A REVIEW OF SYSTEMS COINTEGRATION TESTS

DOI10.1081/ETC-100104936zbMath1044.62120OpenAlexW2048919143MaRDI QIDQ4471125

Pentti Saikkonen, Kirstin Hubrich, Helmut Lütkepohl

Publication date: 18 June 2004

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/etc-100104936

zbMATH Keywords

asymptotic powerDGPsmall sample simulationsLR tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

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