Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank (Q894635)
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scientific article; zbMATH DE number 6515267
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| English | Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank |
scientific article; zbMATH DE number 6515267 |
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Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank (English)
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2 December 2015
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cointegration model
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cointegration rank
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elliptical densities
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error-correction model
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Lagrange multiplier test
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local asymptotic Brownian functional
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local asymptotic mixed normality
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local asymptotic normality
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multivariate ranks
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quasi-likelihood procedures
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rank tests
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semiparametric efficiency
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0.9038563
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0.9018972
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0.8963184
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0.8930848
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0.8908335
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0.8892082
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0.88578576
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