Residuals-based tests for cointegration with generalized least-squares detrended data
MetadataShow full item record
CitationPierre Perron, Gabriel Rodriguez. 2016. "Residuals-based tests for cointegration with generalized least-squares detrended data." ECONOMETRICS JOURNAL, Volume 19, Issue 1, pp. 84 - 111 (28).
We provide generalized least-squares (GLS) detrended versions of single-equation static regression or residuals-based tests for testing whether or not non-stationary time series are cointegrated. Our approach is to consider nearly optimal tests for unit roots and to apply them in the cointegration context. We derive the local asymptotic power functions of all tests considered for a triangular data-generating process, imposing a directional restriction such that the regressors are pure integrated processes. Our GLS versions of the tests do indeed provide substantial power improvements over their ordinary least-squares counterparts. Simulations show that the gains in power are important and stable across various configurations.
Showing items related by title, author, creator and subject.
Media consumption and creation in attitudes toward and knowledge of inflammatory bowel disease: web-based survey Groshek, Jacob; Basil, Miles; Guo, Ling; Parker Ward, Sarah; Farraye, Francis A.; Reich, Jason (2017-12-08)BACKGROUND: Inflammatory bowel disease (IBD) is a chronic gastrointestinal condition affecting over 5 million people globally and 1.6 million in the United States but currently lacks a precisely determined cause or cure. ...
Gacs, Peter (CAMBRIDGE UNIV PRESS, 2000-09-01)Consider the integer lattice L = ℤ2. For some m [ges ] 4, let us colour each column of this lattice independently and uniformly with one of m colours. We do the same for the rows, independently of the columns. A point of ...
Biological hot spots and the accumulation of marine dissolved organic matter in a highly productive ocean margin Shen, Yuan; Fichot, Cedric G.; Liang, Sheng-Kang; Benner, Ronald (WILEY-BLACKWELL, 2016-07-01)Concentrations of dissolved organic carbon (DOC) and major biochemicals (amino acids and carbohydrates) were measured during five cruises (2009–2010) to the Louisiana margin in the northern Gulf of Mexico. Concentrations ...