-likelihood ratio test of no-cointegration on the estimated p-r common trends that are not cointegrated under the null. The order of …

returns. We prove consistency and asymptotic normality of a symmetric variance estimator and of a one-sided variance estimator …

, which are robust to weak identification and allow for non-Gaussian distributions including parametric GARCH structures. In … the Maximized Monte Carlo test method - are generally preferable to their Wald-HAC counterparts from the viewpoints of …

Permutation techniques, where one recompute the test statistic over permutations of data, have a long history in … permutation tests for examining returns to scale assumptions, nor for test of common production possibility sets, when analysing … productivity have been available. We develop three novel tests based on permutations of the observations. The first is a test for …

received much attention in the econometrics literature. We study test performance in the context of specification testing for … all subsidiary null hypotheses outperform the well-known minimum P-value test and a recently proposed test that relies on … the non-parametric estimation of the joint density of all subsidiary test statistics. …

-likelihood ratio test of no-cointegration on the estimated p-r common trends that are not cointegrated under the null. The order of …