On multicointegration

DOI10.1080/03610926.2025.2573772MaRDI QIDQ7233074zbMATH OpenFDO

Authors

Publication date 24 April 2026

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2025.2573772

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A multicointegration model of global climate change
• A Stastistical Analysis of Cointegration for I(2) Variables
• Asymptotic Properties of Residual Based Tests for Cointegration
• Econometric modelling of climate systems: the equivalence of energy balance models and cointegrated vector autoregressions
• Testing for multicointegration
• The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
• Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative

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