Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank (Q894635): Difference between revisions
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Revision as of 02:30, 20 March 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)
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2 December 2015
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cointegration model
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cointegration rank
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elliptical densities
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error-correction model
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Lagrange multiplier test
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local asymptotic Brownian functional
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local asymptotic mixed normality
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local asymptotic normality
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multivariate ranks
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quasi-likelihood procedures
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rank tests
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semiparametric efficiency
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