TESTS FOR NONLINEAR COINTEGRATION

DOI10.1017/S0266466609990065zbMath1191.62147MaRDI QIDQ3577698

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Publication date: 23 July 2010

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466609990065

Mathematics Subject Classification ID

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

62E20: Asymptotic distribution theory in statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

62J02: General nonlinear regression

65C05: Monte Carlo methods

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