approach to test the hypothesis of long-run Granger non-causality in cointegrated systems. We circumvent the problem of singularity of the covariance matrix associated with the usual Wald-type test by proposing a generalized inverse procedure. A test for the...
Persistent link: https://www.econbiz.de/10005161521
This paper investigates an efficient estimation method for a cointegrating regression model with structural change. Our proposal is that we first estimate the break point by minimizing the sum of squared residuals and then, by replacing the break fraction with the estimated one, we estimate the...
Persistent link: https://www.econbiz.de/10005177493
This article considers a single-equation cointegrating model and proposes the locally best invariant and unbiased (LBIU) test for the null hypothesis of cointegration. We derive the local asymptotic power functions and compare them with the standard residual-based test, and show that the LBIU...
Persistent link: https://www.econbiz.de/10005676607
This article proposes a new stationarity test based on the KPSS test with less size distortion. We extend the boundary rule proposed by Sul et al. (2005) to the autoregressive spectral density estimator and parametrically estimate the long-run variance. We also derive the finite sample bias of...
Persistent link: https://www.econbiz.de/10008671024