Tests for real and complex unit roots in vector autoregressive models
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Publication:2252897
DOI10.1016/j.jmva.2014.05.012zbMath1292.62127WikidataQ109549567 ScholiaQ109549567MaRDI QIDQ2252897
Publication date: 24 July 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2014.05.012
time series; companion matrix; cointegration; seasonal unit root; eigenvalue test; non-standard asymptotic distribution
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M07: Non-Markovian processes: hypothesis testing
62F05: Asymptotic properties of parametric tests
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