IV‐BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME‐VARYING VARIANCE
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Publication:5176846
DOI10.1111/jtsa.12071zbMath1311.62131OpenAlexW2252620376MaRDI QIDQ5176846
Matei Demetrescu, Adina I. Tarcolea, Christoph Hanck
Publication date: 4 March 2015
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/62072
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
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