Tests against stationary and explosive alternatives in vector autoregressive models

DOI10.1111/j.1467-9892.2007.00560.xzbMath1198.62083WikidataQ109549570 ScholiaQ109549570MaRDI QIDQ3552831

Jukka Nyblom, Niklas Ahlgren

Publication date: 22 April 2010

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2007.00560.x

zbMATH Keywords

companion matrix; cointegration; unit roots; asymptotic local power

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62H15: Hypothesis testing in multivariate analysis

Related Items

Karhunen-Loève expansions for the detrended Brownian motion, Tests for real and complex unit roots in vector autoregressive models

Cites Work

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