SIMPLE, ROBUST, AND ACCURATEFANDtTESTS IN COINTEGRATED SYSTEMS
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Publication:4585026
DOI10.1017/S026646661700038XzbMath1400.62180MaRDI QIDQ4585026
Publication date: 6 September 2018
Published in: Econometric Theory (Search for Journal in Brave)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35)
Related Items (5)
Asymptotic F test in regressions with observations collected at high frequency over long span ⋮ Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence ⋮ High-dimensional IV cointegration estimation and inference ⋮ Weak \(\sigma\)-convergence: theory and applications ⋮ NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
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