SUBSAMPLING THE JOHANSEN TEST WITH STABLE INNOVATIONS

DOI10.1111/J.1467-842X.2009.00566.XzbMath1337.62212OpenAlexW2040118080MaRDI QIDQ2810412

Pu Chen, Chih-Ying Hsiao

Publication date: 1 June 2016

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-842x.2009.00566.x

zbMATH Keywords

cointegrationinfinite variancestable distributionthick tails

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07)

Uses Software

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Cites Work

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• Subsampling vector autoregressive tests of linear constraints
• Approximation of multidimensional stable densities
• Cointegrated processes with infinite variance innovations
• Tests for cointegration with infinite variance errors
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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