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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

Nonlinear regressions with nonstationary time series

Chan, Nigel; Wang, Qiying - In: Journal of econometrics 185 (2015) 1, pp. 182-195

Persistent link: https://www.econbiz.de/10011339876

On the power and size properties of cointegration tests in the light of high-frequency stylized facts

Krauss, Christopher; Herrmann, Klaus; Teis, Stefan - 2015

This paper first establishes a selection of stylized facts for high-frequency cointegration processes in the European …,1) processes are used to model the cointegration relationship. Furthermore, this cointegration relationship is contaminated with … jumps. Based on these processes, the power and size properties of ten contemporary cointegration tests are assessed. We …

Persistent link: https://www.econbiz.de/10011341383

Beating the VAR : improving Swedish GDP forecasts using error and intercept corrections

Lyhagen, Johan; Ekberg, Stefan; Eidestedt, Richard - In: Journal of forecasting 34 (2015) 5, pp. 354-363

Persistent link: https://www.econbiz.de/10011318328

Robust estimation and inference for threshold models with integrated regressors

Chen, Haiqiang - 2013

This paper studies the robust estimation and inference of threshold models with integrated regres- sors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....

Persistent link: https://www.econbiz.de/10009767269

A wavelet approach to multiple cointegration testing

Fernández Macho, Francisco Javier - 2013

Persistent link: https://www.econbiz.de/10009769036

Low-frequency robust cointegration testing

Müller, Ulrich K.; Watson, Mark W. - In: Journal of econometrics 174 (2013) 2, pp. 66-81

Persistent link: https://www.econbiz.de/10009751249

Cointegration and US regional gasoline prices : testing market efficiency from the stationarity of price proportions

Hunter, John; Tabaghdehi, Seyedeh Asieh - 2013

Persistent link: https://www.econbiz.de/10009731971

Non-parametric transformation regression with non-stationary data

Linton, Oliver; Wang, Qiying - 2013

We examine a kernel regression smoother for time series that takes account of the error correlation structure as proposed by Xiao et al. (2008). We show that this method continues to improve estimation in the case where the regressor is a unit root or near unit root process.

Persistent link: https://www.econbiz.de/10009734305

Stationary vector autoregressive representation of error correction models

Kim, Yun-yeong - In: Theoretical economics letters 2 (2012) 2, pp. 152-156

Persistent link: https://www.econbiz.de/10009702454