Subsampling cointegration tests in heavy-tailed observation

DOI10.13338/J.ISSN.1006-8341.2015.03.010MaRDI QIDQ2993935zbMATH OpenFDO

Authors Wei-Qi Liu, Liya Duan, Ruibing Qin

Publication date 10 August 2016

Full work available at URL https://doi.org/10.13338/J.ISSN.1006-8341.2015.03.010

zbMATH Keywords

cointegration testsheavy-tailed observationssubsampling algorithm

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Bootstrap, jackknife and other resampling methods (62F40)

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