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...

书目详细资料
主要作者:	Fernandez-Macho, J
格式:	Working paper
出版:	University of Oxford 2013

相似书籍

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

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

Is There a Cointegrating Vector for UK Wages?
由: Darby, J, et al.
出版: (1993)

Cointegration between Trends and Their Estimators in State Space Models and Cointegrated Vector Autoregressive Models
由: Søren Johansen, et al.
出版: (2017-08-01)

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

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

On the distribution of tests of cointegration rank.
由: Nielsen, B
出版: (1997)

Testing Integration and Cointegration: An Overview.
由: Banerjee, A, et al.
出版: (1992)

On the distribution of tests of cointegration rank.
由: Nielsen, B
出版: (2004)

ARDL Cointegration Tests for Beginner
由: Tang, T.C.
出版: (2016)

Performance of Johansen's cointegration test
由: Poh Chee Wee
出版: (2014)

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

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

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

Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors
由: Matteo Barigozzi, et al.
出版: (2020-02-01)

Cointegration tests in the presence of structural breaks.
由: Campos, J, et al.
出版: (1993)

Cointegration Tests in the Presence of Structural Breaks.
由: Campos, J, et al.
出版: (1996)

Cointegration Vector Estimation by DOLS for a Three-Dimensional Panel
由: LUIS FERNANDO MELO-VELANDIA, et al.
出版: (2015-01-01)

Bootstrapping The Autoregressivedistributed Lag Test For Cointegration
由: Sam, Chung Yan
出版: (2016)

Cointegration Tests Using Instrumental Variables
由: Junsoo Lee, et al.
出版: (2022-06-01)

The applied perspective for seasonal cointegration testing
由: Andre Luis Rossi de Oliveira, et al.
出版: (1997-02-01)

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

Testing Market Equilibrium: Is Cointegration Informative?
由: Kevin McNew, et al.
出版: (1997-12-01)

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

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

A Note on a Cointegrating Vector for US Interest Rate Swaps
由: Ying Huang, et al.
出版: (2005-01-01)

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

Short-Run Parameter Changes in a Cointegrated Vector Autoregressive Model.
由: Kurita, T, et al.
出版: (2004)

Short-Run Parameter Changes in a Cointegrated Vector Autoregressive Model.
由: Kurita, T, et al.
出版: (2009)

Estimating the Proportion of True Null Hypotheses in Multiple Testing Problems
由: Oluyemi Oyeniran, et al.
出版: (2016-01-01)

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

Supply response of wheat in Bangladesh: cointegration and vector error correction analysis
由: A. S. M. Anwarul Huq,, et al.
出版: (2013)

The cointegration and causality tests for tourism and trade in Malaysia
由: Kadir, Norsiah, et al.
出版: (2010)

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

Partial cointegrated vector autoregressive models with structural breaks in deterministic terms
由: Kurita, T, et al.
出版: (2019)

Cointegration Vector Estimation by Panel DOLS: Gray economy and human development
由: Seyyed Ali Paytakhti Oskooe, et al.
出版: (2015-02-01)

Financial Cointegration and the Vector Error Correction Model: The Case of MENA Countries
由: Kalai Lamia, et al.
出版: (2019-01-01)

Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms
由: Takamitsu Kurita, et al.
出版: (2019-10-01)

Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors.
由: Boswijk, H, et al.
出版: (1999)

Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview.
由: Boswijk, H, et al.
出版: (2004)