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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 … conflict. Moreover it avoids the size distortion inherent in separately applying multiple tests for cointegration to the same … data set. We apply our test to 143 data sets from published cointegration studies. There, in one third of all cases single …

Persistent link: https://www.econbiz.de/10003725800

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

A new robust sign test for cointegration

Oh, Yujin; So, Beong Soo - In: Applied economics letters 15 (2008) 10/12, pp. 971-974

Persistent link: https://www.econbiz.de/10003785993

Three essays on unit roots and nonlinear co-integrated processes

Gaul, Jürgen - 2008

Persistent link: https://www.econbiz.de/10003773152

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

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

Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms

Trenkler, Carsten (contributor) - 2006

In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic … considers the standard asymptotic test versions and the Johansen cointegration test for comparison. -- Bootstrap ; Systems … cointegration tests ; VEC models …

Persistent link: https://www.econbiz.de/10003324256

Adapting a nonparametric pooling test for use in panel cointegration models

Mishra, Ashok K.; Moss, Charles B. - In: Applied economics letters 13 (2006) 6, pp. 355-357

Persistent link: https://www.econbiz.de/10003328404

Tests of the null hypothesis of cointegration based on efficient tests for a unit MA root

Jansson, Michael - In: Identification and inference for econometric models : …, (pp. 357-374). 2005

Persistent link: https://www.econbiz.de/10003352578

The size and power of bootstrap and Bartlett-corrected tests of hypotheses on the cointegrating vectors

Omtzigt, Pieter; Fachin, Stefano - In: Econometric reviews 25 (2006) 1, pp. 41-60

Persistent link: https://www.econbiz.de/10003309354