MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART II

DOI10.1017/S0266466699154021zbMath0985.62069MaRDI QIDQ4512736

Stéphane Gregoir

Publication date: 23 May 2002

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

zbMATH Keywords

asymptotic behaviortrendsmultivariate time seriesspecification testprincipal components estimatortest of model specification

Mathematics Subject Classification ID

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

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Efficient tests for the presence of a pair of complex conjugate unit roots in real time series ⋮ On cointegration for processes integrated at different frequencies

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