THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED

By Eric Zivot. Econometric Theory, 2000

71 citations recorded by the source corpus.

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Citations in the corpus

Testing for error correction in panel data (2006, unknown): “However, as shown by Boswijk (1994) and Zivot (2000), tests based on a prespeciﬁed β i are generally not similar and depend on nuisance parameters, even asymptotically.”
THRESHOLD COINTEGRATION AND NONLINEAR ADJUSTMENT TO THE LAW OF ONE PRICE (2001, unknown): “Additionally, Zivot (2000) shows that the Horvath–Watson test generally has higher power than the ADF test when the dynamics of the data invalidate the common-factor restrictions imposed by the ADF test.”
Improving Size and Power in Unit Root Testing (2005, unknown): “…= ε. 25An important example of a unit root testing problem in which a covariate with a known order of integration is observed is the problem of testing for absence of cointegration when the (potentially) cointegrating vector is prespecified [Elliott, Jansson, and Pesavento (2005), Zivot (2000)].”
Mixed signals among tests for cointegration (2004, unknown): “[Other tests suggested for cointegration can be found, for example, in Stock and Watson (1988), Phillips and Ouliaris (1990), Hansen (1992), Banerjee et al. (1998), Saikonnen and Lütkepohl (2000), and also in Zivot (2000).]”
Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity (2004, methodology): “The theoretical analysis of Zivot (2000) therefore proceeds under assumptions that are identical to ours in the absence of serial correlation and strictly stronger than ours in the presence of serial correlation.”
Analytical Evaluation of the Power of Tests for the Absence of Cointegration (2000, methodology): “…QP z z z z z z z z 1 2 2 1 2 1 2 1 2 2 2 1 2 2 1 2 1 2 1 2e j so in this case the asymptotic distribution of the test depends only on the dimension of xt and it is invariant of any other parameter of the DGP. Zivot (2000) also computes the local power for the ECR test in a slightly different model.”
Error Correction Methods with Political Time Series (2016, background): “That is, in these specialized circumstances the ECM model does not make Type II errors, even with near-integrated data, and properly finds that cointegration is present (Kremers, Ericsson, and Dolado 1992; Hansen 1995; DeBoef and Granato 1999; Zivot 2000).”
ADL tests for threshold cointegration (2010, unknown): “Zivot (2000) suggests to estimate the weight parameter in a nonparametric fashion.”