Add to ORKGThis paper is concerned with testing the null hypothesis of no cointegration among 1(1) variables when the cointegration residuals are I(d), 0 < d < 1. We consider the power of various well-known residual-based tests under this set-up. Empirical evidence is also provided
summary:In this paper some of the cointegration tests applied to a single equation are compared. Man...
Nonstationary fractionally integrated time series may possibly be frac-tionally cointegrated. In thi...
Available from TIB Hannover: RR 8460(1998,42) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Tec...
This paper is concerned with testing the null hypothesis of no cointegration among 1(1) variables w...
Nonstationary fractionally integrated time series may possibly be fractionally cointegrated. In this...
This paper reports on an extensive Monte Carlo study of seven residual-based tests of the hypothesis...
This paper considers alternative methods of testing cointegration in fractionally integrated process...
We show that the power of the KPSS-test against integration, as measured by divergence rates of the ...
This paper develops an asymptotic theory for residual based tests for cointegration. These tests inv...
This paper shows, analytically and numerically, the effects of a misspecification in the degree of i...
This paper reports on an extensive Monte Carlo study of seven residual-based tests of the hypothesis...
We propose tests of the null of spurious relationship against the alternative of fractional cointeg...
• Procedures designed to distinguish a system without cointegration from a system with at least one ...
We show that the power of the KPSS-test against integration, as measured by divergence rates of the ...
This article studies the asymptotic distribution of five residuals-based tests for the null of no-co...
summary:In this paper some of the cointegration tests applied to a single equation are compared. Man...
Nonstationary fractionally integrated time series may possibly be frac-tionally cointegrated. In thi...
Available from TIB Hannover: RR 8460(1998,42) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Tec...
This paper is concerned with testing the null hypothesis of no cointegration among 1(1) variables w...
Nonstationary fractionally integrated time series may possibly be fractionally cointegrated. In this...
This paper reports on an extensive Monte Carlo study of seven residual-based tests of the hypothesis...
This paper considers alternative methods of testing cointegration in fractionally integrated process...
We show that the power of the KPSS-test against integration, as measured by divergence rates of the ...
This paper develops an asymptotic theory for residual based tests for cointegration. These tests inv...
This paper shows, analytically and numerically, the effects of a misspecification in the degree of i...
This paper reports on an extensive Monte Carlo study of seven residual-based tests of the hypothesis...
We propose tests of the null of spurious relationship against the alternative of fractional cointeg...
• Procedures designed to distinguish a system without cointegration from a system with at least one ...
We show that the power of the KPSS-test against integration, as measured by divergence rates of the ...
This article studies the asymptotic distribution of five residuals-based tests for the null of no-co...
summary:In this paper some of the cointegration tests applied to a single equation are compared. Man...
Nonstationary fractionally integrated time series may possibly be frac-tionally cointegrated. In thi...
Available from TIB Hannover: RR 8460(1998,42) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Tec...