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Testing of fractional cointegration in macroeconomic time series

Gil-Alaña, Luis A. - 2000

We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic time series. It is … article. -- Fractional cointegration ; Long memory …

Persistent link: https://www.econbiz.de/10009612018

A residual-based ADF test for stationary cointegration in I (2) settings

Gómez Biscarri, Javier; Hualde, Javier - 2014

Persistent link: https://www.econbiz.de/10010425763

On the size distortion from linearly interpolating low-frequency series for cointegration tests

Ghysels, Eric; Miller, J. Isaac - In: Essays in honor of Peter C. B. Phillips, (pp. 93-122). 2014

Persistent link: https://www.econbiz.de/10010442875

Distribution-free tests of fractional cointegration

Hualde, Javier; Velasco, Carlos - In: Econometric theory 24 (2008) 1, pp. 216-255

Persistent link: https://www.econbiz.de/10003894150

Trend adjustment prior to testing for the cointegrating rank of a VAR process

Saikkonen, Pentti; Lütkepohl, Helmut - 1997

Testing the cointegrating rank of a vector autoregressive process which may have a deterministic linear trend is considered. Previous proposals for dealing with such a situation are either to allow for a deterministic trend term in computing a suitable test statistic or else remove the linear...

Persistent link: https://www.econbiz.de/10009659627

Fully modified least squares cointegrating parameter estimation in multicointegrated systems

Kheifets, Igor L.; Phillips, Peter C. B. - In: Journal of econometrics 232 (2023) 2, pp. 300-319

Persistent link: https://www.econbiz.de/10014339925

Testing for stochastic trends in series with structural breaks

Busetti, Fabio - 2000

Persistent link: https://www.econbiz.de/10013439233

Tests for segmented cointegration : an application to US governments budgets

Martins, Luís Filipe; Rodrigues, Paulo M. M. - In: Empirical economics : a quarterly journal of the … 63 (2022) 2, pp. 567-600

Persistent link: https://www.econbiz.de/10013440317

Testing cointegration relationship in a semiparametric varying coefficient model

Gu, Jingping; Liang, Zhongwen - In: Journal of econometrics 178 (2014) 1, pp. 57-70

Persistent link: https://www.econbiz.de/10010255469

Testing for Cointegration in High-Dimensional Systems

Cubadda, Gianluca - 2014

This paper considers cointegration tests for dynamic systems where the number of variables is large relative to the … relationships. It is well known that conventional cointegration tests based on a parametric (vector autoregressive) representation … propose nonparametric cointegration tests based on eigenvalue problems that are asymptotically free of nuisance parameters …

Persistent link: https://www.econbiz.de/10013070773