Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank-Reference-Cited by-同舟云学术

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Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank

Published:2016-01 Issue:1 Volume:190 Page:46-61
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Hallin Marc,van den Akker Ramon,Werker Bas J.M.

Funder

Australian Research Council

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference67 articles.

1. Convergence in international output;Bernard;J. Appl. Econometrics,1995

2. Efficient and Adaptive Estimation for Semiparametric Models;Bickel,1993

3. Improved likelihood ratio tests for cointegration rank in the VAR model;Boswijk;J.~Econometrics,2015

4. Rank tests for nonlinear cointegration;Breitung;J. Bus. Econom. Statist.,2001

5. Rank tests for unit roots;Breitung;J.~Econometrics,1997

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