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Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings

Belotti, Federico; Casini, Alessandro; Catania, Leopoldo; … - In: Econometric reviews 42 (2023) 3, pp. 281-306

Persistent link: https://www.econbiz.de/10014305507

A modified information criterion for cointegration tests based on a VAR approximation

Qu, Zhongjun; Perron, Pierre - In: Econometric theory 23 (2007) 4, pp. 638-685

Persistent link: https://www.econbiz.de/10003549586

Data dependent rules for selection of the number of leads and lags in the dynamic OLS cointegrating regression

Kejriwal, Mohitosh; Perron, Pierre - In: Econometric theory 24 (2008) 5, pp. 1425-1441

Persistent link: https://www.econbiz.de/10003748806

Residual based tests for cointegration with GLS detrended data

Perron, Pierre; Rodriguez, Gabriel - 2000

Persistent link: https://www.econbiz.de/10001459082

A Modified Information Criterion for Cointegration Tests Based on a VAR Approximation

Qu, Zhongjun; Perron, Pierre - 2006

We consider Johansen's (1988, 1991) cointegration tests when a Vector AutoRegressive (VAR) process of order k is used … the implication that the cointegration tests suffer from substantial size distortions in finite samples. We extend the … provide theoretical analyses of its validity and of the fact that cointegration tests constructed from a VAR whose lag order …

Persistent link: https://www.econbiz.de/10014055176