Specification testing for nonlinear multivariate cointegrating regressions
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Publication:2398978
DOI10.1016/j.jeconom.2017.05.016zbMath1388.62250OpenAlexW3124188142MaRDI QIDQ2398978
Dag Tjøstheim, Jiying Yin, Chaohua Dong, J. T. Gao
Publication date: 21 August 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://business.monash.edu/econometrics-and-business-statistics/research/publications/ebs/wp08-14.pdf
Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)
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