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Nonparametric cointegration tests [PDF]

, 1994
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Cointegration tests with conditional heteroskedasticity

Journal of Econometrics, 1996
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Tae-Hwy Lee, Yiuman Tse
exaly   +3 more sources

Cointegration tests at the quantiles

International Journal of Finance & Economics, 2020
AbstractA 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 ...
Marilena Furno
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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
James G. MacKinnon
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Cointegration Tests and the Classical Dichotomy [PDF]

, 2017
Based on either Monte Carlo simulations, or several examples based on actual data, I show that the ability of Johansen's tests to detect a cointegration relationship significantly deteriorates under two empirically plausible circumstances: (i ) when, in addition to a cointegration relationship, a system features one or more "nuisance" series - i.e ...
Benati, Luca
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Johansen‐type cointegration tests with a Fourier function

Journal of Time Series Analysis, 2022
This article extends the pioneering Johansen cointegration test to allow for structural breaks in a cointegration system. Instead of using usual dummy variables, we utilize a Fourier function to control for an unknown number of multiple breaks in the ...
Razvan Pascalau, Junsoo Lee, Ş. Nazlıoğlu, Y. Lu   +3 more
semanticscholar   +1 more source

New Simple Tests for Panel Cointegration

Econometric Reviews, 2005
Joakim Westerlund
exaly   +2 more sources

Financial development and economic growth: evidence from panel unit root and cointegration tests

Journal of Development Economics, 2004
Dimitris K Christopoulos, Efthymios G Tsionas   +1 more
exaly   +2 more sources

TESTS FOR NONLINEAR COINTEGRATION

Econometric Theory, 2009
This paper develops tests for the null hypothesis of cointegration in the nonlinear regression model with I(1) variables. The test statistics we use in this paper are Kwiatkowski, Phillips, Schmidt, and Shin’s (1992; KPSS hereafter) tests for the null of stationarity, though using other kinds of tests is also possible.
Choi, In, Saikkonen, Pentti
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Polynomial cointegration estimation and test

Journal of Econometrics, 1994
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gregoir, Stéphane, Laroque, Guy
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