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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

A CUSUM test for cointegration using regression residuals

Xiao, Zhijie; Phillips, Peter C. B. - 2001

Persistent link: https://www.econbiz.de/10001618852

Xiao, Zhijie; Phillips, Peter C. B. - In: Econometric theory 15 (1999) 4, pp. 519-548

Persistent link: https://www.econbiz.de/10001492212

A CUSUM Test for Cointegration Using Regression Residuals

Xiao, Zhijie; Phillips, Peter C. B. - 2003

leading to a consistent residual based test for the null hypothesis of cointegration. The proposed tests are semiparametric …

Persistent link: https://www.econbiz.de/10014124711

An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy

Xiao, Zhijie; Phillips, Peter C. B. - In: The econometrics journal 1 (1998) 2, pp. 27-43

Persistent link: https://www.econbiz.de/10001443696

An Adf Coefficient Test for a Unit Root in Arma Models of Unknown Order with Empirical Applications to the Us Economy

Xiao, Zhijie; Phillips, Peter C. B. - 1999

This paper proposes an Augmented Dickey-Fuller (ADF) coefficient test for detecting the presence of a unit root in autoregressive moving average (ARMA) models of unknown order. Although the limit distribution of the coefficient estimate depends on nui-sance parameters, a simple transformation...

Persistent link: https://www.econbiz.de/10014197194