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Small sample adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra - In: Journal of time series econometrics 14 (2022) 1, pp. 51-85
Persistent link: https://www.econbiz.de/10013260145
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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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Spurious regression, cointegration, and near cointegration : a unifying approach
Haldrup, Niels; Jansson, Michael - 1999
cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …
Persistent link: https://www.econbiz.de/10011300555
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Robust estimation and inference for threshold models with integrated regressors
Chen, Haiqiang - 2013
This paper studies the robust estimation and inference of threshold models with integrated regres- sors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....
Persistent link: https://www.econbiz.de/10009767269
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Bootstrap LR Tests of Stationarity, Common Trends and Cointegration
Busetti, Fabio - 2011
The paper considers likelihood ratio (LR) tests of stationarity, common trends and cointegration for multivariate time … power gains of the bootstrap LR test are significantly larger for testing the hypothesis of common trends and cointegration …
Persistent link: https://www.econbiz.de/10013125622
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Model Specification Testing for Nonlinear Multivariate Cointegrating Regressions
Dong, Chaohua - 2016
This paper considers a general model specification test for nonlinear multivariate cointegrating regressions where the regressor consists of a univariate integrated time series and a vector of stationary time series. The regressors and the errors are generated from the same innovations, so that...
Persistent link: https://www.econbiz.de/10013006720
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Multiple Structural Breaks in Cointegrating Regressions : A Model Selection Approach
Schmidt, Alexander - 2019
cointegration in the presence of multiple structural breaks, derive the asymptotic distribution of our test statistics and show that … the proposed tests have power against the null of no cointegration. Finally, we use our new methodology to study the …
Persistent link: https://www.econbiz.de/10012859113
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Structural breaks in cointegration models (in Russian)
Skrobotov, Anton - 2021
This review discusses methods of testing for a cointegration in a time series in thepresence of structural breaks. The … presented. In addition, nonlinear cointegration methods with regime swithingsare considered …
Persistent link: https://www.econbiz.de/10013214656
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Augmented cointegrating linear models with possibly strongly correlated stationary and nonstationary regressors regressors
Peng, Zhen; Dong, Chaohua - 2021
Since an economic or financial variable may be affected by both stationary andnonstationary variables, this paper proposes a class of augmented cointegrating linear(ACL) models that accommodate these time series of different types. Moreover, thevariables are allowed to be strongly correlated in...
Persistent link: https://www.econbiz.de/10013323760
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Testing for panel cointegration using common correlated effects estimators
Banerjee, Anindya; Carrion i Silvestre, Josep Lluís - 2017
used to design a panel cointegration test statistic accounting for cross-section dependence. The performance of the …
Persistent link: https://www.econbiz.de/10012010208