Regression Theory For Nearly Cointegrated Time Series
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- Nielsen M.O., 2004.
"Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics,"
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American Statistical Association, vol. 22, pages 331-345, July.
- Morten Oerregaard Nielsen, "undated". "Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Economics Working Papers 2002-7, Department of Economics and Business Economics, Aarhus University.
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- Pesavento, Elena, 2004.
"Analytical evaluation of the power of tests for the absence of cointegration,"
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Elsevier, vol. 122(2), pages 349-384, October.
- Pesavento, Elena, 2000. "Analytical Evaluation of the Power of Tests for the Absence of Cointegration," University of California at San Diego, Economics Working Paper Series qt4cq4773c, Department of Economics, UC San Diego.
- Hualde, Javier, 2006. "Unbalanced Cointegration," Econometric Theory, Cambridge University Press, vol. 22(05), pages 765-814, October.
- Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013.
"No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth,"
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- Chevillon, Guillaume, 2012. "Local-Explosive Approximations to Null Distributions of the Johansen Cointegration Test, with an Application to Cyclical Concordance in the Euro Area," ESSEC Working Papers WP1210, ESSEC Research Center, ESSEC Business School.
- Khalaf, Lynda & Urga, Giovanni, 2014. "Identification robust inference in cointegrating regressions," Journal of Econometrics, Elsevier, vol. 182(2), pages 385-396.
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