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ArticleA CUSUM test for cointegration using regression residuals

Zhijie Xiao2002

OA

Articlegreen2002

A CUSUM test for cointegration using regression residuals

Zhijie Xiao · Peter C.B. Phillips

96 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Advanced Statistical Methods and Models Diverse Scientific and Economic Studies

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1990Asymptotic Properties of Residual Based Tests for Cointegration 1988Testing for Common Trends 1991Optimal Inference in Cointegrated Systems

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1995Testing for Cointegration in a System of Equationsarticle · 11 shared references 1998Test for partial parameter instability in regressions with I(1) processesarticle · 11 shared references 1999A residual based test for the null hypothesis of cointegrationarticle · 11 shared references 1996Tests for cointegration a Monte Carlo comparisonarticle · 10 shared references 1998Stability tests in error correction modelsarticle · 10 shared references 1994A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegrationarticle · 9 shared references

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Year2002

Typearticle

Published2002-05-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations96

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/s0304-4076(01)00103-8

openalex_workW2117328889

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