Time-varying lag cointegration
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Publication:2226301
DOI10.1016/j.cam.2020.113272zbMath1460.62199OpenAlexW3118592001MaRDI QIDQ2226301
Publication date: 12 February 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2020.113272
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Cites Work
- Seasonal integration and cointegration
- Seasonal cointegration. The Japanese consumption function (with discussion)
- Testing for an unstable root in conditional and structural error correction models
- Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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