A weighted symmetric cointegration test
From MaRDI portal
Publication:3518408
DOI10.1080/00949650701216596zbMath1274.62583OpenAlexW2016735519MaRDI QIDQ3518408
Dimitrios V. Vougas, Steven Cook
Publication date: 7 August 2008
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949650701216596
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)
Related Items (1)
Cites Work
- Unnamed Item
- Testing for cointegration: Power versus frequency of observation--another view
- Estimating break points in a time series regression with structural changes
- Residual-based tests for cointegration in models with regime shifts
- Testing for cointegration: power versus frequency of observation -- further Monte Carlo results
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
- Examination of Some More Powerful Modifications of the Dickey–Fuller Test
This page was built for publication: A weighted symmetric cointegration test