Subsampling the Johansen test with stable innovations

DOI10.1111/J.1467-842X.2009.00566.XMaRDI QIDQ2810412zbMATH OpenOpenAlexFDO

Authors Pu Chen, Chih-Ying Hsiao

Publication date 1 June 2016

Published in Australian \& New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-842x.2009.00566.x

zbMATH Keywords

cointegrationinfinite variancestable distributionthick tails

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07)

Recommendations

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Cites work

• Approximation of multidimensional stable densities
• Cointegrated processes with infinite variance innovations
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• Subsampling vector autoregressive tests of linear constraints
• Tests for cointegration with infinite variance errors

Cited in

(3)

• Cointegrated processes with infinite variance innovations
• Subsampling cointegration tests in heavy-tailed observation
• Using subspace algorithm cointegration analysis: simulation performance and application to the term structure

Describes a project that uses

Uses Software

• R

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