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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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Modelling time-varying parameters in panel data state-space frameworks : an application to the Feldstein–Horioka puzzle
Camarero Olivas, Mariam; Sapena, Juan; Tamarit … - In: Computational economics 56 (2020) 1, pp. 87-114
Persistent link: https://www.econbiz.de/10012272020
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Testing for unit roots with cointergated data
Reed, W. Robert - 2015
Persistent link: https://www.econbiz.de/10011296226
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Unit root tests, size distortions, and cointegrated data
Reed, W. Robert - 2014
Persistent link: https://www.econbiz.de/10011296518
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Univariate unit root tests perform poorly when data are cointegrated
Reed, W. Robert - 2016 - Revised edition
Persistent link: https://www.econbiz.de/10011514491
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A time series paradox : unit root tests perform poorly when data are cointegrated
Reed, W. Robert; Smith, Aaron D. - In: Economics letters 151 (2017), pp. 71-74
Persistent link: https://www.econbiz.de/10011742136
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Testing for cointegration with threshold adjustment in the presence of structural breaks
Schweikert, Karsten - 2018
In this paper, we develop new threshold cointegration tests with SETAR and MTAR adjustment allowing for the presence of … breakpoint and test the null hypothesis of no cointegration. Thereby, we extend the well-known residual-based cointegration test … Carlo experiments. We find a substantial decrease of power of the conventional threshold cointegration tests caused by a …
Persistent link: https://www.econbiz.de/10011842010
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Fractional integration and its influence on unit root and co-integration analysis
Marques, Guilherme de Oliveira Lima C. - In: Economia aplicada : EA 20 (2016) 3, pp. 333-350
Persistent link: https://www.econbiz.de/10011807231
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Johansen test with Fourier-type smooth nonlinear trends in cointegrating relations
Kurita, Takamitsu; Shintani, Mototsugu - 2023
Persistent link: https://www.econbiz.de/10014383879
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Controlling heterogeneous structure of smooth breaks in panel unit root and cointegration testing
Omay, Tolga; Iren, Perihan - In: Computational economics 61 (2023) 1, pp. 233-265
Persistent link: https://www.econbiz.de/10014228424