Combining non-cointegration tests
Author:
Publisher
Wiley
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9892.2012.00814.x/fullpdf
Reference26 articles.
1. Error-correction mechanism tests for cointegration in a single-equation framework;Banerjee;Journal of Time Series Analysis,1998
2. Testing for an unstable root in conditional and unconditional error correction models;Boswijk;Journal of Econometrics,1994
3. Forecasting in cointegrated systems;Clements;Journal of Applied Econometrics,1995
4. A time series analysis of real wages, consumption, and asset returns;Cooley;Journal of Applied Econometrics,1996
5. Optimal power for testing potential cointegrating vectors with known parameters for nonstationarity;Elliott;Journal of Business & Economic Statistics,2005
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