Multivariate trend function testing with mixed stationary and integrated disturbances
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Publication:272058
DOI10.1016/j.jmva.2015.12.011zbMath1397.62578OpenAlexW3122046343MaRDI QIDQ272058
Publication date: 20 April 2016
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2015.12.011
efficient estimationmultivariate time seriesdeterministic trendsfixed-\(b\) asymptoticsHAC standard errornearly integrated processesseemingly unrelated regression (SUR)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
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