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A residual based test for the null hypothesis of cointegration

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  • Xiao, Zhijie

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  • Xiao, Zhijie, 1999. "A residual based test for the null hypothesis of cointegration," Economics Letters, Elsevier, vol. 64(2), pages 133-141, August.
    • Handle: RePEc:eee:ecolet:v:64:y:1999:i:2:p:133-141
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    1. Phillips, Peter C B, 1995. "Fully Modified Least Squares and Vector Autoregression," Econometrica, Econometric Society, vol. 63(5), pages 1023-1078, September.
    2. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    3. P. C. B. Phillips & S. N. Durlauf, 1986. "Multiple Time Series Regression with Integrated Processes," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 473-495.
    4. Hansen, Bruce E., 1992. "Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 87-121.
    5. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    6. Barnett,William A. & Powell,James & Tauchen,George E. (ed.), 1991. "Nonparametric and Semiparametric Methods in Econometrics and Statistics," Cambridge Books, Cambridge University Press, number 9780521370905, November.
    7. Shin, Yongcheol, 1994. "A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration," Econometric Theory, Cambridge University Press, vol. 10(1), pages 91-115, March.
    8. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-144, January.
    9. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
    10. Barnett,William A. & Powell,James & Tauchen,George E. (ed.), 1991. "Nonparametric and Semiparametric Methods in Econometrics and Statistics," Cambridge Books, Cambridge University Press, number 9780521424318, November.
    11. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    12. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
    13. Stock, James H, 1987. "Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors," Econometrica, Econometric Society, vol. 55(5), pages 1035-1056, September.
    14. Ploberger, Werner & Kramer, Walter & Kontrus, Karl, 1989. "A new test for structural stability in the linear regression model," Journal of Econometrics, Elsevier, vol. 40(2), pages 307-318, February.
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    Cited by:

    1. Hassler, U. & Marmol, F. & Velasco, C., 2006. "Residual log-periodogram inference for long-run relationships," Journal of Econometrics, Elsevier, vol. 130(1), pages 165-207, January.
    2. Vasco Gabriel, 2003. "Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison," Econometric Reviews, Taylor & Francis Journals, vol. 22(4), pages 411-435.
    3. Trapani, Lorenzo & Urga, Giovanni, 2010. "Micro versus macro cointegration in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 155(1), pages 1-18, March.
    4. Vicente German-Soto, 2014. "Assessing the Historical Water Flow Allocation in the Lower Rio Grande between Mexico and the United States," Journal of Borderlands Studies, Taylor & Francis Journals, vol. 29(2), pages 275-289, May.
    5. Julián Ramajo Hernández(1) & Montserrat Ferré Carracedo(2), "undated". "Testing For Long-Run Purchasing Power Parity In The Post Bretton Woods Era: Evidence From Old And New Tests," Working Papers 24-05 Classification-JEL , Instituto de Estudios Fiscales.
    6. Inder Sekhar Yadav & Phanindra Goyari & R. K. Mishra, 2018. "Saving, Investment and Growth in India: Evidence from Cointegration and Causality Tests," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 1, pages 55-68, March.
    7. Singh, Tarlok, 2010. "Does domestic saving cause economic growth? A time-series evidence from India," Journal of Policy Modeling, Elsevier, vol. 32(2), pages 231-253, March.
    8. Döpke, Jörg, 2001. "The "Employment Intensity" of Growth in Europe," Kiel Working Papers 1021, Kiel Institute for the World Economy (IfW Kiel).
    9. Joakim Westerlund, 2005. "A Panel CUSUM Test of the Null of Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(2), pages 231-262, April.
    10. Chan, Hing Lin & Woo, Kai-Yin, 2008. "Testing for stochastic explosive root bubbles in Asian emerging stock markets," Economics Letters, Elsevier, vol. 99(1), pages 185-188, April.
    11. Tarlok Singh, 2012. "Does public capital crowd-out or crowd-in private capital in India?," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 15(2), pages 109-133, June.
    12. Singh, Tarlok, 2008. "Testing the Saving-Investment correlations in India: An evidence from single-equation and system estimators," Economic Modelling, Elsevier, vol. 25(5), pages 1064-1079, September.
    13. Nicoleta ISAC & Cosmin DOBRIN & Mehmood HUSSAN & Asad ul Islam KHAN & Alina- Andreea MARIN, 2020. "On The Ranks Of Tests Having Null Of Cointegration: A Monte Carlo Comparison," Management Research and Practice, Research Centre in Public Administration and Public Services, Bucharest, Romania, vol. 12(2), pages 58-69, June.
    14. Javier Fernandez-Macho, 2013. "A Test for the Null of Multiple Cointegrating Vectors," Economics Series Working Papers 657, University of Oxford, Department of Economics.

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