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The Fourier approximation and testing for the null of cointegration

Tsong, Ching-Chuan; Lee, Cheng-Feng; Tsai, Li-Ju; Hu, … - In: Empirical economics : a journal of the Institute for … 51 (2016) 3, pp. 1085-1113

Persistent link: https://www.econbiz.de/10011554372

Recursive adjustment for general deterministic components and improved cointegration rank tests

Born, Benjamin; Demetrescu, Matei - In: Journal of time series econometrics 7 (2015) 2, pp. 143-179

Persistent link: https://www.econbiz.de/10011291306

Optimal pseudo-Gaussian and rank-based tests of the cointegration rank in semiparametric error-correction models

Hallin, Marc; Akker, Ramon van den; Werker, Bas J. M. - 2015

Persistent link: https://www.econbiz.de/10011348908

Semiparametric error-correction models for cointegration with trends : Pseudo-Gaussian and optimal rank-based tests of the cointegration rank

Hallin, Marc; Akker, Ramon van den; Werker, Bas J. M. - In: Journal of econometrics 190 (2016) 1, pp. 46-61

Persistent link: https://www.econbiz.de/10011591614

Nonlinear error correction based cointegration test in panel data

Omay, Tolga; Emirmahmutoglu, Furkan; Denaux, Zulal S. - In: Economics letters 157 (2017), pp. 1-4

Persistent link: https://www.econbiz.de/10011847276

Testing for the equality of integration orders of multiple series

Wang, Man; Chan, Ngai Hang - In: Econometrics : open access journal 4 (2016) 4, pp. 1-10

essential step in testing for (fractional) cointegration in the bivariate case. For the multivariate case, there are several … versions of cointegration, and the version given in Robinson and Yajima (2002) has received much attention. In this definition … integration order. Furthermore, this time series vector is said to be cointegrated if there exists a cointegration in any of the …

Persistent link: https://www.econbiz.de/10011650498

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

Normality tests for latent variables

Almuzara, Martín; Amengual, Dante; Sentana, Enrique - In: Quantitative economics : QE ; journal of the … 10 (2019) 3, pp. 981-1017

We exploit the rationale behind the Expectation Maximization algorithm to derive simple to implement and interpret LM normality tests for the innovations of the latent variables in linear state space models against generalized hyperbolic alternatives, including symmetric and asymmetric Student...

Persistent link: https://www.econbiz.de/10012049323

Time-series based empirical assessment of random urban growth : new evidence from France

Lalanne, Aurélie; Zumpe, Martin - In: Journal of quantitative economics 18 (2020) 4, pp. 911-926

Persistent link: https://www.econbiz.de/10012418885

The expectations hypothesis of the term structure of interest rates: evidence from the Fourier cointegration test

Güriş, Burak - In: Selected topics in applied econometrics, (pp. 139-147). 2019

Persistent link: https://www.econbiz.de/10012286977