A test of serial independence of deviations from cointegrating relations

DOI10.1016/J.ECONLET.2006.01.013zbMath1255.62236OpenAlexW2080125783MaRDI QIDQ1929378

Hiroaki Chigira

Publication date: 8 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.01.013

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)

Cites Work

• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

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