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Testing structural hypotheses on cointegration relations with small samples

Zhou, Su - In: Economic inquiry : journal of the Western Economic … 38 (2000) 4, pp. 629-640

Persistent link: https://www.econbiz.de/10001521230

Some nonparametric tests for unit roots and cointegration

Breitung, Jörg - 1999

Persistent link: https://www.econbiz.de/10001390729

A new set of critical values for systems cointegration tests with a prior adjustment for deterministic terms

Trenkler, Carsten (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001749477

Some cautions on the use of panel methods for integrated series of macro-economic data

Banerjee, Anindya; Marcellino, Massimiliano; Osbat, Chiara - 2000

Persistent link: https://www.econbiz.de/10001562696

Cointegration and threshold adjustment

Enders, Walter; Siklos, Pierre L. - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 2, pp. 166-176

Persistent link: https://www.econbiz.de/10001568815

A panic attack on unit roots and cointegration

Bai, Jushan (contributor); Ng, Serena (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001650976

Testing for (common) stochastic trends in the presence of structural breaks

Busetti, Fabio - In: Journal of forecasting 21 (2002) 2, pp. 81-105

Persistent link: https://www.econbiz.de/10001653522

Information-theoretic schemes for linearity testing under long-range dependence and cointegration

Aparicio Acosta, Felipe M.; Granger, C. W. J. - 1995

Persistent link: https://www.econbiz.de/10000914254

Advantages of Non-Normality in Testing Cointegration Rank

Chan, Felix - 2013

Since the seminal work of Engle and Granger (1987) and Johansen (1988), testing for cointegration has become standard … practice in analysing economic and financial time series data. Many of the techniques in cointegration analysis require the …-varying second moments and it is unclear how these characteristics affect the standard test of cointegration, such as Johansen …

Persistent link: https://www.econbiz.de/10013086146

A New Poolability Test for Cointegrated Panels

Westerlund, Joakim - 2013

This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are equal across the cross-section. The asymptotic distribution of the new test statistic is derived and simulation results are provided to suggest that it performs very well in...

Persistent link: https://www.econbiz.de/10013075469