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Testing for unit roots with cointegrated data
Reed, W. Robert - 2015
This paper demonstrates that unit root tests can suffer from inflated Type I error rates when data are cointegrated. Results from Monte Carlo simulations show that three commonly used unit root tests - the ADF, Phillips-Perron, and DF-GLS tests - frequently overreject the true null of a unit...
Persistent link: https://www.econbiz.de/10011309691
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A covariate residual-based cointegration test applied to the CDS-bond basis
Game, Aaron; Wu, Jason - In: Journal of time series econometrics 5 (2013) 2, pp. 163-192
Persistent link: https://www.econbiz.de/10010225442
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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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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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Non-cointegration and econometric evaluation of models of regional shift and share
Brown, Scott James; Coulson, N. Edward; Engle, Robert F. - 1990
Persistent link: https://www.econbiz.de/10000786474
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The effect of data transformation on common cycle, cointegration and unit root tests : Monte Carlo results and a simple test
Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 132 (2006) 1, pp. 195-229
Persistent link: https://www.econbiz.de/10003320260
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Specification testing for nonlinear cointegrating regression
Wang, Qiying; Phillips, Peter C. B. - 2011
cointegration and regressors that have autoregressive unit roots or near unit roots. The limit theory for the specification test …
Persistent link: https://www.econbiz.de/10008826041
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Likelihood based testing for no fractional cointegration
Łasak, Katarzyna - In: Journal of econometrics 158 (2010) 1, pp. 67-77
Persistent link: https://www.econbiz.de/10008826875
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A comparison between tests for changes in the adjustment coefficients in cointegrated systems
Barassi, Marco R. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003391491
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Testing for breaks in cointegrated panels with common and idiosyncratic stochastic trends
Kao, Chihwa; Trapani, Lorenzo; Urga, Giovanni - 2011
Persistent link: https://www.econbiz.de/10009381370