Cover Image

A Residuals-Based Nonparametric Variance Ratio Test for Cointegration

Fuente: arXiv

Saved in:

Bibliographic Details
Main Author:	Reichold, Karsten
Format:	Preprint
Published:	2022
Subjects:	Econometrics Statistics Theory
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

A Bootstrap-Assisted Self-Normalization Approach to Inference in Cointegrating Regressions
by: Reichold, Karsten, et al.
Published: (2022)

Beyond the Oracle Property: Adaptive LASSO in Cointegrating Regressions with Local-to-Unity Regressors
by: Reichold, Karsten, et al.
Published: (2025)

Encompassing Tests for Nonparametric Regressions
by: Lapenta, Elia, et al.
Published: (2022)

Factor Models of Matrix-Valued Time Series: Nonstationarity and Cointegration
by: Li, Degui, et al.
Published: (2025)

Conditional Likelihood Ratio Test with Many Weak Instruments
by: Ayyar, Sreevidya, et al.
Published: (2022)

Uniform Estimation and Inference for Nonparametric Partitioning-Based M-Estimators
by: Cattaneo, Matias D., et al.
Published: (2024)

A New Design-Based Variance Estimator for Finely Stratified Experiments
by: Bai, Yuehao, et al.
Published: (2025)

Prewhitened Long-Run Variance Estimation Robust to Nonstationarity
by: Casini, Alessandro, et al.
Published: (2021)

Nonparametric Empirical Bayes Confidence Intervals
by: Xie, Zhen
Published: (2026)

Trading-off Bias and Variance When the Size of the Treatment Effect is Bounded
by: de Chaisemartin, Clément
Published: (2021)

Testing for Endogeneity: A Moment-Based Bayesian Approach
by: Chib, Siddhartha, et al.
Published: (2026)

Nonparametric Identification of Demand without Exogenous Product Characteristics
by: Borusyak, Kirill, et al.
Published: (2025)

Nonparametric Uniform Inference in Binary Classification and Policy Values
by: Liu, Nan, et al.
Published: (2025)

Residual Balancing for Non-Linear Outcome Models in High Dimensions
by: Meza, Isaac
Published: (2025)

On Robust Empirical Likelihood for Nonparametric Regression with Application to Regression Discontinuity Designs
by: Fang, Qin, et al.
Published: (2025)

Nested Nonparametric Instrumental Variable Regression
by: Meza, Isaac, et al.
Published: (2021)

Bootstrap Diagnostic Tests
by: Cavaliere, Giuseppe, et al.
Published: (2025)

A Consistent ICM-based $χ^2$ Specification Test
by: Jiang, Feiyu, et al.
Published: (2022)

Superconsistency of Tests in High Dimensions
by: Kock, Anders Bredahl, et al.
Published: (2021)

Testing Conditional Stochastic Dominance at Target Points
by: Bugni, Federico A., et al.
Published: (2025)

An Identification and Dimensionality Robust Test for Instrumental Variables Models
by: Navjeevan, Manu
Published: (2023)

Testing for equivalence of pre-trends in Difference-in-Differences estimation
by: Dette, Holger, et al.
Published: (2023)

Testing Goodness-of-Fit for Conditional Distributions: A New Perspective based on Principal Component Analysis
by: Rui, Cui, et al.
Published: (2024)

Testing for sparse idiosyncratic components in factor-augmented regression models
by: Beyhum, Jad, et al.
Published: (2023)

Locally Regular and Efficient Tests in Non-Regular Semiparametric Models
by: Lee, Adam
Published: (2024)

The Fixed-b Limiting Distribution and the ERP of HAR Tests Under Nonstationarity
by: Casini, Alessandro
Published: (2021)

On the Realized Joint Laplace Transform of Volatilities with Application to Test the Volatility Dependence
by: Feng, XinWei, et al.
Published: (2025)

Power Bounds and Efficiency Loss for Asymptotically Optimal Tests in IV Regression
by: Moreira, Marcelo J., et al.
Published: (2026)

Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models
by: Dimitriadis, Timo, et al.
Published: (2022)

Approximate Least-Favorable Distributions and Nearly Optimal Tests via Stochastic Mirror Descent
by: Fernández, Andrés Aradillas, et al.
Published: (2025)

Estimating Distributional Treatment Effects in Randomized Experiments: Machine Learning for Variance Reduction
by: Byambadalai, Undral, et al.
Published: (2024)

Debiased Nonparametric Regression for Statistical Inference and Distributionally Robustness
by: Kato, Masahiro
Published: (2024)

A Test for Jumps in Metric-Space Conditional Means
by: Van Dijcke, David
Published: (2025)

Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations
by: Cavaliere, Giuseppe, et al.
Published: (2025)

Numerical Analysis of Test Optimality
by: Ketz, Philipp, et al.
Published: (2025)

Interference Among First-Price Pacing Equilibria: A Bias and Variance Analysis
by: Liao, Luofeng, et al.
Published: (2024)

Testing Monotonicity in a Finite Population
by: Chen, Jiafeng, et al.
Published: (2025)

Robust Cauchy-Based Methods for Predictive Regressions
by: Ibragimov, Rustam, et al.
Published: (2025)

Inference for Synthetic Controls via Refined Placebo Tests
by: Lei, Lihua, et al.
Published: (2024)

Riesz Regression As Direct Density Ratio Estimation
by: Kato, Masahiro
Published: (2025)