Asymptotic Properties of Residual Based Tests for Cointegration
This paper develops an asymptotic theory for residual based tests for cointegration. Attention is given to the augmented Dickey-Fuller (ADF) test and the Z(subscript alpha) and ...
Publications
3 shownTime Series Regression with a Unit Root
This paper studies the random walk, in a general time series setting that allows for weakly dependent and heterogeneously distributed innovations. It is shown that simple least ...
Multiple Time Series Regression with Integrated Processes
This paper develops a general asymptotic theory of regression for processes which are integrated of order one. The theory includes vector autoregressions and multivariate regres...
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Researcher Info
- h-index
- 3
- Publications
- 3
- Citations
- 5,679
External Links
Impact Metrics
h-index
3
h-index: Number of publications with at least h citations each.