A unifying theory of tests of rank
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Publication:2397723
DOI10.1016/j.jeconom.2017.03.002zbMath1452.62614OpenAlexW2606264822MaRDI QIDQ2397723
Publication date: 23 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://dro.dur.ac.uk/25916/1/25916.pdf
cointegrationmisspecificationplug-in principlelocal powertests of rankreduced-rank approximationnull space estimation
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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