A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION
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Publication:2886962
DOI10.1017/S0266466607070284zbMath1274.62612MaRDI QIDQ2886962
Publication date: 14 May 2012
Published in: Econometric Theory (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
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