Similar Search Results

Stationarity testing with covariates

Jansson, Michael - In: Econometric theory 20 (2004) 1, pp. 56-94

Persistent link: https://www.econbiz.de/10001904780

Tests of the null hypothesis of cointegration based on efficient tests for a unit MA root

Jansson, Michael - In: Identification and inference for econometric models : …, (pp. 357-374). 2005

Persistent link: https://www.econbiz.de/10003352578

Forecasting with trending data

Elliott, Graham - 2006

Persistent link: https://www.econbiz.de/10003338439

Testing for a trend with persistent errors

Elliott, Graham - In: Journal of econometrics 219 (2020) 2, pp. 314-328

Persistent link: https://www.econbiz.de/10012483388

Spurious regression, cointegration, and near cointegration : a unifying approach

Haldrup, Niels; Jansson, Michael - 1999

Persistent link: https://www.econbiz.de/10001372940

Regression theory for nearly cointegrated time series

Jansson, Michael; Haldrup, Niels - In: Econometric theory 18 (2002) 6, pp. 1309-1335

Persistent link: https://www.econbiz.de/10001716904

Spurious Regression, Cointegration, and Near Cointegration : A Unifying Approach

Haldrup, Niels; Jansson, Michael - 1999

This paper introduces a representation of an integrated vector time series in which the coefficient of multiple correlation computed from the long-run covariance matrix of the innovation sequences is a primitive parameter of the model. Based on this representation, a notion of near cointegration...

Persistent link: https://www.econbiz.de/10014203187

Efficient likelihood ratio tests for seasonal unit roots

Jansson, Michael; Nielsen, Morten Ørregaard - 2009

Persistent link: https://www.econbiz.de/10003903502

Spurious regression, cointegration, and near cointegration : a unifying approach

Haldrup, Niels; Jansson, Michael - 1999

This paper introduces a representation of an integrated vectortime series in which the coefficient of multiple correlation computed fromthe long-run covariance matrix of the innovation sequences is a primitiveparameter of the model. Based on this representation, a notion of nearcointegration is...

Persistent link: https://www.econbiz.de/10011300555

Inference in time series regression when the order of integration of a regressor is unknown

Elliott, Graham; Stock, James H. - 1992

Persistent link: https://www.econbiz.de/10000840062