Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods (Q3842862)

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Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
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    Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods (English)
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    15 March 1999
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    cointegration
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    Lagrange multiplier test
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    likelihood ratio test
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    outlier robustness
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    fat tails
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    GARCH
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    pseudo-likelihood
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