Optimal rank-based tests for block exogeneity in vector autoregressions
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Publication:391529
DOI10.1016/j.jmva.2012.12.003zbMath1277.62205OpenAlexW1993312956MaRDI QIDQ391529
Publication date: 10 January 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2012.12.003
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)
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