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Testing for Cointegration in a System of Equations

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  • Choi, In
  • Ahn, Byung Chul
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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 11 (1995)
Issue (Month): 05 (October)
Pages: 952-983

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Handle: RePEc:cup:etheor:v:11:y:1995:i:05:p:952-983_00

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Cited by:
  1. Jansson, Michael, 2004. "Stationarity Testing With Covariates," Econometric Theory, Cambridge University Press, vol. 20(01), pages 56-94, February.
  2. Chun-Yu Ho & Kam Wing Siu, 2006. "A Dynamic Equilibrium of Electricity Consumption and GDP in Hong Kong: An Empirical Investigation," Boston University - Department of Economics - Working Papers Series WP2006-049, Boston University - Department of Economics.
  3. Horowitz, Joel L. & Savin, N. E., 2000. "Empirically relevant critical values for hypothesis tests: A bootstrap approach," Journal of Econometrics, Elsevier, vol. 95(2), pages 375-389, April.
  4. Josep Carrion-i-Silvestre & Andreu Sansó, 2007. "The KPSS test with two structural breaks," Spanish Economic Review, Springer, vol. 9(2), pages 105-127, June.
  5. Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor & Francis Journals, vol. 20(3), pages 247-318.
  6. Alan Bartley, William & Lee, Junsoo & Strazicich, Mark C., 2001. "Testing the null of cointegration in the presence of a structural break," Economics Letters, Elsevier, vol. 73(3), pages 315-323, December.
  7. Javier Fernandez-Macho, 2013. "A Test for the Null of Multiple Cointegrating Vectors," Economics Series Working Papers 657, University of Oxford, Department of Economics.
  8. Josep Carrion-i-Silvestre & Andreu Sansó, 2006. "A guide to the computation of stationarity tests," Empirical Economics, Springer, vol. 31(2), pages 433-448, June.
  9. Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
  10. Dilip M. Nachane, 2011. "Selected Problems in the Analysis of Nonstationary & Nonlinear Time Series," Journal of Quantitative Economics, The Indian Econometric Society, vol. 9(1), pages 1-17.
  11. Choi, In & Chul Ahn, Byung, 1998. "Testing the null of stationarity for multiple time series," Journal of Econometrics, Elsevier, vol. 88(1), pages 41-77, November.
  12. Jansson, Michael, 2005. "Point optimal tests of the null hypothesis of cointegration," Journal of Econometrics, Elsevier, vol. 124(1), pages 187-201, January.
  13. Matteo Mogliani, 2010. "Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study," PSE Working Papers halshs-00564897, HAL.

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