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A DIRECT TEST FOR COINTEGRATION BETWEEN APAIR OF TIME SERIES
Leybourne, Steven; Newbold, Paul; Kim, Tae-Hwan; … - University <Nottingham> / Department of Economics; … - 1999
In this paper we introduce a new test of the null hypothesis of nocointegration between a pair of time series. For a very simple generating model, ourtest compares favourably with the Engle-Granger/Dickey-Fuller test and the Johansentrace test. Indeed, shortcomings of the former motivated the...
Persistent link: https://www.econbiz.de/10005869061
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Power comparison of invariant unit root tests
Vougas, Dimitrios V. - In: Applied economics letters 15 (2008) 7/9, pp. 509-512
Persistent link: https://www.econbiz.de/10003741289
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Size performance of the lagrange multiplier (LM) unit root test in the presence of a neglected break under the null
Vougas, Dimitrios V. - In: Applied economics letters 15 (2008) 7/9, pp. 701-705
Persistent link: https://www.econbiz.de/10003741635
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On the size of the DF-GLS test
Vougas, Dimitrios V. - In: Applied economics letters 15 (2008) 10/12, pp. 777-780
Persistent link: https://www.econbiz.de/10003785629
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Is the trend in post-WW II US real GDP uncertain or non-linear?
Vougas, Dimitrios V. - In: Economics letters 94 (2007) 3, pp. 348-355
Persistent link: https://www.econbiz.de/10003436840
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Examining the robustness of cointegration analysis under weighted symmetric estimation
Cook, Steven; Vougas, Dimitrios V. - In: Applied economics letters 14 (2007) 10/12, pp. 711-714
Persistent link: https://www.econbiz.de/10003588760
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Modification of the LM unit root test
Vougas, Dimitrios V. - In: Applied economics letters 14 (2007) 10/12, pp. 913-917
Persistent link: https://www.econbiz.de/10003589558
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GLS detrending and unit root testing
Vougas, Dimitrios V. - In: Economics letters 97 (2007) 3, pp. 222-229
Persistent link: https://www.econbiz.de/10003575569
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Final modification of the LM unit root test
Vougas, Dimitrios V. - In: Applied economics letters 15 (2008) 13/15, pp. 1007-1009
Persistent link: https://www.econbiz.de/10003801118
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Modification of the point optimal unit root test
Vougas, Dimitrios V. - In: Applied economics letters 16 (2009) 4/6, pp. 349-352
Persistent link: https://www.econbiz.de/10003842404