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Cointegrating rank selection in models with time-varying variance
Cheng, Xu; Phillips, Peter C. B. - In: Journal of econometrics 169 (2012) 2, pp. 155-165
Persistent link: https://www.econbiz.de/10009671329
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Dynamic misspecification in nonparametric cointegrating regression
Kasparis, Ioannis; Phillips, Peter C. B. - In: Journal of econometrics 168 (2012) 2, pp. 270-284
Persistent link: https://www.econbiz.de/10009612740
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A CUSUM test for cointegration using regression residuals
Xiao, Zhijie; Phillips, Peter C. B. - In: Journal of econometrics 108 (2002) 1, pp. 43-61
Persistent link: https://www.econbiz.de/10001656536
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Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
Chao, John C.; Phillips, Peter C. B. - In: Journal of econometrics 91 (1999) 2, pp. 227-271
Persistent link: https://www.econbiz.de/10001382089