Can you do the wrong thing and still be right? Hypothesis Testing in I(2) and near-I(2) cointegrated VARs
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- Francesca Di Iorio & Stefano Fachin & Riccardo Lucchetti, 2016. "Can you do the wrong thing and still be right? Hypothesis testing in I(2) and near-I(2) cointegrated VARs," Applied Economics, Taylor & Francis Journals, vol. 48(38), pages 3665-3678, August.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Massimo Franchi & Søren Johansen, 2017.
"Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles,"
MDPI, Open Access Journal, vol. 5(2), pages 1-20, June.
- Massimo Franchi & Søren Johansen, 2017. "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," Discussion Papers 17-09, University of Copenhagen. Department of Economics.
- Massimo Franchi & Søren Johansen, 2704. "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," CREATES Research Papers 2017-17, Department of Economics and Business Economics, Aarhus University.
More about this item
KeywordsCointegration; Hypothesis testing; I(2); near-I(2);
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-12-06 (All new papers)
- NEP-ECM-2013-12-06 (Econometrics)
- NEP-ETS-2013-12-06 (Econometric Time Series)
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