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Testing for news and noise in non-stationary time series subject to multiple historical revisions
Hecq, Alain W. J.; Jacobs, Jan; Stamatogiannis, Michalis P. - In: Journal of macroeconomics 60 (2019), pp. 396-407
Persistent link: https://www.econbiz.de/10012243203
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Long-run structural modelling
Pesaran, M. Hashem; Shin, Yongcheol - 1994
Persistent link: https://www.econbiz.de/10000147757
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The effect of linear time trends on residual-based tests for the null of cointegration
Hassler, Uwe - 1998
Persistent link: https://www.econbiz.de/10000680666
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Testing for multicointegration
Engsted, Tom; Gonzalo, Jesús; Haldrup, Niels - 1997
Persistent link: https://www.econbiz.de/10000956058
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Consistent noisy independent component analysis
Bonhomme, Stéphane (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003637501
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Searching for cointegration in a dynamic system
Qu, Zhongjun - In: The econometrics journal 10 (2007) 3, pp. 580-604
Persistent link: https://www.econbiz.de/10003637627
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Is double trouble? : how to combine cointegration tests
Bayer, Christian (contributor); Hanck, Christoph (contributor) - 2008
This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a more powerful meta test. To exemplify, we combine Engle and Granger (1987) and Johansen (1988) tests. Either of these underlying tests can be more powerful than the other one...
Persistent link: https://www.econbiz.de/10003725800
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A note on tests of partial parameter stability in the cointegrated system
Hsu, Chih-chiang - In: Economics letters 99 (2008) 3, pp. 500-503
Persistent link: https://www.econbiz.de/10003726232
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A simple test for cointegration in dependent panels with structural breaks
Westerlund, Joakim; Edgerton, David L. - In: Oxford bulletin of economics and statistics 70 (2008) 5, pp. 665-704
Persistent link: https://www.econbiz.de/10003759121
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A sieve bootstrap test for cointegration in a conditional error correction model
Palm, Franz C.; Smeekes, Stephan; Urbain, Jean-Pierre - 2007
Persistent link: https://www.econbiz.de/10003647697