Diagnostic testing for cointegration
From MaRDI portal
Publication:291113
DOI10.1016/j.jeconom.2007.08.015zbMath1418.62350OpenAlexW2136112474MaRDI QIDQ291113
Publication date: 6 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/4465/1/DIAGNOSTIC_TESTING_FOR_COINTEGRATION.pdf
semiparametric estimationfractional cointegrationspecification testingcointegrating rankdiagnostic testing
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)
Related Items
Long memory and long run variation, A Wald test for the cointegration rank in nonstationary fractional systems, Identifying Cointegration by Eigenanalysis, Cointegration Rank Estimation for High-Dimensional Time Series With Breaks, A multivariate test against spurious long memory, Efficient tapered local Whittle estimation of multivariate fractional processes, Estimation of long-run parameters in unbalanced cointegration, Semiparametric inference in multivariate fractionally cointegrated systems, A comparison of semiparametric tests for fractional cointegration
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