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Journal of Time Series Analysis, ISSN 0143-9782, 01/2013, Volume 34, Issue 1, pp. 83 - 95
The local power of many popular non‐cointegration tests has recently been shown to depend on a certain nuisance parameter. Depending on the value of that... 
meta test | C22 | Cointegration | C12 | multiple testing | Multiple testing | Meta test | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | BOOTSTRAP | NULL | MODELS | RETURNS | UNIT-ROOT | POWER | STATISTICS & PROBABILITY | Studies | Cointegration analysis | Time series
Journal Article
Journal of Applied Econometrics, ISSN 0883-7252, 3/2007, Volume 22, Issue 2, pp. 265 - 312
A number of panel unit root tests that allow for cross-section dependence have been proposed in the literature that use orthogonalization type procedures to... 
Approximation | Linear regression | Natural satellites | Correlations | Time series | Critical values | Arithmetic mean | Root test | Statistics | Real exchange rates | POWER | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | HETEROGENEOUS PANELS | COINTEGRATION | Heterogeneity | Unit root
Journal Article
Economics Letters, ISSN 0165-1765, 2007, Volume 97, Issue 3, pp. 185 - 190
This paper proposes a bootstrap test for the null hypothesis of cointegration in panel data. The test is general enough to allow for dependence both within and... 
Cross-sectional dependence | Sieve bootstrap | Panel cointegration test | panel cointegration test | ECONOMICS | cross-sectional dependence | sieve bootstrap | Knowledge-based systems | Samhällsvetenskap | Economics | Economics and Business | Social Sciences | Nationalekonomi | Ekonomi och näringsliv
Journal Article
Journal of Econometrics, ISSN 0304-4076, 03/2018, Volume 203, Issue 1, p. 33
This paper provides a multivariate score-type test against spurious long memory. We prove the consistency of the test against the alternatives of random level... 
Studies | Matrix | Volatility | Cointegration analysis
Journal Article
Journal of Econometrics, ISSN 0304-4076, 03/2018, Volume 203, Issue 1, pp. 33 - 49
Journal Article
Journal of Econometrics, ISSN 0304-4076, 02/2015, Volume 184, Issue 2, pp. 280 - 294
We propose a residual-based augmented Dickey–Fuller (ADF) test statistic that allows for detection of stationary cointegration within a system that may contain... 
Multicointegration | Stationary cointegration | Residual-based tests | [formula omitted] systems | I systems | EXCHANGE-RATES | LONG-RUN | SUSTAINABILITY | PURCHASING POWER PARITY | MODEL | ERROR CORRECTION | STATISTICAL-ANALYSIS | I VARIABLES | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | SYSTEMS | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS
Journal Article
2006, Advanced texts in econometrics, ISBN 0199285675, xx, 457
This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the... 
Autoregression (Statistics) | Econometric models | Vector analysis | Cointegration | Mathematics
Book
1998, Themes in modern econometrics, ISBN 9780521587822, xviii, 505
Time series analysis has undergone many changes in recent years with the advent of unit roots and cointegration. Maddala and Kim present a comprehensive review... 
Econometrics | Cointegration | Time-series analysis
Book
Economic Modelling, ISSN 0264-9993, 11/2012, Volume 29, Issue 6, pp. 2310 - 2319
The present study investigates the relationship between energy (renewable and nonrenewable) consumption and economic growth using Cobb–Douglas production... 
Energy consumption | Economic growth | Pakistan | UNITED-STATES | OUTPUT | COINTEGRATION TESTS | ELECTRICITY CONSUMPTION | INFERENCE | GDP | OIL | NEXUS | DYNAMICS | ECONOMICS | INDUSTRIAL-PRODUCTION | Economic aspects | Analysis
Journal Article
Tourism Management, ISSN 0261-5177, 2009, Volume 30, Issue 1, pp. 17 - 20
This paper empirically revisits and investigates the tourism-led-growth (TLG) hypothesis in the case of Turkey by employing the bounds test and Johansen... 
Tourism-Led Growth | The Bounds Test | Turkey | Cointegration | DEMAND | MANAGEMENT | TIME-SERIES | UNIT-ROOT | HOSPITALITY, LEISURE, SPORT & TOURISM | ECONOMIC-GROWTH | ENVIRONMENTAL STUDIES | Travel industry
Journal Article
Applied Economics, ISSN 0003-6846, 03/2018, Volume 50, Issue 13, pp. 1509 - 1521
We propose a bootstrap autoregressive-distributed lag (ARDL) test. By applying the appropriate bootstrap method, some weaknesses underlying the Pesaran, Shin... 
ARDL bounds test | Bootstrap method | C32 | degenerate cases | C15 | NEXUS | UNIT-ROOT | ECONOMICS | ECONOMIC-GROWTH | FLOWS | REGRESSIONS | Econometrics | Regression analysis
Journal Article
Journal of Multivariate Analysis, ISSN 0047-259X, 05/2019, Volume 171, pp. 298 - 319
In this paper, we propose a wavelet-based cointegration test for fractionally integrated time series. The proposed test is nonparametric and asymptotically... 
Wavelet | Fractional integration | Cointegration | Wavestrapping | BOOTSTRAP | UNIT-ROOT | STATISTICS & PROBABILITY | RANK | Monte Carlo method | Analysis | Algorithms
Journal Article
Journal of Econometrics, ISSN 0304-4076, 2006, Volume 133, Issue 1, pp. 97 - 126
We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies of existing rank statistics, like: a Kronecker covariance... 
Stochastic discount factor model | Cointegration | GMM | class eco A | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | HETEROSKEDASTICITY-CONSISTENT | cointegration | stochastic discount factor model | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | ERROR-CORRECTION | MOMENTS | Ranking and selection (Statistics) | Matrices | Analysis | Stochastic processes
Journal Article
Stata Journal, ISSN 1536-867X, 06/2008, Volume 8, Issue 2, pp. 232 - 241
Journal Article
Journal of Management Information Systems, ISSN 0742-1222, 01/2018, Volume 35, Issue 1, pp. 19 - 52
Bitcoin's emergence has the potential to pave the way for a technological revolution in financial markets. What determines its valuation is an important open... 
digital currency | text mining | vector error correction model | cryptocurrencies | fintech | social media | bitcoin | QUALITY | MANAGEMENT | BEHAVIOR | COMPUTER SCIENCE, INFORMATION SYSTEMS | STOCK-PRICES | COINTEGRATION | MODELS | INFORMATION SCIENCE & LIBRARY SCIENCE | LEADERSHIP | ECONOMICS | USERS | ONLINE COMMUNITY | TWITTER
Journal Article