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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

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

Purchasing power parity : a unit root, cointegration and VAR analysis in emerging and advanced countries

Loukopoulos, Georgios; Antonopoulos, Dimitrios - In: Business and Economic Research : BER 5 (2015) 1, pp. 262-279

Persistent link: https://www.econbiz.de/10011344182

The recent effects of exchange rate on international trade

Choi, Myoung Shik - In: Prague economic papers : a bimonthly journal of … 26 (2017) 6, pp. 661-689

Persistent link: https://www.econbiz.de/10011780227

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

Alternative approaches to real exchange rates and real interest rates : three up and three down

Edison, Hali J.; Melick, William Robert - In: International journal of finance & economics : IJFE 4 (1999) 2, pp. 93-111

Persistent link: https://www.econbiz.de/10001434282

Zero-non-zero patterned vector error correction modelling for I(2) cointegrated time series with applications in testing PPP and stock market relationships

Brailsford, Timothy J.; Penm, Jack H. W.; Terrell, R. D. - In: Research in finance 22 (2005), pp. 305-326

Persistent link: https://www.econbiz.de/10003753387

Purchasing power parity : a time series analysis of the U.S. and Mexico, 1995-2007

Yee, Steven; Ramírez, Miguel D. - In: International advances in economic research : IAER ; an … 22 (2016) 4, pp. 409-419

Persistent link: https://www.econbiz.de/10011718492