Search Results - subject:"Residual based test"

Testing for the equality of integration orders of multiple series

Wang, Man; Chan, Ngai Hang - In: Econometrics 4 (2016) 4, pp. 1-10

invalid under the presence of cointegration. Hualde (2013) overcomes these difficulties with a residual-based test for a …-step residual-based test is proposed to deal with the multivariate case that overcomes the computational issue. Under certain …

Persistent link: https://www.econbiz.de/10011755353

Testing for the equality of integration orders of multiple series

Wang, Man; Chan, Ngai Hang - In: Econometrics : open access journal 4 (2016) 4, pp. 1-10

Persistent link: https://www.econbiz.de/10011650498

A CUSUM Test for Cointegration Using Regression Residuals

Xiao, Zhijie; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2001

leading to a consistent residual based test for the null hypothesis of cointegration. The proposed tests are semiparametric …

Persistent link: https://www.econbiz.de/10005593636