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Semiparametric error-correction models for cointegration with trends : Pseudo-Gaussian and optimal rank-based tests of the cointegration rank
Hallin, Marc; Akker, Ramon van den; Werker, Bas J. M. - In: Journal of econometrics 190 (2016) 1, pp. 46-61
Persistent link: https://www.econbiz.de/10011591614
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Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
Harris, David; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 192 (2016) 2, pp. 451-467
Persistent link: https://www.econbiz.de/10011704729
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The limit distribution of the estimates in cointegrated regression models with multiple structural changes
Kejriwal, Mohitosh; Perron, Pierre - In: Journal of econometrics 146 (2008) 1, pp. 59-73
Persistent link: https://www.econbiz.de/10003778212
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Statistical analysis of hypothesis on the cointegrating relations in the I(2) model
Johansen, Søren - In: Journal of econometrics 132 (2006) 1, pp. 81-115
Persistent link: https://www.econbiz.de/10003320246
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Functional-coefficient cointegration models
Xiao, Zhijie - In: Journal of econometrics 152 (2009) 2, pp. 81-92
Persistent link: https://www.econbiz.de/10003892686
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Semiparametric inference in multivariate fractionally cointegrated systems
Hualde, J.; Robinson, Peter M. - In: Journal of econometrics 157 (2010) 2, pp. 492-511
Persistent link: https://www.econbiz.de/10008662973
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Speed of adjustment in cointegrated systems
Fanelli, Luca; Paruolo, Paolo - In: Journal of econometrics 158 (2010) 1, pp. 130-141
Persistent link: https://www.econbiz.de/10008826868
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Cointegration, long-run structural modelling and weak exogeneity : two models of the UK economy
Jacobs, Jan; Wallis, Kenneth Frank - In: Journal of econometrics 158 (2010) 1, pp. 108-116
Persistent link: https://www.econbiz.de/10008826872
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Likelihood-based inference for cointegration with nonlinear error-correction
Kristensen, Dennis; Rahbek, Anders - In: Journal of econometrics 158 (2010) 1, pp. 78-94
Persistent link: https://www.econbiz.de/10008826874
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Likelihood based testing for no fractional cointegration
Łasak, Katarzyna - In: Journal of econometrics 158 (2010) 1, pp. 67-77
Persistent link: https://www.econbiz.de/10008826875