On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
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Publication:4451549
DOI10.1081/ETC-120028834zbMath1082.62520MaRDI QIDQ4451549
Publication date: 26 February 2004
Published in: Econometric Reviews (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Related Items (3)
Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression ⋮ Tests for cointegration rank and choice of the alternative ⋮ Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
Uses Software
Cites Work
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