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Semiparametric cointegrating rank selection
Cheng, Xu (contributor); Phillips, Peter C. B. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003767412
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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
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Estimation and testing for the cointegration rank in a threshold cointegrated system
Krishnakumar, Jayalakshmi; Neto, David - 2009
Persistent link: https://www.econbiz.de/10003926954
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Canonical correlation statistics for testing the cointegration rank in a reversed order
Breitung, Jörg - 1998
to construct a confidence set for the cointegration rank. As the latter test, our tests are based on the eigenvalues of a … to Johansen's LR tests for determining the cointegration rank. …
Persistent link: https://www.econbiz.de/10009578561
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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
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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
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A unifying theory of tests of rank
Sadoon, Majid M. al- - In: Journal of econometrics 199 (2017) 1, pp. 49-62
Persistent link: https://www.econbiz.de/10011818957
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Semiparametric Cointegrating Rank Selection
Cheng, Xu; Phillips, Peter C. B. - 2008
sympathetic with semiparametric estimation approaches to cointegration analysis. Some simulations results on nite sample …
Persistent link: https://www.econbiz.de/10014217971
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Bootstrap confidence intervals and hypothesis testing for market information shares
Schweikert, Karsten - In: Journal of financial econometrics 19 (2021) 5, pp. 934-959
Persistent link: https://www.econbiz.de/10012799055
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Combining p-values to test for multiple structural breaks in cointegrated regressions
Bergamelli, Michele; Bianchi, Annamaria; Khalaf, Lynda; … - In: Journal of econometrics 211 (2019) 2, pp. 461-482
Persistent link: https://www.econbiz.de/10012303823