Multivariate Tests of Fractionally Integrated Hypotheses
Multivariate tests of fractionally integrated hypotheses are proposed in this article. They are a natural generalization of the univariate tests of Robinson (1994) for testing unit roots and other nonstationary hypotheses.
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- Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 971-987, December.
- Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, vol. 106(2), pages 217-241, February.
- Luis A. Gil-Alana, 2003.
"Testing of Fractional Cointegration in Macroeconomic Time Series,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 65(4), pages 517-529, 09.
- Luis A. Gil-Alana, 2003. "Testing of Fractional Cointegration in Macroeconomic Time Series," Faculty Working Papers 09/03, School of Economics and Business Administration, University of Navarra.
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- Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
- Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-692, December.
- Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-287, August. Full references (including those not matched with items on IDEAS)