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An augmented autoregressive distributed lag bounds test for cointegration
Sam, Chung Yan; McNown, Robert F.; Khoon, Goh Soo - In: Economic modelling 80 (2019), pp. 130-141
Persistent link: https://www.econbiz.de/10012200504
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A multivariate autoregressive distributed lag unit root test
McNown, Robert F.; Sam, Chung Yan; Khoon, Goh Soo; Goh, … - 2023
Persistent link: https://www.econbiz.de/10014328846
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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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Testing cointegration relationship in a semiparametric varying coefficient model
Gu, Jingping; Liang, Zhongwen - In: Journal of econometrics 178 (2014) 1, pp. 57-70
Persistent link: https://www.econbiz.de/10010255469
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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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Small sample adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra - 2021
Persistent link: https://www.econbiz.de/10013167436
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Co-Integration Rank Testing under Conditional Heteroskedasticity
Cavaliere, Giuseppe - 2009
We analyse the properties of the conventional Gaussian-based co-integrating rank tests of Johansen (1996) in the case where the vector of series under test is driven by globally stationary, conditionally heteroskedastic (martingale difference) innovations. We first demonstrate that the limiting...
Persistent link: https://www.econbiz.de/10013159424
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Bootstrap Bartlett adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra - 2020
Persistent link: https://www.econbiz.de/10012386989
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Improvement on the LR test statistic on the cointegrating relations in VAR models : bootstrap methods and applications
Canepa, Alessandra - 2020
Persistent link: https://www.econbiz.de/10012386990
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Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter; Zu, Yang - 2019
size distortions in conventional cointegration tests, which may be resolved using the wild bootstrap, as shown by Cavaliere …
Persistent link: https://www.econbiz.de/10012026102