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ArticleSemi-nonparametric cointegration testing

H. Peter Boswijk2002

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Articlegreen2002

Semi-nonparametric cointegration testing

H. Peter Boswijk · André Lucas

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

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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 2012The Econometrics of Financial Markets 1996Efficient Tests for an Autoregressive Unit Root 1992Efficient Tests for an Autoregressive Unit Root 1994The role of the constant and linear terms in cointegration analysis of nonstationary variables

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2000Testing for a Unit Root with Near-Integrated Volatility 2004Testing for cointegration using partially linear models

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Year2002

Typearticle

Published2002-06-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations20

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/s0304-4076(01)00136-1

openalex_workW2170022157

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