A residual-based ADF test for stationary cointegration in I(2) settings

DOI10.1016/j.jeconom.2014.08.009zbMath1332.62326OpenAlexW2136482390MaRDI QIDQ2343747

Javier Hualde, Javier Gomez-Biscarri

Publication date: 6 May 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.08.009

zbMATH Keywords

multicointegrationresidual-based testsI(2) systemsstationary cointegration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

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