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Detecting periods of exuberance : a look at the role of aggregation with an application to house prices
Pavlidis, Efthymios; Martínez-García, Enrique; … - In: Economic modelling 80 (2019), pp. 87-102
Persistent link: https://www.econbiz.de/10012199187
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Small sample adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra - In: Journal of time series econometrics 14 (2022) 1, pp. 51-85
Persistent link: https://www.econbiz.de/10013260145
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Small sample adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra - 2021
Persistent link: https://www.econbiz.de/10013167436
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Bootstrap Bartlett adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra - 2020
Persistent link: https://www.econbiz.de/10012386989
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A residual-based ADF test for stationary cointegration in I (2) settings
Gomez-Biscarri, Javier; Hualde, Javier - In: Journal of econometrics 184 (2015) 2, pp. 280-294
Persistent link: https://www.econbiz.de/10011339328
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Testing for a threshold in models with endogenous regressors
Rothfelder, Mario; Boldea, Otilia - 2016
Persistent link: https://www.econbiz.de/10011526220
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Testing a class of semi- or nonparametric conditional moment restriction models using series methods
Sørensen, Jesper R.-V. - 2020
Persistent link: https://www.econbiz.de/10012319254
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Robust inference under time-varying volatility : a real-time evaluation of professional forecasters
Demetrescu, Matei; Hanck, Christoph; Kruse-Becher, Robinson - In: Journal of applied econometrics 37 (2022) 5, pp. 1010-1030
Persistent link: https://www.econbiz.de/10013464645
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A sieve bootstrap test for cointegration in a conditional error correction model
Palm, Franz C.; Smeekes, Stephan; Urbain, Jean-Pierre - 2007
Persistent link: https://www.econbiz.de/10003647697
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Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
Trenkler, Carsten (contributor) - 2006
In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic … considers the standard asymptotic test versions and the Johansen cointegration test for comparison. -- Bootstrap ; Systems … cointegration tests ; VEC models …
Persistent link: https://www.econbiz.de/10003324256