Recursive adjustment for general deterministic components and improved cointegration rank tests

DOI10.1515/jtse-2013-0005zbMath1499.62299OpenAlexW1979194599MaRDI QIDQ1695667

Benjamin Born, Matei Demetrescu

Publication date: 7 February 2018

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

Full work available at URL: https://www.degruyter.com/view/j/jtse.2015.7.issue-2/jtse-2013-0005/jtse-2013-0005.xml?format=INT

zbMATH Keywords

vector autoregressive processadaptive detrendinglong-run relationLR-type test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

The power of unit root tests against nonlinear local alternatives

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