Residual-Based Cointegration Test
A Residual Based Cointegration test with a Fourier Approximation
... a residual-based cointegration test in the presence of smooth structural changes approximated by a Fourier ...The test offers a simple way to accommodate unknown number and form of ...
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A Residual-Based Cointegration test with a Fourier Approximation
... a residual-based cointegration test in the presence of smooth structural changes approximated by a Fourier ...The test offers a simple way to accommodate unknown number and form of ...
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A residual-based bootstrap test for panel cointegration
... 1. Introduction The rate of expansion of the literature on the analysis of non-stationary panels is impressive, see for example Breitung and Pesaran (2006). This growing interest is due to many important economic ...
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Residual-based tests for cointegration and multiple regime shifts
... However, Lee (2000) disputes this result, arguing that it is due to e¢ciency losses, given that the …rst observation is discarded when computing the DF test. Tests using the full unconditional likelihood will not ...
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Residual-based tests for cointegration and multiple regime shifts
... on cointegration tests are less ...ADF test has its power considerably decreased in the presence of a structural ...Engle-Granger cointegration implies an invariant ...analyse cointegration ...
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Testing for cointegration in dependent panels via residual based bootstrap methods
... the cointegration RSB tests with the two di¤erent block sizes deliver essentially the same ...are based on the true order of the autoregressive polynomial of the errors this is a rather remarkable per- ...
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Comparison of Residual based Cointegration Tests: Evidence from Monte Carlo
... no cointegration having higher powers with high size ...no cointegration and null of cointegration for strong empirical ...which test is better than the ...ten residual based ...
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Testing for cointegration in dependent panels via residual-based bootstrap methods
... the test- ing procedure should …nd which hypothesis best describes the panel as a whole is clearly ...median-based test, case (iv) is the only one considered in the literature (for instance as ...
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Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study
... Many interesting features arise. First, all figures highlight the symmetry of distributions around the median break (λ = 50%). This leads to distributions with fatter right tails for CA and BLS test statistics ...
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Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study
... LM test of Kwiatkowski, Phillips, Schmidt, and Shin (1992) - henceforth KPSS -, as in Shin (1994), Hao (1996) and Lee (1999), to the case of cointegration with one structural break, while efficient ...
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A Wald test for the cointegration rank in nonstationary fractional systems
... trace test for the cointegration rank based on a generalized eigenvalue problem of the type considered by Johansen [1988, ...the cointegration rank under the null ...regression based ...
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Test for the null hypothesis of cointegration with reduced size distortion
... (LBIU) test for the null hypothesis of ...standard residual- based test, and we show that the LBIU test is more powerful in a wide range of local ...LBIU test outperforms the ...
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A Residual-based Test For Multicointegration In Models With Structural Breaks And Threshold Adjustment To Steady State
... principle based on Herrndorf (1984), Phillips and Durlauf (1986), Haldrup (1994) and Gregory and Hansen (1996); the weak convergence to stochastic integrals for dependent heterogeneous processes studied in Hansen ...
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Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap
... threshold cointegration models, a longer no-adjustment period is expected in used car markets than in, for example, new car ...linear cointegration tests is likely, and so those tests can be quite ...
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A Sieve Bootstrap Test for Cointegration in a Conditional Error Correction Model
... asymptotic test has somewhat higher rejection frequencies than the bootstrap tests, but as in Table 2 the differences correspond to high size distortions of the asymptotic ...asymptotic test, which is no ...
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The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated
... the test statistic under the alter- native, remains the same when residuals from an OLS-regression rather than true observations are ...to residual based tests of the null of integration in a ...
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DIAGNOSTIC TEST FOR GARCH MODELS BASED ON ABSOLUTE RESIDUAL AUTOCORRELATIONS
... absolute residual autocorrelations from generalized autoregressive conditional heteroscedastic (GARCH) models is ...absolute residual autocorrelations are also obtained and based on these results, a ...
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The Error Correction Model as a Test for Cointegration
... the test suffering in finite samples when one tries to impose potentially invalid common-factor ...alternative test based on the joint significance of the levels terms in an error correction ...our ...
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Are bootstrapped cointegration test findings unreliable?
... bootstrap test approaches in the larger ...no cointegration, but by simulation we find that they display very low power, such that the (bivariate) partial-system approach is still ...trace test ...
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A Jackknife correction to a test for cointegration rank
... jackknife-corrected test statistic for cointegration ...statistic based on the full sample of observations with statistics based on a set of sub-samples, the weights used in the linear ...
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