Portmanteau-type tests for unit-root and cointegration

DOI10.1016/j.jeconom.2018.08.004zbMath1452.62611OpenAlexW2891869992WikidataQ129287245 ScholiaQ129287245MaRDI QIDQ1739591

Ngai Hang Chan, Rong Mao Zhang

Publication date: 26 April 2019

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.08.004

zbMATH Keywords

cointegrationautoregressive processesportmanteau testsample covarianceunit-root

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 (2)

Cointegration Rank Estimation for High-Dimensional Time Series With Breaks ⋮ Portmanteau-type test for unit root with heavy-tailed noise

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