Testing for the cointegration rank when some cointegrating directions are changing
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Publication:261903
DOI10.1016/j.jeconom.2004.02.003zbMath1335.62124OpenAlexW2061622228MaRDI QIDQ261903
Philippe Andrade, Catherine Bruneau, Stéphane Gregoir
Publication date: 24 March 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.02.003
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical ranking and selection procedures (62F07)
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