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2002•Econometric TheoryRequires access

REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES

Michael Jansson, Niels Haldrup

Open publisher page 16 citations

Abstract

This paper proposes a notion of near cointegration and generalizes several existing results from the cointegration literature to the case of near cointegration. In particular, the properties of conventional cointegration methods under near cointegration are characterized, thereby investigating the robustness of cointegration methods. In addition, we obtain local asymptotic power functions of five cointegration tests that take cointegration as the null hypothesis.

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What this paper is about

This paper proposes a notion of near cointegration and generalizes several existing results from the cointegration literature to the case of near cointegration. In particular, the properties of conventional cointegration methods under near cointegration are characterized, thereby investigating the robustness of cointegration methods. In addition, we obtain local asymptotic power functions of five cointegration tests that take cointegration as the null hypothesis.

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OpenAlex reports 16 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

This paper proposes a notion of near cointegration and generalizes several existing results from the cointegration literature to the case of near cointegration. In particular, the properties of conventional cointegration methods under near cointegration are characterized, thereby investigating the robustness of cointegration methods. In addition, we obtain local asymptotic power functions of five cointegration tests that take cointegration as the null hypothesis.

Key concepts: Cointegration, Econometrics, Mathematics, Robustness (evolution), Null (SQL), Null hypothesis, Series (stratigraphy), Economics

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