Cotrending: testing for common deterministic trends in varying means model

DOI10.1016/j.jmva.2021.104825zbMath1480.62107OpenAlexW3198398156MaRDI QIDQ2057835

Marie-Christine Düker, Vladas Pipiras, Raanju R. Sundararajan

Publication date: 7 December 2021

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2021.104825

zbMATH Keywords

asymptotic normalityprincipal component analysistestingcointegrationcotrending dimension and spacematrix rank and nullityvarying means

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Uses Software

• fda (R)

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