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Three essays on unit roots and nonlinear co-integrated processes
Gaul, Jürgen - 2008
Persistent link: https://www.econbiz.de/10003773152
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The performance of panel cointegration methods : results from a large scale simulation study
Wagner, Martin; Hlouskova, Jaroslava - In: Econometric reviews 29 (2010) 2, pp. 182-223
Persistent link: https://www.econbiz.de/10003960501
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The performance of panel cointegration methods : results from a large scale simulation study
Wagner, Martin; Hlouskova, Jaroslava - 2007
This paper presents results concerning the performance of both single equation and system panel cointegration tests and … unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …
Persistent link: https://www.econbiz.de/10009736650
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The performance of panel cointegration methods : results from a large scale simulation study
Wagner, Martin; Hlouskova, Jaroslava - 2007
Persistent link: https://www.econbiz.de/10003510803
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Testing for linearity in regressions with I(1) processes
Arai, Yoichi - In: Hitotsubashi journal of economics 57 (2016) 1, pp. 111-138
Persistent link: https://www.econbiz.de/10011522367
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More powerful cointegration tests with non-normal errors
Lee, Hyejin; Lee, Junsoo; Im, KyungSo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 397-413
Persistent link: https://www.econbiz.de/10011339425
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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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Bootstrap confidence intervals and hypothesis testing for market information shares
Schweikert, Karsten - In: Journal of financial econometrics 19 (2021) 5, pp. 934-959
Persistent link: https://www.econbiz.de/10012799055
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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 for multicointegration
Engsted, Tom; Gonzalo, Jesús; Haldrup, Niels - 1997
Persistent link: https://www.econbiz.de/10000956058