A procedure to detect hidden cointegration with the sieve bootstrap

MaRDI QIDQ4902800zbMATH OpenFDO

Authors

Publication date 18 January 2013

Full work available at URL http://www.pphmj.com/abstract/7149.htm

zbMATH Keywords

hidden cointegrationsieve bootstrap

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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