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Analytical Evaluation of the Power of Tests for the Absence of Cointegration · Study

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PreprintAnalytical Evaluation of the Power of Tests for the Absence of Cointegration

Elena Pesavento2001

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Preprintgreen2001

Analytical Evaluation of the Power of Tests for the Absence of Cointegration

Elena Pesavento

12 citations·0/0 files stored·SSRN Electronic Journal

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1996Efficient Tests for an Autoregressive Unit Root 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order

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2004Analytical evaluation of the power of tests for the absence of cointegrationarticle · 43 shared references 2006Residuals‐based tests for the null of no‐cointegration: an Analytical comparisonarticle · 23 shared references 1994Chapter 47 Vector autoregressions and cointegrationchapter · 21 shared references 1996Time-Series-Based Econometricsbook · 21 shared references 2000Residual Based Tests for Cointegration with GLS Detrended Datareport · 17 shared references 1994Chapter 46 Unit roots, structural breaks and trendschapter · 16 shared references

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Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations12

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.2139/ssrn.256027

openalex_workW2156232227

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