Statistical inference in vector autoregressions with possibly integrated processes

DOI10.1016/0304-4076(94)01616-8zbMath0813.62079OpenAlexW2078213728MaRDI QIDQ1347103

Publication date: 6 June 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01616-8

zbMATH Keywords

hypothesis testing cointegration unit roots vector autoregressions lag selection procedure

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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