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Testing Identifiability of Cointegrating Vectors
Journal of Business & Economic Statistics, 1996This article analyzes the identification and normalization of cointegrating vectors. Normalizing a cointegrating relation with respect to one of the relevant variables is with loss of generality; and restrictions that are supposed to identify a vector may fail to do so for particular parameter values.
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Critical values for cointegration tests [PDF]
, 1990 This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these tables are necessarily based on computer simulations, they are much more accurate than those previously available. The results of the simulation experiments are summarized by means of response surface regressions in which critical values
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Cointegration tests at the quantiles
International Journal of Finance & Economics, 2020AbstractA cointegration test for quantile regressions is proposed and implemented using Italian data. The test relies on auxiliary quantile regression to verify the stationarity of the residuals of the cointegrating equation. According to the problem under analysis, the cointegrating equation may or may not model a structural break, to verify ...
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THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED [PDF]
Econometric Theory, 1997 In this paper I present an alternative derivation of the asymptotic distribution of Kremers, Ericsson, and Dolado's (1992, Oxford Bulletin of Economics and Statistics 54, 325–348) conditional error correction model (ECM)–based t-test for cointegration with a single prespecified cointegrating vector.
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Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified
Econometric Theory, 1995Many economic models imply that ratios, simple differences, or “spreads” of variables are I(0). In these models, cointegrating vectors are composed of 1's, 0's, and —1's and contain no unknown parameters. In this paper, we develop tests for cointegration that can be applied when some of the cointegrating vectors are prespecified under the null or under
Michael T.K. Horvath, Mark W. Watson
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Computational Economics, 1994
Multivariate adaptive regression spline (MARS) models due to Friedman (1991) are employed to examine non-linear cointegration. Critical values of the Dickey-Fuller cointegration test statistics, appropriate to the MARS model, are presented. Several empirical examples demonstrate the gains to the non-linear modelling of economic time series.
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Multivariate adaptive regression spline (MARS) models due to Friedman (1991) are employed to examine non-linear cointegration. Critical values of the Dickey-Fuller cointegration test statistics, appropriate to the MARS model, are presented. Several empirical examples demonstrate the gains to the non-linear modelling of economic time series.
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Cointegration: Representation and Testing
1997A simple cointegrating regression (normally including a constant term) may be written as $$ {y_t} = \alpha + \beta {x_t} + {\varepsilon _t} $$ (8.1) The cointegrating regression is sometimes referred to as the ‘equilibrium model’. However, equilibrium in this sense is different from what is implied by rational expectations models.
Imad A. Moosa, Razzaque H. Bhatti
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A Gaussian Test for Cointegration [PDF]
, 2009 We use a mixed-frequency regression technique to develop a test for cointegration under the null of stationarity of the deviations from a long-run relationship. What is noteworthy about this MA unit root test, based on a variance-difference, is that, instead of having to deal with non-standard distributions, it takes the testing back to the normal ...
Gulasekaran Rajaguru, Tilak Abeysinghe
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Testing for stationarity in a cointegrated system [PDF]
, 2002 In systems of variables with a specified or already identified cointegrating rank, stationarity of component variates can be tested by a simple restriction test. The implied decision is often in conflict with the outcome of unit root tests on the same variables.
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Testing for Linear Cointegration Against Smooth-Transition Cointegration [PDF]
, 2012 This paper studies a smooth-transition (ST) type cointegration. The proposed ST cointegration allows for regime switching structure in a cointegrated system, and nests the linear cointegration developed by Engle and Granger (1987) and the threshold cointe- gration studied by Balke and Fomby (1997). Based on a class of vector ST cointegrating regression
Li, Dao, He, Changli
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