Testing For Common Roots

DOI10.2307/1912578MaRDI QIDQ3823048zbMATH OpenOpenAlexFDO

Authors Christian Gouriéroux, Eric Renault, Alain Monfort

Publication date 1989

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1912578

zbMATH Keywords

polynomialscommon factorssequential approachbilinear constraintsgeneralized Wald testmixed formautoregressive error specificationdynamic linear equationgeneralized Bezout propertylag operatorssequence of teststesting common roots hypotheses

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• Hypothesis testing of common roots
• An Existence Test for Root Clusters and Multiple Roots
• Testing for Common Trends
• scientific article; zbMATH DE number 1185318
• The Relation Between the Root and Ratio Tests
• Simultaneous searching of a part of all roots
• Polynomial roots with common tails
• Unit root testing

Cited in

(5)

• Encompassing univariate models in multivariate time series. A case study
• Hypothesis testing of common roots
• Optimal asymptotic least squares estimation in a singular set-up
• Factor representing portfolios in large asset markets
• Wald tests when restrictions are locally singular

This page was built for publication: Testing For Common Roots

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3823048)