Weighted symmetric tests for cointegration based on residual

DOI10.1080/03610929908832290zbMATH Open0949.62081OpenAlexW2021699052MaRDI QIDQ4237855

Dong Wan Shin

Publication date: 8 November 2000

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929908832290

zbMATH Keywords

cointegrationunit rootcointegrating regressionweighted symmetric estimator

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

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A weighted symmetric cointegration test

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