scholarly journals Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order

2011 ◽  
Vol 55 (2) ◽  
pp. 1008-1017 ◽  
Author(s):  
Christian Kascha ◽  
Carsten Trenkler
Keyword(s):  
Error Correction ◽  
Likelihood Ratio ◽  
Cointegration Test ◽  
Error Correction Models

scholarly journals Cointegration Testing and Dynamic Simulations of Autoregressive Distributed Lag Models

2018 ◽  
Vol 18 (4) ◽  
pp. 902-923 ◽  
Author(s):  
Soren Jordan ◽  
Andrew Q. Philips
Keyword(s):  
Error Correction ◽  
Political Science ◽  
Applied Econometrics ◽  
Cointegration Test ◽  
Dynamic Simulations ◽  
Error Correction Models ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Distributed Lag Models ◽  
Cointegration Testing

In this article, we introduce dynamac, a suite of commands designed to assist users in modeling and visualizing the effects of autoregressive distributed lag models and in testing for cointegration. We discuss the bounds cointegration test proposed by Pesaran, Shin, and Smith (2001, Journal of Applied Econometrics 16: 289–326), which we have adapted into a command. Because the resulting models can be dynamically complex, we follow the advice of Philips (2018, American Journal of Political Science 62: 230–244) by introducing a flexible command designed to dynamically simulate and plot a variety of types of autoregressive distributed lag models, including error-correction models.

Bias assessment and reduction in linear error-correction models

1994 ◽  
Vol 63 (1) ◽  
pp. 215-243 ◽  
Author(s):  
Jan F. Kiviet ◽  
Garry D.A. Phillips
Keyword(s):  
Error Correction ◽  
Error Correction Models ◽  
Bias Assessment
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