Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods

DOI10.1080/07474939808800411zbMath0908.62089OpenAlexW1978875010MaRDI QIDQ3842862

André Lucas

Publication date: 15 March 1999

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939808800411

zbMATH Keywords

likelihood ratio testcointegrationGARCHpseudo-likelihoodLagrange multiplier testfat tailsoutlier robustness

Mathematics Subject Classification ID

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

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