MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART II

DOI10.1017/S0266466699154021zbMATH Open0985.62069MaRDI QIDQ4512736FDOQ4512736

Stéphane Gregoir

Publication date: 23 May 2002

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

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zbMATH Keywords

multivariate time seriesspecification testasymptotic behaviortrendsprincipal components estimatortest of model specification

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)

Cited In (4)

• Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
• Polynomial cointegration. Estimation and test
• On cointegration for processes integrated at different frequencies
• MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART I

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