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Cointegrating polynomial regressions : fully modified OLS estimation and inference

Wagner, Martin; Hong, Seung Hyun - In: Econometric theory 32 (2016) 5, pp. 1289-1315

Persistent link: https://www.econbiz.de/10011661753

The asymptotic validity of "standard" fully modified OLS estimation and inference in cointegrating polynomial regressions

Stypka, Oliver; Wagner, Martin; Grabarczyk, Peter; … - 2017

The paper considers estimation and inference in cointegrating polynomial regressions, i. e., regressions that include deterministic variables, integrated processes and their powers as explanatory variables. The stationary errors are allowed to be serially correlated and the regressors are...

Persistent link: https://www.econbiz.de/10011736606

Tests of the Null of Cointegration Using Integrated and Modified OLS Residuals

Cho, Cheol-Keun - 2022

This study investigates the asymptotic and finite-sample properties of KPSS-type cointegra-tion tests that use … provide a consistent test against the al-ternative of no cointegration under traditional small-b asymptotics, and has a … not converge to 1 under the alternative ofno cointegration, which leads to a non-degenerate power in the limit. Simulation …

Persistent link: https://www.econbiz.de/10014084250

Break date estimation and cointegration testing in VAR processes with level shift

Saikkonen, Pentti (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002113171

Generalized reduced rank tests using the singular value decomposition

Kleibergen, Frank; Paap, Richard - In: Journal of econometrics 133 (2006) 1, pp. 97-126

Persistent link: https://www.econbiz.de/10003354557

Testing for the cointegrating rank of a VAR process with level shift and trend break

Trenkler, Carsten (contributor); … - 2006

corresponding Gaussian likelihood ratio test for the cointegrating rank. -- Cointegration ; structural break ; vector autoregressive …

Persistent link: https://www.econbiz.de/10003376003

Bootstrap algorithms for testing and determining the cointegration rank in VAR models

Swensen, Anders Rygh - In: Econometrica : journal of the Econometric Society, an … 74 (2006) 6, pp. 1699-1714

Persistent link: https://www.econbiz.de/10003392390

Reciprocal upper semicontinuity and better reply secure games : a comment

Bagh, Adib; Jofré, Alejandro - In: Econometrica : journal of the Econometric Society, an … 74 (2006) 6, pp. 1715-1721

Persistent link: https://www.econbiz.de/10003394280

Panel cointegration rank testing with cross-section dependence

Carrion i Silvestre, Josep Lluís; Surdeanu, Laura - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 4, pp. 1-41

Persistent link: https://www.econbiz.de/10009521856

Meta-analytic cointegrating rank tests for dependent panels

Karaman Örsal, Deniz Dilan; Arsova, Antonia - 2015

This paper proposes two new panel cointegrating rank tests which are robust to cross-sectional dependency. The dependence in the data generating process is modeled using unobserved common factors. The new tests are based on a metaanalytic approach, in which the p-values of the individual...

Persistent link: https://www.econbiz.de/10011392830