Consistent Testing of Cointegrating Relationships

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Nonparametric Predictive Regression (2015, unknown): “Hualde, J., Robinson, P.M., 2010.”
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (2010, methodology): “In the same model as Lasak, but assuming “weak cointegration”, Avarucci and Velasco (2009) extend the univariate test of Lobato and Velasco (2007) to analyze a Wald test for cointegration rank, see also Marmol and Velasco (2004).”
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (2007, background): “Hence, Theorem 6(b) can be considered an alternative formal test of the hypothesis of no cointegration also examined by, e.g., Marmol and Velasco (2004) and Hassler and Breitung (2005), using residuals from an estimated cointegration vector.”
Nonparametric cointegration analysis of fractional systems with unknown integration orders (2010, methodology): “As expected, the asymptotic distribution changes to reflect the detrending, see Nielsen (2005) and Theorem 1 below.”
Root-N-Consistent Estimation of Weak Fractional Cointegration (2006, methodology): “Using a methodology involving the LSE and NBLSE of , and semiparametric estimates of , Robinson and Marinucci (2003) found evidence that < 1=2 in some of the bivariate macroeconomic series originally examined by Engle and Granger (1987), Campbell and Shiller (1987), who investigated only the possibi”