Two Mixed Normal Densities from Cointegration Analysis

DOI10.2307/2171758MaRDI QIDQ4340693zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cited in

(10)

• Bayesian Dynamic Tensor Regression
• Small-sample improvements in the statistical analysis of seasonally cointegrated systems
• Moment ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors
• Revealing unnoticed properties of super exogeneity in a cointegrated vector autoregression
• CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA
• GARCH density and functional forecasts
• Online Statistical Inference for Stochastic Optimization via Kiefer-Wolfowitz Methods
• An introduction to hypergeometric functions for economists
• Understanding price discovery in interconnected markets: generalized Langevin process approach and simulation
• Effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors

This page was built for publication: Two Mixed Normal Densities from Cointegration Analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4340693)