Add to ORKGAbstract Tests for cointegration are developed using multivariate M estimators. The tests are based on analyzing the singular values of the parameter estimates standardized by the covariance matrix and do not require a reduced rank estimator
<p>Single-equation and multivariate cointegration tests with and without structural break(s).</p
We evaluate by Monte Carlo simulation the empirical sizes of Johansen's likelihood ratio tests for t...
Testing for multivariate cointegration when the data exhibit structural breaks is a problem that is ...
This paper proposes several parametric hypothesis tests to determine the cointegration rank in multi...
This paper deals with estimation and testing for cointegration when deterministic trends are present...
We develop a sequence of tests for specifying the cointegrating rank of, possibly fractional, multip...
This paper considers a test of the rank of cointegration. The test is based on the fact that in an m...
First version issued: 2005-11This paper considers a test of the rank of cointegration. The test is b...
In this paper we examine, by Monte Carlo simulation, size and power of the Johansens trace test when...
In this paper we propose consistent cointegration tests, and estimators of a basis of the space of c...
We estimate a multivariate ARFIMA model to illustrate a cointegration testing methodology based on j...
This paper studies cointegrated systems of multiple time series which are individually well describe...
The problem of cointegration, i.e. situations in time-series regression analysis where deviations fr...
Abstract This paper considers a test of the rank of cointegration. The test is based on the fact tha...
The paper addresses the practical determination of cointegration rank. This is difficult for many re...
<p>Single-equation and multivariate cointegration tests with and without structural break(s).</p
We evaluate by Monte Carlo simulation the empirical sizes of Johansen's likelihood ratio tests for t...
Testing for multivariate cointegration when the data exhibit structural breaks is a problem that is ...
This paper proposes several parametric hypothesis tests to determine the cointegration rank in multi...
This paper deals with estimation and testing for cointegration when deterministic trends are present...
We develop a sequence of tests for specifying the cointegrating rank of, possibly fractional, multip...
This paper considers a test of the rank of cointegration. The test is based on the fact that in an m...
First version issued: 2005-11This paper considers a test of the rank of cointegration. The test is b...
In this paper we examine, by Monte Carlo simulation, size and power of the Johansens trace test when...
In this paper we propose consistent cointegration tests, and estimators of a basis of the space of c...
We estimate a multivariate ARFIMA model to illustrate a cointegration testing methodology based on j...
This paper studies cointegrated systems of multiple time series which are individually well describe...
The problem of cointegration, i.e. situations in time-series regression analysis where deviations fr...
Abstract This paper considers a test of the rank of cointegration. The test is based on the fact tha...
The paper addresses the practical determination of cointegration rank. This is difficult for many re...
<p>Single-equation and multivariate cointegration tests with and without structural break(s).</p
We evaluate by Monte Carlo simulation the empirical sizes of Johansen's likelihood ratio tests for t...
Testing for multivariate cointegration when the data exhibit structural breaks is a problem that is ...