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Diagnostic testing for cointegration

  • Robinson, P.M.
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-4PJV1H8-1/2/6d6d39208e5a6785ec6febfa4af1db1f
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 143 (2008)
    Issue (Month): 1 (March)
    Pages: 206-225

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    Handle: RePEc:eee:econom:v:143:y:2008:i:1:p:206-225
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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    1. D Marinucci & Peter M. Robinson, 2001. "Semiparametric fractional cointegration analysis," LSE Research Online Documents on Economics 2269, London School of Economics and Political Science, LSE Library.
    2. Marinucci, D. & Robinson, P. M., 2001. "Semiparametric fractional cointegration analysis," Journal of Econometrics, Elsevier, vol. 105(1), pages 225-247, November.
    3. Katsumi Shimotsu, 2006. "Gaussian Semiparametric Estimation of Multivariate Fractionally Integrated Processes," Working Papers 1062, Queen's University, Department of Economics.
    4. Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, vol. 106(2), pages 217-241, February.
    5. Katsumi Shimotsu & Peter C.B. Phillips, 2002. "Exact Local Whittle Estimation of Fractional Integration," Economics Discussion Papers 535, University of Essex, Department of Economics.
    6. D Marinucci & Peter M Robinson, 2001. "Semiparametric Fractional Cointegration Analysis," STICERD - Econometrics Paper Series 420, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    7. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    8. Phillips, P. C. B. & Ouliaris, S., 1988. "Testing for cointegration using principal components methods," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 205-230.
    9. L. Giraitis & P.M. Robinson, 2003. "Edgeworth expansions for semiparametric Whittle estimation of long memory," LSE Research Online Documents on Economics 291, London School of Economics and Political Science, LSE Library.
    10. repec:cep:stiecm:/2001/420 is not listed on IDEAS
    11. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
    12. Lobato, Ignacio N., 1999. "A semiparametric two-step estimator in a multivariate long memory model," Journal of Econometrics, Elsevier, vol. 90(1), pages 129-153, May.
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