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Nonparametric testing for linearity in cointegrated error-correction models
Seo, Byeongseon - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10009521205
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Residual-based tests for fractional cointegration : a Monte Carlo study
Dittmann, Ingolf - 1998
cointegration. Critical values and the power of the tests under the alternative of fractional cointegration are simulated and …
Persistent link: https://www.econbiz.de/10010467702
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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
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Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
Ahlgren, Niklas (contributor); Antell, Jan (contributor) - 2006
Persistent link: https://www.econbiz.de/10003367377
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A more powerful modification of Johansen's cointegration tests
Leybourne, Stephen James; Kim, Tae-hwan; Newbold, Paul - In: Applied economics 40 (2008) 4/6, pp. 725-729
Persistent link: https://www.econbiz.de/10003722969
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A comparison between tests for changes in the adjustment coefficients in cointegrated systems
Barassi, Marco R. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003391491
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Panel cointegration tests with deterministic trends and structural breaks
Westerlund, Joakim (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003124732
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The power of bootstrap tests of cointegration rank with financial time series
Ahlgren, Niklas; Antell, Jan - 2009
Persistent link: https://www.econbiz.de/10003846167
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Semiparametrically Optimal Cointegration Test
Zhou, Bo - 2023
This paper aims to address the issue of semiparametric efficiency for cointegration rank testing in finite-order vector …
Persistent link: https://www.econbiz.de/10014347665
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Residual-based cointegration and non-cointegration tests for cointegrating polynomial regressions
Wagner, Martin - In: Empirical economics : a quarterly journal of the … 65 (2023) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10014329033