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Residual-based cointegration and non-cointegration tests for cointegrating polynomial regressions
Wagner, Martin - In: Empirical economics : a quarterly journal of the … 65 (2023) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10014329033
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Cointegrating polynomial regressions : fully modified OLS estimation and inference
Hong, Seung Hyun; Wagner, Martin - 2011
specification as well as a KPSS-type test for cointegration are derived. The theoretical analysis is complemented by a simulation …
Persistent link: https://www.econbiz.de/10009686189
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Cointegrating polynomial regressions : fully modified OLS estimation and inference
Wagner, Martin; Hong, Seung Hyun - In: Econometric theory 32 (2016) 5, pp. 1289-1315
Persistent link: https://www.econbiz.de/10011661753
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The performance of panel cointegration methods : results from a large scale simulation study
Wagner, Martin; Hlouskova, Jaroslava - In: Econometric reviews 29 (2010) 2, pp. 182-223
Persistent link: https://www.econbiz.de/10003960501
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Cointegrating polynomial regressions : fully modified OLS estimation and inference
Hong, Seung Hyun; Wagner, Martin - 2011
specification as well as a KPSS-type test for cointegration are derived. The theoretical analysis is complemented by a simulation …
Persistent link: https://www.econbiz.de/10009228949
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VAR cointegration in VARMA models
Wagner, Martin - 1999
The method for estimation and testing for cointegration put forward by Johansen assumes that the data are described by … derive their implications for the structure theory of cointegration. Specifically we show that the cointegrating space is … examined through a small simulation study. -- cointegration ; Johansen procedure ; misspecification; robustness ; simulation …
Persistent link: https://www.econbiz.de/10009712340
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The performance of panel cointegration methods : results from a large scale simulation study
Wagner, Martin; Hlouskova, Jaroslava - 2007
This paper presents results concerning the performance of both single equation and system panel cointegration tests and … unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …
Persistent link: https://www.econbiz.de/10009736650
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Integrated modified OLS estimation and fixed-b inference for cointegrating regressions
Vogelsang, Timothy J.; Wagner, Martin - In: Journal of econometrics 178 (2014) 2, pp. 741-760
Persistent link: https://www.econbiz.de/10010257671
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The performance of panel cointegration methods : results from a large scale simulation study
Wagner, Martin; Hlouskova, Jaroslava - 2007
Persistent link: https://www.econbiz.de/10003510803
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The asymptotic validity of "standard" fully modified OLS estimation and inference in cointegrating polynomial regressions
Stypka, Oliver; Wagner, Martin; Grabarczyk, Peter; … - 2017
The paper considers estimation and inference in cointegrating polynomial regressions, i. e., regressions that include deterministic variables, integrated processes and their powers as explanatory variables. The stationary errors are allowed to be serially correlated and the regressors are...
Persistent link: https://www.econbiz.de/10011736606