APPROXIMATION OF THE ASYMPTOTIC DISTRIBUTION OF THE LOG LIKELIHOOD RATIO TEST FOR COINTEGRATION

DOI10.1017/S0266466699156019zbMath0963.62018MaRDI QIDQ4512671

Rolf Larsson

Publication date: 5 November 2000

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

zbMATH Keywords

series expansions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (2)

Panel cointegration testing in the presence of a time trend ⋮ A REVIEW OF SYSTEMS COINTEGRATION TESTS

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