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VEC-MSF models in Bayesian analysis of short- and long-run relationships
Pajor, Anna; Wróblewska, Justyna - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10011708691
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Some cautions on the use of the LLC panel unit root test
Westerlund, Joakim - 2006
Persistent link: https://www.econbiz.de/10003483115
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The effects of ignoring level shifts on systems cointegration tests
Trenkler, Carsten - 2002
cointegration tests that do not accommodate level shifts. I consider two groups of Likelihood Ratio tests based on procedures … rank smaller than one suggested by procedures which accommodate the shifts. -- Systems cointegration tests ; Level shifts …
Persistent link: https://www.econbiz.de/10009626747
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The effects of ignoring level shifts on systems cointegration tests
Trenkler, Carsten - In: Allgemeines statistisches Archiv : AStA ; journal of … 89 (2005) 3, pp. 281-301
Persistent link: https://www.econbiz.de/10003050661
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Bayesian analysis of a fractional cointegration model
Martin, Gael M. - In: Econometric reviews 20 (2001) 2, pp. 217-234
Persistent link: https://www.econbiz.de/10001596591
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On Monte Carlo estimation of relative power
Paruolo, Paolo - In: The econometrics journal 5 (2002) 1, pp. 65-75
Persistent link: https://www.econbiz.de/10001683691
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The effects of ignoring level shifts on systems cointegration tests
Trenkler, Carsten - 2002
Persistent link: https://www.econbiz.de/10001730272
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Nonlinearities in the real exchange rates : new evidence from developed and developing countries
Ahmad, Yamin; Lo, Ming Chien; Staveley-O'Carroll, Olena M. - 2018
Persistent link: https://www.econbiz.de/10012063737
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On the validity of tests for asymmetry in residual-based threshold cointegration models
Schild, Karl-Heinz; Schweikert, Karsten - In: Econometrics : open access journal 7 (2019) 1/12, pp. 1-13
finding sufficient evidence for cointegration in a first step. The extent of oversizing the test for long-run asymmetry … depends inversely on the power of the primary cointegration test. Hence, tests for long-run asymmetry become invalid in cases …
Persistent link: https://www.econbiz.de/10012025641
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Rank based cointegration testing for dynamic panels with fixed T
Juodis, Artūras - In: Empirical economics : a journal of the Institute for … 55 (2018) 2, pp. 349-389
Persistent link: https://www.econbiz.de/10011949797