Bartlett corrections in cointegration testing
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Publication:1960594
DOI10.1016/S0167-9473(98)00105-4zbMath0942.62103OpenAlexW2029227693MaRDI QIDQ1960594
Publication date: 12 January 2000
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-9473(98)00105-4
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)
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Cites Work
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- On the bias of the least squares estimator for the first order autoregressive process
- Statistical analysis of cointegration vectors
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- The order of the error term for moments of the log likelihood ratio unit root test in an autoregressive process
- Cointegration tests in the presence of structural breaks
- Testing For Unit Roots: 1
- The moments of products of quadratic forms in normal variables
- Bartlett Corrections for Unit Root Test Statistics
- Miscellanea. Bartlett correction of the unit root test in autoregressive models
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process
- Properties of sufficiency and statistical tests
- The bootstrap and Edgeworth expansion
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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