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A CUSUM test for cointegration using regression residuals
16 references·16 citing·35 second hopsampled
A CUSUM test for cointegration using regression residuals (2002)A CUSUM test for cointegration using regr…Fully Modified Least Squares and Vector Autoregression (1995)Fully Modified Least Squares …A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration (1994)A Residual-Based Test of the …Tests for Parameter Instability in Regressions with I(1) Processes (1992)Tests for Parameter Instabili…Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Tests for Parameter Instabili…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends (1992)Efficient estimation and test…Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Critical Values for Cointegratio11 Tests* (1991)Critical Values for Cointegra…Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Statistical Inference in Inst…Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…Testing for Common Trends (1988)Testing for Common TrendsTesting for Common Trends (1988)Testing for Common TrendsStatistical Inference in Regressions with Integrated Processes: Part 1 (1988)Statistical Inference in Regr…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Green growth of cereal food production under the constraints of agricultural carbon emissions: A new insights from ARDL and VECM models (2021)Green growth of cereal food p…Looking back over the past two decades on the nexus between air pollution, energy consumption, and agricultural productivity in China: a qualitative analysis based on the ARDL bounds testing model (2020)Looking back over the past tw…Detecting Relevant Changes in Time Series Models (2015)Detecting Relevant Changes in…COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE (2015)COINTEGRATING POLYNOMIAL REGR…SEMIPARAMETRIC FUNCTIONAL COEFFICIENT MODELS WITH INTEGRATED COVARIATES (2013)SEMIPARAMETRIC FUNCTIONAL COE…International Trade and Economic Growth Nexus in Australia: A Robust Evidence from Time‐Series Estimators (2011)International Trade and Econo…Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity (2009)Testing Linearity in Cointegr…Services sector and economic growth in India (2009)Services sector and economic …Does domestic saving cause economic growth? A time-series evidence from India (2009)Does domestic saving cause ec…Testing the Saving-Investment correlations in India: An evidence from single-equation and system estimators (2008)Testing the Saving-Investment…DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS (2008)DETECTION OF FUNCTIONAL FORM …Are there speculative bubbles in stock markets? Evidence from an alternative approach. (2008)Are there speculative bubbles…Weighted Dickey–Fuller processes for detecting stationarity (2007)Weighted Dickey–Fuller proces…A Panel CUSUM Test of the Null of Cointegration* (2005)A Panel CUSUM Test of the Nul…Point optimal tests of the null hypothesis of cointegration (2004)Point optimal tests of the nu…A residual based test for the null hypothesis of cointegration (1999)A residual based test for the…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Trends and random walks in macroeconmic time series (1982)A PANIC Attack on Unit Roots and Cointegration (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Time Series Regression with a Unit Root (1987)Inference in Linear Time Series Models with some Unit Roots (1990)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Sample Splitting and Threshold Estimation (2000)Dealing with Structural Breaks (2005)Exploring the international linkages of the euro area: a global VAR analysis (2007)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Spurious regression and residual-based tests for cointegration in panel data (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes? (1997)The behavior of real exchange rates during the post-Bretton Woods period (1998)The Long-Run Evolution of Energy Prices (1999)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes4,930 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1988Testing for Common Trends1,894 cited
  • 1991Optimal Inference in Cointegrated Systems1,110 cited
  • 1992Tests for Parameter Instability in Regressions with 1(1) Processes944 cited
  • 1991Critical Values for Cointegratio11 Tests*762 cited
  • 1988Statistical Inference in Regressions with Integrated Processes: Part 1749 cited
  • 1995Fully Modified Least Squares and Vector Autoregression597 cited
  • 1992Tests for Parameter Instability in Regressions with I(1) Processes573 cited
  • 1994A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration539 cited
  • 1988Testing for Common Trends

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428 cited
  • 1992Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends207 cited
  • Cited by

    • 2005A Panel CUSUM Test of the Null of Cointegration*117 cited
    • 2021Green growth of cereal food production under the constraints of agricultural carbon emissions: A new insights from ARDL and VECM models111 cited
    • 2009Does domestic saving cause economic growth? A time-series evidence from India88 cited
    • 2020Looking back over the past two decades on the nexus between air pollution, energy consumption, and agricultural productivity in China: a qualitative analysis based on the ARDL bounds testing model69 cited
    • 2015Detecting Relevant Changes in Time Series Models63 cited
    • 2015COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE62 cited
    • 2009Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity55 cited
    • 2008DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS34 cited
    • 1999A residual based test for the null hypothesis of cointegration33 cited
    • 2008Are there speculative bubbles in stock markets? Evidence from an alternative approach.30 cited
    • 2013SEMIPARAMETRIC FUNCTIONAL COEFFICIENT MODELS WITH INTEGRATED COVARIATES29 cited
    • 2004Point optimal tests of the null hypothesis of cointegration26 cited
    • 2009Services sector and economic growth in India23 cited
    • 2008Testing the Saving-Investment correlations in India: An evidence from single-equation and system estimators23 cited
    • 2011International Trade and Economic Growth Nexus in Australia: A Robust Evidence from Time‐Series Estimators17 cited
    • 2007Weighted Dickey–Fuller processes for detecting stationarity16 cited