Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank (Q894635): Difference between revisions
From MaRDI portal
Latest revision as of 04:10, 11 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank |
scientific article |
Statements
Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank (English)
0 references
2 December 2015
0 references
cointegration model
0 references
cointegration rank
0 references
elliptical densities
0 references
error-correction model
0 references
Lagrange multiplier test
0 references
local asymptotic Brownian functional
0 references
local asymptotic mixed normality
0 references
local asymptotic normality
0 references
multivariate ranks
0 references
quasi-likelihood procedures
0 references
rank tests
0 references
semiparametric efficiency
0 references
0 references
0 references
0 references
0 references
0 references
0 references
