Finite sample performance of the model selection approach in co-integration analysis
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Publication:3636775
DOI10.1080/00949650701766962zbMath1169.62079OpenAlexW2014594672WikidataQ59362826 ScholiaQ59362826MaRDI QIDQ3636775
Publication date: 29 June 2009
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949650701766962
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Monte Carlo methods (65C05)
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Discrepancy in regression estimates between log-normal and gamma: some case studies ⋮ Finite Sample Performances of the Model Selection Approach in Nonparametric Model Specification for Time Series
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