The effects of series on cointegration inference.
Lin, Yan-Xia, McCrae, Michael (2002)
Journal of Applied Mathematics and Decision Sciences
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Displaying similar documents to “Estimation and testing of cointegration relationships with strongly seasonal monthly data”
The effects of series on cointegration inference.
On Bartlett's test for correlation between time series
Jiří Anděl, Jaromír Antoch (1998)
Kybernetika
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An explicit formula for the correlation coefficient in a two-dimensional AR(1) process is derived. Approximate critical values for the correlation coefficient between two one-dimensional AR(1) processes are tabulated. They are based on Bartlett’s approximation and on an asymptotic distribution derived by McGregor. The results are compared with critical values obtained from a simulation study.
Asymptotic separation in bilinear models.
Gonçalves, E., Martins, C.M., Mendes-Lopes, N. (2000)
Portugaliae Mathematica
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On residual analysis for time series models
Jiří Anděl (1997)
Kybernetika
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A case study of the residual-based cointegration procedure.
Biondini, Riccardo, Lin, Yan-Xia, McCrae, Michael (2003)
Journal of Applied Mathematics and Decision Sciences
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A comparison of cointegration tests
Petr Mariel (1996)
Applications of Mathematics
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In this paper some of the cointegration tests applied to a single equation are compared. Many of the existent cointegration tests are simply extensions of the unit root tests applied to the residuals of the cointegrating regression and the habitual is no cointegration. However, some non residual-based tests and some tests of the opposite null hypothesis have recently appeared in literature. Monte Carlo simulations have been used for the power comparison of the nine selected tests (...
Spurious regression.
Ventosa-Santaulària, D. (2009)
Journal of Probability and Statistics
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