Model selection criteria for the leads-and-lags cointegrating regression
From MaRDI portal
Publication:527997
DOI10.1016/j.jeconom.2012.01.021zbMath1443.62248MaRDI QIDQ527997
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://gcoe.ier.hit-u.ac.jp/research/discussion/2008/pdf/gd08-006.pdf
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)