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Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter; Zu, Yang - 2019
size distortions in conventional cointegration tests, which may be resolved using the wild bootstrap, as shown by Cavaliere …
Persistent link: https://www.econbiz.de/10012026102
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Bootstrap tests for time varying cointegration
Martins, Luís Filipe - In: Econometric reviews 37 (2018) 1/5, pp. 466-483
Persistent link: https://www.econbiz.de/10012039357
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Bootstrap testing of hypotheses on co-integration relations in vector autoregressive models
Cavaliere, Giuseppe; Bohn Nielsen, Heino; Rahbek, Anders - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 2, pp. 813-831
Persistent link: https://www.econbiz.de/10011350499
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The estimation uncertainty of permanent-transitory decompositions in co-integrated systems
Schreiber, Sven - In: Econometric reviews 38 (2019) 3, pp. 279-300
Persistent link: https://www.econbiz.de/10012181279
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Bootstrap cointegration tests in ARDL models
Bertelli, Stefano; Vacca, Gianmarco; Zoia, Maria Grazia - In: Economic modelling 116 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10014512301
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Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter; Zu, Yang - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 744-755
Persistent link: https://www.econbiz.de/10013534484
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Robust bootstrap inference for linear time-varying coefficient models : some Monte Carlo evidence
Lin, Yicong; Song, Mingxuan - 2023
. Additionally, we consider situations where the regressors exhibit unit roots, thus delving into a nonlinear cointegration framework …
Persistent link: https://www.econbiz.de/10014335549
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Controlling heterogeneous structure of smooth breaks in panel unit root and cointegration testing
Omay, Tolga; Iren, Perihan - In: Computational economics 61 (2023) 1, pp. 233-265
Persistent link: https://www.econbiz.de/10014228424
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Long-run relationship between Islamic stock returns and macroeconomic variables : an application of the autoregressive distributed lag model
Majid, Muhammad Shabri Abdul; Rosylin Mohd. Yusof - In: Humanomics 25 (2009) 2, pp. 127-141
Persistent link: https://www.econbiz.de/10003903018
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Estimation of private consumption function of Iran : autoregressive distributed lag approach to co-integration
Nikbin, Behnam; Panahi, Saman - In: International journal of economics and financial issues … 6 (2016) 2, pp. 653-659
Persistent link: https://www.econbiz.de/10011697227