Nonparametric tests for unit roots and cointegration
Top Cited Papers
- 1 June 2002
- journal article
- Published by Elsevier in Journal of Econometrics
- Vol. 108 (2) , 343-363
- https://doi.org/10.1016/s0304-4076(01)00139-7
Abstract
No abstract availableAll Related Versions
This publication has 28 references indexed in Scilit:
- Rank Tests for Nonlinear CointegrationJournal of Business & Economic Statistics, 2001
- Fully Modified Vector Autoregressive Inference in Partially Nonstationary ModelsJournal of the American Statistical Association, 1998
- Trend Function Hypothesis Testing in the Presence of Serial CorrelationEconometrica, 1998
- Testing for a Shift in Mean without Having to Estimate Serial-Correlation ParametersJournal of Business & Economic Statistics, 1998
- Rank tests for unit rootsJournal of Econometrics, 1997
- Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rateJournal of Econometrics, 1997
- Principal Components Analysis of Cointegrated Time SeriesEconometric Theory, 1997
- Asymptotics for Linear ProcessesThe Annals of Statistics, 1992
- Testing for a Moving Average Unit RootEconometric Theory, 1990
- A Functional Central Limit Theorem for Weakly Dependent Sequences of Random VariablesThe Annals of Probability, 1984