Testing for cointegration using induced-order statistics

Testing for Cointegration using Induced-Order Statistics

In this paper we explore the usefulness of induced-order statistics in the characterization of integrated series and of cointegration relationships. We propose a non-parametric test statistic for testing the null hypothesis of two independent random walks against wide cointegrating alternatives including monotonic nonlinearities and certain types of level shifts in the cointegration relationshi...

Testing for Cointegration Rank Using Bayes Factors

This paper proposes Bayesian methods for estimating the cointegration rank using Bayes factors. We consider natural conjugate priors for computing Bayes factors. First, we estimate the cointegrating vectors for each possible rank. Then, we compute the Bayes factors for each rank against 0 rank. Monte Carlo simulations show that using Bayes factor with conjugate priors produces fairly good resul...

Ordering of Order Statistics Using Variance Majorization

 In this paper, we study stochastic comparisons of order statistics of independent random variables with proportional hazard rates, using the notion of variance majorization.

Diagnostic Testing for Cointegration

We develop a sequence of tests for specifying the cointegrating rank of, possibly fractional, multiple time series. Memory parameters of observables are treated as unknown, as are those of possible cointegrating errors. The individual test statistics have standard null asymptotics, and are related to Hausman speci…cation test statistics: when the memory parameter is common to several series, an...

Repository Testing for cointegration using the Johansen approach