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Unit root tests : the role of the univariate models implied by multivariate time series
Cappuccio, Nunzio; Lubian, Diego - In: Econometrics : open access journal 4 (2016) 2, pp. 1-11
In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series …
Persistent link: https://www.econbiz.de/10011505987
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Nonparametric rank tests for non-stationary panels
Pedroni, Peter Louis; Vogelsang, Timothy J.; Wagner, Martin - 2011
-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence … roots ; cointegration ; cross-sectional dependence …
Persistent link: https://www.econbiz.de/10009686205
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Critical values for cointegration tests
MacKinnon, James G. - 2010
This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these …
Persistent link: https://www.econbiz.de/10003919736
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Argentinean real exchange rate 1900 - 2006 : testing purchasing power parity theory
Dal Bianco, Marcos - In: Estudios de economía 35 (2008) 1, pp. 33-64
cointegration between the nominal exchange rate and the relative prices. In particular, the Argentinean RER appears to be trend … ; cointegration ; structural breaks. …
Persistent link: https://www.econbiz.de/10003746940
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The long-run validity of PPP in some major advanced and emerging countries using alternative models
Kyei-Mensah, Justice - In: Cogent economics & finance 11 (2023) 1, pp. 1-26
study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology …
Persistent link: https://www.econbiz.de/10014500904
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Modelling seasonality with fractionally integrated processes
Gil-Alaña, Luis A. - 2000
We propose in this article the use of a particular version of the tests of Robinson (1994) for testing seasonally fractionally integrated processes. The tests have standard null and local limit distributions and allow us to test unit and fractional seasonal roots even with different amplitudes...
Persistent link: https://www.econbiz.de/10009582382
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Purchasing Power Parity : A Unit Root, Cointegration and VAR Analysis in Emerging and Advanced Countries
Loukopoulos, Georgios - 2014
cointegration between exchange rates and consumer price indices. The impulse response function presents a graphical view which is …
Persistent link: https://www.econbiz.de/10013044515
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Unit Roots and Cointegration in Panels
Breitung, Jörg - 2016
This paper provides a review of the literature on unit roots and cointegration …
Persistent link: https://www.econbiz.de/10012991206
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The Effect of Data Transformation on Common Cycle, Cointegration, and Unit Root Tests : Monte Carlo Results and a Simple Test
Swanson, Norman R.; Corradi, Valentina - 2003
In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related tests … cointegration tests. These Monte Carlo findings underscore the importance of either using economic theory as a guide to data …
Persistent link: https://www.econbiz.de/10014075928
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Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics
Nielsen, Morten Ørregaard - 2004
We propose a Lagrange Multiplier test of the null hypothesis of cointegration in fractionally cointegrated models. The …
Persistent link: https://www.econbiz.de/10014071206