On determination of cointegration ranks
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Publication:440037
DOI10.4310/SII.2009.V2.N1.A5zbMath1245.62103MaRDI QIDQ440037
Jiazhu Pan, Qiaoling Li, Qiwei Yao
Publication date: 18 August 2012
Published in: Statistics and Its Interface (Search for Journal in Brave)
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)
Related Items (3)
Identifying Cointegration by Eigenanalysis ⋮ Wavelet eigenvalue regression in high dimensions ⋮ Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
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