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dc.contributor.authorPerron, Pierreen_US
dc.contributor.authorRodriguez, Gabrielen_US
dc.date.accessioned2018-01-23T19:19:08Z
dc.date.available2018-01-23T19:19:08Z
dc.date.issued2016-02-01
dc.identifierhttp://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000375379300007&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=6e74115fe3da270499c3d65c9b17d654
dc.identifier.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).
dc.identifier.issn1368-4221
dc.identifier.issn1368-423X
dc.identifier.urihttps://hdl.handle.net/2144/26277
dc.description.abstractWe 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.en_US
dc.format.extent84 - 111 (28)en_US
dc.languageEnglish
dc.publisherWILEY-BLACKWELLen_US
dc.relation.ispartofECONOMETRICS JOURNAL
dc.subjectSocial sciencesen_US
dc.subjectScience & technologyen_US
dc.subjectPhysical sciencesen_US
dc.subjectEconomicsen_US
dc.subjectMathematics, interdisciplinary applicationsen_US
dc.subjectSocial sciences, mathematical methodsen_US
dc.subjectStatistics & probabilityen_US
dc.subjectBusiness & economicsen_US
dc.subjectMathematicsen_US
dc.subjectMathematical methods in social sciencesen_US
dc.subjectCointegrationen_US
dc.subjectHypothesis testingen_US
dc.subjectOLS and GLS detrended dataen_US
dc.subjectResiduals-based unit root testsen_US
dc.subjectLikelihood ratio testsen_US
dc.subjectUnit-root testsen_US
dc.subjectAsymptotic propertiesen_US
dc.subjectTime-seriesen_US
dc.subjectECR testsen_US
dc.subjectOLS and GLS detrended dataen_US
dc.subjectHypothesis testingen_US
dc.subjectEconometricsen_US
dc.titleResiduals-based tests for cointegration with generalized least-squares detrended dataen_US
dc.typeArticleen_US
dc.identifier.doi10.1111/ectj.12056
pubs.elements-sourceweb-of-scienceen_US
pubs.notesEmbargo: Not knownen_US
pubs.organisational-groupBoston Universityen_US
pubs.organisational-groupBoston University, College of Arts & Sciencesen_US
pubs.organisational-groupBoston University, College of Arts & Sciences, Department of Economicsen_US
pubs.publication-statusPublisheden_US


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