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Testing cointegration relationship in a semiparametric varying coefficient model

Gu, Jingping; Liang, Zhongwen - In: Journal of econometrics 178 (2014) 1, pp. 57-70

Persistent link: https://www.econbiz.de/10010255469

Pitfalls in bootstrapping spurious regression

Phillips, Peter C. B. - In: Journal of quantitative economics 19 (2021), pp. 163-217

Persistent link: https://www.econbiz.de/10013441715

Controlling heterogeneous structure of smooth breaks in panel unit root and cointegration testing

Omay, Tolga; Iren, Perihan - In: Computational economics 61 (2023) 1, pp. 233-265

Persistent link: https://www.econbiz.de/10014228424

On bootstrap implementation of likelihood ratio test for a unit root

Skrobotov, Anton - In: Economics letters 171 (2018), pp. 154-158

Persistent link: https://www.econbiz.de/10012021848

Estimation bias and bias correction in reduced rank autoregressions

Bohn Nielsen, Heino - In: Econometric reviews 38 (2019) 3, pp. 332-349

Persistent link: https://www.econbiz.de/10012181296

Bootstrap testing of hypotheses on co-integration relations in vector autoregressive models

Cavaliere, Giuseppe; Bohn Nielsen, Heino; Rahbek, Anders - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 2, pp. 813-831

Persistent link: https://www.econbiz.de/10011350499

Multiple structural breaks in cointegrating regressions : a model selection approach

Schmidt, Alexander; Schweikert, Karsten - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 2, pp. 219-254

Persistent link: https://www.econbiz.de/10013334688

Asymptotics for Non-Stationary Panels with High-Dimensional Nuisance Parameters

Cao, Dingxian - 2022

This paper studies asymptotic theory for a nonstationary panel autoregressive model when cross-sectional dimension (n) and time dimension (T) are large. We considers the nonstationary case in the presence of both cross-sectional and time fixed effects, which is not investigated in existing...

Persistent link: https://www.econbiz.de/10014083467

Asymptotics for Non-Stationary Panels with High-Dimensional Nuisance Parameters

Cao, Dingxian - 2022

Persistent link: https://www.econbiz.de/10014083468

Bootstrap LR Tests of Stationarity, Common Trends and Cointegration

Busetti, Fabio - 2011

power gains of the bootstrap LR test are significantly larger for testing the hypothesis of common trends and cointegration …The paper considers likelihood ratio (LR) tests of stationarity, common trends and cointegration for multivariate time … series. As the distribution of these tests is not known, a bootstrap version is proposed via a state space representation …

Persistent link: https://www.econbiz.de/10013125622