Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity
By Graham Elliott, Michael Jansson, Elena Pesavento. 2004
50 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/71565ff015cbdb1c1089248b39b018037b807568
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Elena Pesavento
- Michael Jansson
- K. Lumpur.
- Barbara Rossi
- Niels Haldrup
- Ò. Jordà
- R. Giacomini
- Kenneth S. Rogoff
In Finance
- Elena Pesavento
- Niels Haldrup
- Michael Jansson
- Barbara Rossi
- K. Lumpur.
- Ò. Jordà
- R. Giacomini
- P. R. Hansen
Citations in the corpus
- The dynamic links between CO2 emissions, economic growth and coal consumption in China and India (2013, background): “Unfortunately, different cointegration tests might suggest different conclusions because no one cointegration test was perfect and completely robust in all applications [46].”
- Small sample confidence intervals for multivariate impulse response functions at long horizons (2006, background): “known (as in Elliott, Jansson and Pesavento (2005) ) 7 , which is not a limitation as”
- Combining non‐cointegration tests (2013, unknown): “This task has however proved analytically challenging, and only results for the no deterministics case (Elliott and Pesavento, 2009) and the case of known cointegration vectors (Elliott et al. 2005) seem to be feasible.”
- Testing for Unit Roots with Stationary Covariates (2002, unknown): “Elliott et al. (1996) (denoted ERS in the remainder of the paper) showed that there is no uniformly most powerful test for this problem and derived tests that were approximately most powerful in the sense that they have asymptotic power close to the envelope of most powerful tests for this problem. ”
- Improving Size and Power in Unit Root Testing (2005, background): “…= 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)].”