Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process
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Publication:2744944
DOI10.1111/1467-9892.00192zbMath0974.62076OpenAlexW2107492725MaRDI QIDQ2744944
Pentti Saikkonen, Helmut Lütkepohl
Publication date: 9 October 2001
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.00192
Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)
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