DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
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Publication:3632377
DOI10.1017/S0266466608080109zbMath1280.62099OpenAlexW2218257737MaRDI QIDQ3632377
Publication date: 11 June 2009
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466608080109
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Fractional processes, including fractional Brownian motion (60G22) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)
Related Items (4)
A Wald test for the cointegration rank in nonstationary fractional systems ⋮ Residual-based test for fractional cointegration ⋮ Likelihood based testing for no fractional cointegration ⋮ A comparison of semiparametric tests for fractional cointegration
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