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Testing for common cyclical features in var models with cointegration

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …

Persistent link: https://www.econbiz.de/10011398127

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

Testing the null of co-integration in the presence of variance breaks

Cavaliere, Guiseppe; Taylor, Robert - 2005

Persistent link: https://www.econbiz.de/10002929019

Fully modified least squares cointegrating parameter estimation in multicointegrated systems

Kheifets, Igor L.; Phillips, Peter C. B. - In: Journal of econometrics 232 (2023) 2, pp. 300-319

Persistent link: https://www.econbiz.de/10014339925

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 nonlinear cointegration under heteroskedasticity

Hanck, Christoph; Massing, Till Philipp Georg - In: Econometric reviews 44 (2025) 4, pp. 512-543

Persistent link: https://www.econbiz.de/10015196620

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

Extensions of the Pesaran, Shin and Smith (2001) bounds testing procedure

Bertsatos, Georgios; Sakellarēs, Plutarchos; Tsionas, … - In: Empirical economics : a quarterly journal of the … 62 (2022) 2, pp. 605-634

Persistent link: https://www.econbiz.de/10012819488

Distribution-free tests of fractional cointegration

Hualde, Javier; Velasco, Carlos - In: Econometric theory 24 (2008) 1, pp. 216-255

Persistent link: https://www.econbiz.de/10003894150

Tests for nonlinear cointegration

Choi, In; Saikkonen, Pentti - In: Econometric theory 26 (2010) 3, pp. 682-709

Persistent link: https://www.econbiz.de/10003992424