A Wald test for the cointegration rank in nonstationary fractional systems
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Publication:2628844
DOI10.1016/j.jeconom.2009.03.007zbMath1431.62351OpenAlexW2143427503MaRDI QIDQ2628844
Carlos Velasco, Marco Avarucci
Publication date: 18 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.03.007
singular value decompositionfractional integrationcointegration testfractional error correction model
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)
Related Items (2)
A unifying theory of tests of rank ⋮ A comparison of semiparametric tests for fractional cointegration
Cites Work
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