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Distribution approximations for cointegration tests with stationary exogenous regressors

Boswijk, Herman Peter; Doornik, Jurgen A. - 1999

Persistent link: https://www.econbiz.de/10001365103

Distribution approximations for cointegration tests with stationary exogenous regressors

Boswijk, Herman Peter; Doornik, Jurgen A. - In: Journal of applied econometrics 20 (2005) 6, pp. 797-810

Persistent link: https://www.econbiz.de/10003168945

Identifiability of cointegrated systems

Boswijk, Herman Peter - 1995

Persistent link: https://www.econbiz.de/10000909278

Mixed normality and ancillarity in (2) systems

Boswijk, Herman Peter - 1996

Persistent link: https://www.econbiz.de/10000942649

Block local to unity and continous record asymptotics

Boswijk, Herman Peter - 2001

Persistent link: https://www.econbiz.de/10001616911

Testing for a unit root with near-integrated volatility

Boswijk, Herman Peter - 2001 - Rev.

This paper considers tests for a unit root when the innovations follow a near-integrated GARCH process. We compare the asymptotic properties of the likelihoodratio statistic with that of the least-squares based Dickey-Fuller statistic. We first useasymptotics where the GARCH variance process is...

Persistent link: https://www.econbiz.de/10011317451