Asymptotic Properties of Residual Based Tests for Cointegration (Q3359623)
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scientific article; zbMATH DE number 4213288
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| English | Asymptotic Properties of Residual Based Tests for Cointegration |
scientific article; zbMATH DE number 4213288 |
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Asymptotic Properties of Residual Based Tests for Cointegration (English)
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1990
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asymptotically similar tests
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conceptual pitfalls
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residual based procedures
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Renyi-mixing
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residual based tests for cointegration
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time series
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augmented Dickey-Fuller test
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unit root tests
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cointegrating regression
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limiting distributions
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standard Brownian motion
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Power properties
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asymptotic equivalence
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consistency
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rates of divergence
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0.8505873680114746
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0.8391293883323669
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0.8331868648529053
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0.8209875822067261
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