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Asymptotic theory for cointegration analysis when the cointegration rank is deficient

Bernstein, David H.; Nielsen, Bent - In: Econometrics : open access journal 7 (2019) 1/6, pp. 1-24

We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of … interest in finite sample analysis and in relation to recent work on identification robust cointegration inference. We derive … asymptotic theory for tests for cointegration rank and for hypotheses on the cointegrating vectors. The limiting distributions …

Persistent link: https://www.econbiz.de/10012025653

Estimation and testing for the cointegration rank in a threshold cointegrated system

Krishnakumar, Jayalakshmi; Neto, David - 2009

Persistent link: https://www.econbiz.de/10003926954

Consistent co-trending rank selection when both stochastic and non-linear deterministic trends are present

Guo, Zheng-feng; Shintani, Mototsugu - In: The econometrics journal 16 (2013) 3, pp. 473-484

Persistent link: https://www.econbiz.de/10010253630

Asymptotic theory for cointegration analysis when the cointegration rank is deficient

Bernstein, David; Nielsen, Bent - 2014

Persistent link: https://www.econbiz.de/10010458257

Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach

Shimotsu, Katsumi (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003295720

Cointegrating rank selection in models with time-varying variance

Cheng, Xu; Phillips, Peter C. B. - 2009

Persistent link: https://www.econbiz.de/10003795694

Determining the cointegrating rank in nonstationary frational system by the exact local Whittle approach

Nielsen, Morten Ørregaard; Shimotsu, Katsumi - In: Journal of econometrics 141 (2007) 2, pp. 574-596

Persistent link: https://www.econbiz.de/10003571326

Strongly consistent determination of the rank of matrix

Ratsimalahelo, Zaka - 2003 - This version: June 21, 2003

In this paper, we develop methods of the determination of the rank of random matrix. Using the matrix perturbation theory to construct or find a suitable bases of the kernel (null space) of the matrix and to determine the limiting distribution of the estimator of the smallest singular values. We...

Persistent link: https://www.econbiz.de/10011513001

A jackknife correction to a test for cointegration rank

Chambers, Marcus J. - In: Econometrics : open access journal 3 (2015) 2, pp. 355-375

This paper investigates the performance of a jackknife correction to a test for cointegration rank in a vector …

Persistent link: https://www.econbiz.de/10011297630

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