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A comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests

Boswijk, Herman Peter; Lucas, André; Taylor, Nicholas - 1999

This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the … estimation or semi-nonparametric density approximations. Thecomparison is completed with a fully nonparametric cointegration test …

Persistent link: https://www.econbiz.de/10011300549

Testing for smooth transition nonlinearity in the presence of outliers

Dijk, Dick van; Franses, Philip Hans; Lucas, André - 1996

Persistent link: https://www.econbiz.de/10000944648

Testing for arch in the presence of additive outliers

Dijk, Dick van; Franses, Philip Hans; Lucas, André - 1996

Persistent link: https://www.econbiz.de/10000966917

Forecasting stock returns using bilinearities in fundamentals and macroeconomic variables

Dijk, Ronald van; Kloek, Teunis; Lucas, André - 1996

Persistent link: https://www.econbiz.de/10000966934

Outperforming the market using biliniarities in fundamentals and macroeconomic variables

Kloek, Teunis; Lucas, André; Dijk, Ronald van - 1995

Persistent link: https://www.econbiz.de/10000922344

A hybrid joint moment ratio test for financial times series

Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998

Persistent link: https://www.econbiz.de/10000994244

Outlier robust GMM estimation of leverage determinants

Lucas, André; Dijk, Ronald van; Kloek, Teun - 1994

Persistent link: https://www.econbiz.de/10000151692

Positivity conditions for stochastic state space modelling of time series

Heij, Christiaan - In: Econometric reviews 11 (1992) 3, pp. 379-396

Persistent link: https://www.econbiz.de/10001133926

Unit root tests based on M estimators

Lucas, André - In: Econometric theory 11 (1995) 2, pp. 331-346

Persistent link: https://www.econbiz.de/10001185251

Outlier detection in cointegration analysis

Franses, Philip Hans - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 4, pp. 459-468

Persistent link: https://www.econbiz.de/10001251800

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