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Semiparametric cointegrating rank selection

Cheng, Xu; Phillips, Peter C. B. - In: The econometrics journal 12 (2009), pp. 83-104

Persistent link: https://www.econbiz.de/10003876315

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

Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach

Shimotsu, Katsumi (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003295720

A new nonparametric test of cointegration rank

Kapetanios, George (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001867121

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

Semiparametric Cointegrating Rank Selection

Cheng, Xu; Phillips, Peter C. B. - 2008

analysis provides a general limit theory for semiparametric reduced rank regression under weakly dependent errors. The method … sympathetic with semiparametric estimation approaches to cointegration analysis. Some simulations results on nite sample …

Persistent link: https://www.econbiz.de/10014217971