A test for the null of multiple cointegrating vectors

A test for the null of multiple cointegrating vectors

This paper examines a test for the null of cointegration in a multivariate system based on the discrepancy between the OLS estimator of the full set of n cointegrating relationships in the n + k system and the OLS estimator of the corresponding relationships among first differences without making sp...

Полное описание

Библиографические подробности
Главный автор:	Fernandez-Macho, J
Формат:	Working paper
Опубликовано:	University of Oxford 2013

Схожие документы

A wavelet approach to multiple cointegration testing
по: Fernandez-Macho, J
Опубликовано: (2013)

Test for cointegration rank in general vector autoregressions.
по: Nielsen, B
Опубликовано: (2009)

Is There a Cointegrating Vector for UK Wages?
по: Darby, J, и др.
Опубликовано: (1993)

Cointegration between Trends and Their Estimators in State Space Models and Cointegrated Vector Autoregressive Models
по: Søren Johansen, и др.
Опубликовано: (2017-08-01)

ON NULL CURVES ON SURFACES AND NULL VECTORS IN LORENTZ SPACE
по: A. Ceylan ÇÖKEN
Опубликовано: (2009-02-01)

The asymptotic distribution of likelihood ratio test statistics for cointegration in unstable vector autoregressive processes.
по: Nielsen, B
Опубликовано: (2000)

On the distribution of tests of cointegration rank.
по: Nielsen, B
Опубликовано: (1997)

Testing Integration and Cointegration: An Overview.
по: Banerjee, A, и др.
Опубликовано: (1992)

On the distribution of tests of cointegration rank.
по: Nielsen, B
Опубликовано: (2004)

ARDL Cointegration Tests for Beginner
по: Tang, T.C.
Опубликовано: (2016)

Performance of Johansen's cointegration test
по: Poh Chee Wee
Опубликовано: (2014)

Approximations to the Asymptotic Distributions of Cointegration Tests.
по: Doornik, J
Опубликовано: (1998)

Approximations to the Asymptotic Distribution of Cointegration Tests.
по: Doornik, J
Опубликовано: (1998)

Approximations to the Asymptotic Distribution of Cointegration Tests.
по: Doornik, J
Опубликовано: (1999)

Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors
по: Matteo Barigozzi, и др.
Опубликовано: (2020-02-01)

Cointegration tests in the presence of structural breaks.
по: Campos, J, и др.
Опубликовано: (1993)

Cointegration Tests in the Presence of Structural Breaks.
по: Campos, J, и др.
Опубликовано: (1996)

Cointegration Vector Estimation by DOLS for a Three-Dimensional Panel
по: LUIS FERNANDO MELO-VELANDIA, и др.
Опубликовано: (2015-01-01)

Bootstrapping The Autoregressivedistributed Lag Test For Cointegration
по: Sam, Chung Yan
Опубликовано: (2016)

Cointegration Tests Using Instrumental Variables
по: Junsoo Lee, и др.
Опубликовано: (2022-06-01)

The applied perspective for seasonal cointegration testing
по: Andre Luis Rossi de Oliveira, и др.
Опубликовано: (1997-02-01)

Testing for Unit Roots with Cointegrated Data
по: W. Robert Reed
Опубликовано: (2015-08-01)

Testing Market Equilibrium: Is Cointegration Informative?
по: Kevin McNew, и др.
Опубликовано: (1997-12-01)

Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model
по: Niels Framroze Møller
Опубликовано: (2008-05-01)

Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model
по: Niels Framroze Møller
Опубликовано: (2008-12-01)

A Note on a Cointegrating Vector for US Interest Rate Swaps
по: Ying Huang, и др.
Опубликовано: (2005-01-01)

A Jackknife Correction to a Test for Cointegration Rank
по: Marcus J. Chambers
Опубликовано: (2015-05-01)

Short-Run Parameter Changes in a Cointegrated Vector Autoregressive Model.
по: Kurita, T, и др.
Опубликовано: (2004)

Short-Run Parameter Changes in a Cointegrated Vector Autoregressive Model.
по: Kurita, T, и др.
Опубликовано: (2009)

Estimating the Proportion of True Null Hypotheses in Multiple Testing Problems
по: Oluyemi Oyeniran, и др.
Опубликовано: (2016-01-01)

ON FUBINI’S THEOREM FOR NULL SETS IN VECTOR MEASURES
по: ARMANDO MONTILLA
Опубликовано: (2017-07-01)

Supply response of wheat in Bangladesh: cointegration and vector error correction analysis
по: A. S. M. Anwarul Huq,, и др.
Опубликовано: (2013)

The cointegration and causality tests for tourism and trade in Malaysia
по: Kadir, Norsiah, и др.
Опубликовано: (2010)

Multistage mean-variance portfolio selection in cointegrated vector autoregressive systems
по: Rudoy, Melanie Beth
Опубликовано: (2009)

Partial cointegrated vector autoregressive models with structural breaks in deterministic terms
по: Kurita, T, и др.
Опубликовано: (2019)

Cointegration Vector Estimation by Panel DOLS: Gray economy and human development
по: Seyyed Ali Paytakhti Oskooe, и др.
Опубликовано: (2015-02-01)

Financial Cointegration and the Vector Error Correction Model: The Case of MENA Countries
по: Kalai Lamia, и др.
Опубликовано: (2019-01-01)

Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms
по: Takamitsu Kurita, и др.
Опубликовано: (2019-10-01)

Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors.
по: Boswijk, H, и др.
Опубликовано: (1999)

Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview.
по: Boswijk, H, и др.
Опубликовано: (2004)