Similar Search Results

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

Information-theoretic schemes for linearity testing under long-range dependence and cointegration

Aparicio Acosta, Felipe M.; Granger, C. W. J. - 1995

Persistent link: https://www.econbiz.de/10000914254

Johansen test with Fourier-type smooth nonlinear trends in cointegrating relations

Kurita, Takamitsu; Shintani, Mototsugu - 2023

Persistent link: https://www.econbiz.de/10014383879

Testing for Breaks in Cointegrated Panels with Common and Idiosyncratic Stochastic Trends

Kao, Chihwa - 2011

In this paper, we develop tests for structural change in cointegrated panel regressions with common and idiosyncratic trends. We consider both the cases of observable and nonobservable common trends, deriving a Functional Central Limit Theorem for the partial sample estimators under the null of...

Persistent link: https://www.econbiz.de/10013127390

Testing for breaks in cointegrated panels with common and idiosyncratic stochastic trends

Kao, Chihwa; Trapani, Lorenzo; Urga, Giovanni - 2011

Persistent link: https://www.econbiz.de/10009381370

Tests for cointegration allowing for an unknown number of breaks

Maki, Daiki - In: Economic modelling 29 (2012) 5, pp. 2011-2015

Persistent link: https://www.econbiz.de/10009667003

Residual-based tests for fractional cointegration : a Monte Carlo study

Dittmann, Ingolf - 1998

cointegration. Critical values and the power of the tests under the alternative of fractional cointegration are simulated and …

Persistent link: https://www.econbiz.de/10010467702

The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break

Neto, David - In: Economics letters 125 (2014) 2, pp. 208-211

Persistent link: https://www.econbiz.de/10010505390

Residuals-based tests for cointegration with generalized least-squares detrended data

Perron, Pierre; Rodríguez, Gabriel - In: The econometrics journal 19 (2016) 1, pp. 84-111

Persistent link: https://www.econbiz.de/10011487613

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

essential step in testing for (fractional) cointegration in the bivariate case. For the multivariate case, there are several … versions of cointegration, and the version given in Robinson and Yajima (2002) has received much attention. In this definition … integration order. Furthermore, this time series vector is said to be cointegrated if there exists a cointegration in any of the …

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