Testing collinearity of vector time series

DOI10.1093/ectj/uty002OpenAlexW2914708379MaRDI QIDQ5084332

Agnieszka Jach, Tucker S. McElroy

Publication date: 24 June 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/ectj/uty002

zbMATH Keywords

Schur complementsubsamplingfixed-\(b\) asymptoticsseasonal co-integrationspectral density ranktrend co-integration

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density

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