Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates

DOI10.1016/0165-1765(83)90086-1zbMath1273.62205OpenAlexW2004154208MaRDI QIDQ374865

Richard T. Baillie

Publication date: 24 October 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(83)90086-1

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82)

Cites Work

• Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors

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