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On score vector- and residual-based CUSUM tests in ARMA–GARCH models
Statistical Methods & Applications, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Oh, Haejune, Lee, Sangyeol
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A Covariate Residual-Based Cointegration Test Applied to the CDS-Bond Basis
Journal of Time Series Econometrics, 2013AbstractThis paper proposes a residual-based cointegration test with improved power. Based on the idea of Hansen (1995) and Elliot and Jansson (2003) in the unit root testing case, stationary covariates are used to improve the power of the residual-based augmented Dickey–Fuller (ADF) test.
Game, Aaron, Wu, Jason
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Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics
Journal of Business & Economic Statistics, 2004A Lagrange multiplier test of the null hypothesis of cointegration in fractionally cointegrated models is proposed. The test statistic uses fully modified residuals to cancel the endogeneity and serial correlation biases, and standard asymptotic properties apply under the null and under local alternatives.
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Residuals‐based tests for cointegration with generalized least‐squares detrended data
The Econometrics Journal, 2016Summary We provide generalized least-squares (GLS) detrended versions of single-equation static regression or residuals-based tests for testing whether or not non-stationary time series are cointegrated. Our approach is to consider nearly optimal tests for unit roots and to apply them in the cointegration context.
Perron, Pierre, Rodriguez, Gabriel
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Residuals-based Tests for Cointegration: An Analytical Comparison [PDF]
, 2002 This paper compares five residuals-based tests for the null of no cointegration to identify which unit root test should be used when testing for cointegration. The tests are compared in terms of power and size distortions. The asymptotic distribution of the tests under the local alternative is shown to be a function of Brownian Motions and Ornstein ...
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A simple approach to standardized-residuals-based higher-moment tests
Journal of Empirical Finance, 2012Abstract We propose a new approach to the higher-moment tests for evaluating the standardized error distribution hypothesis of a conditional mean-and-variance model (such as a GARCH-type model). Our key idea is to purge the effect of estimating the conditional mean-and-variance parameters on the estimated higher moments by suitably using the first ...
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A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration
Econometric Theory, 1994Y. Shin
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A residual-based test for variance components in linear mixed models
Statistics & Probability Letters, 2015zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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