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Testing structural hypotheses on cointegration relations with small samples

Zhou, Su - In: Economic inquiry : journal of the Western Economic … 38 (2000) 4, pp. 629-640

Persistent link: https://www.econbiz.de/10001521230

Monte Carlo tests of cointegration in a bivariate normal common factor system

Östermark, Ralf - In: Applied financial economics 10 (2000) 1, pp. 81-93

Persistent link: https://www.econbiz.de/10001525817

A simple sieve bootstrap range test for poolability in dependent cointegrated panels

Di Iorio, Francesca; Fachin, Stefano - In: Economics letters 116 (2012) 2, pp. 154-156

Persistent link: https://www.econbiz.de/10009674514

A bootstrap cointegrated rank test for panels of VAR models

Callot, Laurent A. F. - 2010

Persistent link: https://www.econbiz.de/10008746090

A common-feature approach for testing present-value restrictions with financial data

Hecq, Alain W. J.; Issler, João Victor - 2011

Persistent link: https://www.econbiz.de/10009532945

New improved tests for cointegration with structural breaks

Westerlund, Joakim (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003274451

Bootstrap confidence intervals and hypothesis testing for market information shares

Schweikert, Karsten - In: Journal of financial econometrics 19 (2021) 5, pp. 934-959

Persistent link: https://www.econbiz.de/10012799055

Testing for unit roots with cointegrated data

Reed, W. Robert - 2015

This paper demonstrates that unit root tests can suffer from inflated Type I error rates when data are cointegrated. Results from Monte Carlo simulations show that three commonly used unit root tests - the ADF, Phillips-Perron, and DF-GLS tests - frequently overreject the true null of a unit...

Persistent link: https://www.econbiz.de/10011309691

Information-theoretic schemes for linearity testing under long-range dependence and cointegration

Aparicio Acosta, Felipe M.; Granger, C. W. J. - 1995

Persistent link: https://www.econbiz.de/10000914254

A panel CUSUM test of the null of cointegration

Westerlund, Joakim (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001815397