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Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods

11 references·5 citing·36 second hopsampled

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References

1988Statistical analysis of cointegration vectors17,038 cited
1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets517 cited
1996Tests for cointegration a Monte Carlo comparison264 cited
1989Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes250 cited
1994The Effects of Additive Outliers on Tests for Unit Roots and Cointegration240 cited
1994Stylized Facts of Nominal Exchange Rate Returns110 cited
1998Outlier robust analysis of long-run marketing effects for weekly scanning data52 cited
1997Cointegration Testing Using Pseudolikelihood Ratio Tests46 cited
1994Direct cointegration testing in error correction models46 cited
1991The Power Function of the Likelihood Ratio Test for Cointegration40 cited

Cited by

1998A Review of systemscointegration tests23 cited
2002Semi-nonparametric cointegration testing20 cited
2004ROBUST TESTS OF THE UNIT ROOT HYPOTHESIS SHOULD NOT BE “MODIFIED”17 cited

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2021

Co-integration with score-driven models: an application to US real GDP growth, US inflation rate, and effective federal funds rate

16 cited

2004Testing for cointegration using partially linear models12 cited