Two Mixed Normal Densities from Cointegration Analysis
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Publication:4340693
DOI10.2307/2171758zbMATH Open1102.62348OpenAlexW3124858243MaRDI QIDQ4340693FDOQ4340693
Authors: Karim M. Abadir, Paolo Paruolo 
Publication date: 1997
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2171758
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cited In (10)
- Small-sample improvements in the statistical analysis of seasonally cointegrated systems
- Bayesian Dynamic Tensor Regression
- Effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors
- Understanding price discovery in interconnected markets: generalized Langevin process approach and simulation
- Moment ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors
- Online Statistical Inference for Stochastic Optimization via Kiefer-Wolfowitz Methods
- Revealing unnoticed properties of super exogeneity in a cointegrated vector autoregression
- GARCH density and functional forecasts
- CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA
- An introduction to hypergeometric functions for economists
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