A Lagrange Multiplier-Type Test for Idiosyncratic Unit Roots in the Exact Factor Model
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Publication:2954302
DOI10.1111/jtsa.12193zbMath1356.62159OpenAlexW593644817MaRDI QIDQ2954302
Publication date: 12 January 2017
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12193
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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