A simple test for the equality of integration orders
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Publication:2439794
DOI10.1016/J.ECONLET.2013.03.003zbMath1283.62176OpenAlexW2042090269MaRDI QIDQ2439794
Publication date: 17 March 2014
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: http://www2.unavarra.es/gesadj/depEconomia/repec/DocumentosTrab/DT1206.PDF
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Related Items (5)
Diagnostic testing for cointegration ⋮ Root-\(n\)-consistent estimation of weak fractional cointegration ⋮ Residual-based test for fractional cointegration ⋮ A comparison of semiparametric tests for fractional cointegration ⋮ Two-step wavelet-based estimation for Gaussian mixed fractional processes
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