Time aggregation and skip sampling in cointegration tests.
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Publication:1815626
DOI10.1007/BF02926585zbMath1076.62568MaRDI QIDQ1815626
Publication date: 1996
Published in: Statistical Papers (Search for Journal in Brave)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (2)
Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series ⋮ Implementing Residual-Based KPSS Tests for Cointegration with Data Subject to Temporal Aggregation and Mixed Sampling Frequencies
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