No-cointegration test based on fractional differencing: Some Monte Carlo results (Q1304366)
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scientific article; zbMATH DE number 1339685
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| English | No-cointegration test based on fractional differencing: Some Monte Carlo results |
scientific article; zbMATH DE number 1339685 |
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No-cointegration test based on fractional differencing: Some Monte Carlo results (English)
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11 March 2001
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no-cointegration test
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Geweke-Porter-Hudak regression
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fractional differencing
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Monte Carlo methods
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time series
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0.7762964963912964
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0.756733775138855
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0.7525336742401123
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0.7512006163597107
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