Finite sample performance of the model selection approach in co-integration analysis
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Publication:3636775
DOI10.1080/00949650701766962zbMath1169.62079WikidataQ59362826 ScholiaQ59362826MaRDI QIDQ3636775
Publication date: 29 June 2009
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949650701766962
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62H15: Hypothesis testing in multivariate analysis
65C05: Monte Carlo methods
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