Cotrending: testing for common deterministic trends in varying means model

DOI10.1016/J.JMVA.2021.104825MaRDI QIDQ2057835zbMATH OpenOpenAlexFDO

Authors Marie-Christine Düker, Vladas Pipiras, Raanju R. Sundararajan

Publication date 7 December 2021

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2021.104825

zbMATH Keywords

asymptotic normalitycointegrationcotrending dimension and spacematrix rank and nullityprincipal component analysistestingvarying means

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric hypothesis testing (62G10) Hypothesis testing in multivariate analysis (62H15) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Uses Software

• fda (R)

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