The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified
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Citations
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Cited by:
- Miguel Arranz & Alvaro Escribano, 2006.
"Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test,"
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 15(1), pages 179-208, June.
- Arranz, Miguel A., 1998. "Bootstraping cointegration tests under structural co-breaks: a robust extended ECM test," DES - Working Papers. Statistics and Econometrics. WS 4552, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Christoffersen, Peter F & Diebold, Francis X, 1998.
"Cointegration and Long-Horizon Forecasting,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 450-458, October.
- Peter F. Christoffersen & Francis X. Diebold, 1997. "Cointegration and Long-Horizon Forecasting," NBER Technical Working Papers 0217, National Bureau of Economic Research, Inc.
- Peter F. Christoffersen & Francis X. Diebold, 1997. "Cointegration and long-horizon forecasting," Working Papers 97-14, Federal Reserve Bank of Philadelphia.
- Mr. Francis X. Diebold & Mr. Peter F. Christoffersen, 1997. "Cointegration and Long-Horizon Forecasting," IMF Working Papers 1997/061, International Monetary Fund.
- Joakim Westerlund, 2007.
"Testing for Error Correction in Panel Data,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(6), pages 709-748, December.
- Westerlund, Joakim, 2005. "Testing for Error Correction in Panel Data," Working Papers 2005:11, Lund University, Department of Economics.
- Westerlund, J., 2006. "Testing for error correction in panel data," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Neil R. Ericsson & James G. MacKinnon, 2002.
"Distributions of error correction tests for cointegration,"
Econometrics Journal, Royal Economic Society, vol. 5(2), pages 285-318, June.
- Neil R. Ericsson & James G. MacKinnon, 1999. "Distributions of error correction tests for cointegration," International Finance Discussion Papers 655, Board of Governors of the Federal Reserve System (U.S.).
- Neil R. Ericsson & James G. MacKinnon, 2000. "Distributions of Error Correction Tests for Cointegration," Econometric Society World Congress 2000 Contributed Papers 0561, Econometric Society.
- Ming Chien Lo & Eric Zivot, 1999.
"Threshold Cointegration and Nonlinear Adjustment to the Law of One Price,"
Discussion Papers in Economics at the University of Washington
0030, Department of Economics at the University of Washington.
- Ming Chien Lo & Eric Zivot, 1999. "Threshold Cointegration and Nonlinear Adjustment to the Law of One Price," Working Papers 0030, University of Washington, Department of Economics.
- Allan W. Gregory & Alfred A. Haug & Nicoletta Lomuto, 2004. "Mixed signals among tests for cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 89-98.
- Berben, R-P. & van Dijk, D.J.C., 1998. "Does the absence of cointegration explain the typical findings in long horizon regressions?," Econometric Institute Research Papers EI 9814, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Jing Li & Junsoo Lee, 2010.
"ADL tests for threshold cointegration,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 241-254, July.
- Jing Li & Junsoo Lee, 2009. "ADL tests for threshold cointegration," SDSU Working Papers in Progress 22009, South Dakota State University, Department of Economics.
- Bingcheng Yan & Eric Zivot, 2007. "A Structural Analysis of Price Discovery Measures," Working Papers UWEC-2006-08-FC, University of Washington, Department of Economics, revised Apr 2007.
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More about this item
Keywords
cointegration; common factor; error correction model; local power; misspecification; near-cointegration; strong exogeneity; weak exogeneity.;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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