Inference on the cointegration rank in fractionally integrated processes.

DOI10.1016/S0304-4076(02)00091-XzbMath1038.62075OpenAlexW2168960357MaRDI QIDQ1858968

Uwe Hassler, Jörg Breitung

Publication date: 17 February 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(02)00091-x

zbMATH Keywords

long memoryLM testcointegrated systems

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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