Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
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Publication:3838304
DOI10.1111/1467-9892.00091zbMath0906.62081OpenAlexW1994045802MaRDI QIDQ3838304
Juan J. Dolado, Ricardo Mestre, Anindya Banerjee
Publication date: 9 August 1998
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/3275
limit distributionscointegration testspower propertieserror-correction modelscommon-factor restrictions
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
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