Testing For Common Roots

DOI10.2307/1912578zbMath0669.62099OpenAlexW1983696975MaRDI QIDQ3823048

Eric Renault, Christian Gouriéroux, Alain Monfort

Publication date: 1989

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912578

zbMATH Keywords

polynomialscommon factorssequential approachbilinear constraintsgeneralized Wald testmixed formautoregressive error specificationdynamic linear equationgeneralized Bezout propertylag operatorssequence of teststesting common roots hypotheses

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Related Items (4)

Hypothesis testing of common roots ⋮ Factor representing portfolios in large asset markets ⋮ Optimal asymptotic least squares estimation in a singular set-up ⋮ Encompassing univariate models in multivariate time series. A case study

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