Subsampling vector autoregressive tests of linear constraints
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Publication:261882
DOI10.1016/j.jeconom.2003.12.013zbMath1337.62213OpenAlexW2087317985MaRDI QIDQ261882
F. Blanchet-Sadri, M. Dambrine
Publication date: 24 March 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2003.12.013
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sampling theory, sample surveys (62D05) Non-Markovian processes: hypothesis testing (62M07)
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TESTS FOR NONLINEAR COINTEGRATION, Subsampling \(p\)-values, SUBSAMPLING THE JOHANSEN TEST WITH STABLE INNOVATIONS, Inconsistency of bootstrap for nonstationary, vector autoregressive processes, Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification, EMPIRICAL LIKELIHOOD TEST FOR CAUSALITY OF BIVARIATE AR(1) PROCESSES
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