Testing multiple equation systems for common nonlinear components

DOI10.1016/S0304-4076(97)00076-6zbMath0924.62089MaRDI QIDQ1379913

Heather M. Anderson, Farshid Vahid

Publication date: 8 November 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

generalized method of momentscanonical correlationsmultiple time seriescommon nonlinear components

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Uses Software

• nlmdl

Cites Work

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