A test of serial independence of deviations from cointegrating relations

DOI10.1016/J.ECONLET.2006.01.013MaRDI QIDQ1929378zbMATH OpenOpenAlexFDO

Authors Hiroaki Chigira

Publication date 8 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2006.01.013

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Cited in

(3)

• Testing for serial correlation of unknown form in cointegrated time series models
• Inference on segmented cointegration
• A Direct Test for Cointegration Between a Pair of Time Series

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