The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables (Q1341208)
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scientific article; zbMATH DE number 706587
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables |
scientific article; zbMATH DE number 706587 |
Statements
The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables (English)
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14 June 1995
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asymptotic theory
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Brownian motion
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cointegration
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double unit root
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least squares regression
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single-equation regression models
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I(1) and I(2) variables
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deterministic components
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Gaussian inference
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residual- based Dickey-Fuller class of tests
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noncointegration
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money demand
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