Regression-based analysis of cointegration systems
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Publication:2346014
DOI10.1016/j.jeconom.2014.12.007zbMath1331.62469MaRDI QIDQ2346014
Javier Hualde, Javier Gomez-Biscarri
Publication date: 29 May 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.12.007
cointegrating space; Johansen's methodology; Phillips' triangular form; regression-based cointegration testing
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84: Economic time series analysis
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