Combining non-cointegration tests
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Publication:2852482
DOI10.1111/j.1467-9892.2012.00814.xzbMath1274.62555OpenAlexW2124265708MaRDI QIDQ2852482
Christoph Hanck, Christian Bayer
Publication date: 9 October 2013
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2012.00814.x
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Numerical analysis or methods applied to Markov chains (65C40) Non-Markovian processes: hypothesis testing (62M07)
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Cites Work
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- TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT
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- Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
- Residual-Based Block Bootstrap for Unit Root Testing
- Asymptotic Optimality of Fisher's Method of Combining Independent Tests
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