Subsampling cointegration tests in heavy-tailed observation

DOI10.13338/J.ISSN.1006-8341.2015.03.010zbMATH Open1349.62047MaRDI QIDQ2993935FDOQ2993935

Authors: Wei-Qi Liu, Liya Duan, Ruibing Qin 

Publication date: 10 August 2016

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zbMATH Keywords

cointegration testsheavy-tailed observationssubsampling algorithm

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Asymptotic properties of parametric tests (62F05)

Cited In (2)

• Subsampling the Johansen test with stable innovations
• Subsampling unit root tests for heavy-tailed observations

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