Testing collinearity of vector time series

DOI10.1093/ECTJ/UTY002MaRDI QIDQ5084332zbMATH OpenOpenAlexFDO

Authors Agnieszka Jach, Tucker S. McElroy

Publication date 24 June 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/ectj/uty002

zbMATH Keywords

fixed-\(b\) asymptoticsSchur complementseasonal co-integrationspectral density ranksubsamplingtrend co-integration

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(2)

• Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density
• Local quadratic spectral and covariance matrix estimation

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