Cointegration analysis using \(M\) estimators.

DOI10.1016/S0165-1765(01)00381-0zbMath1079.65502OpenAlexW2075159887MaRDI QIDQ5941012

Ted Juhl

Publication date: 20 August 2001

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(01)00381-0

zbMATH Keywords

CointegrationRobust inference

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Related Items (1)

Robust inference in nonstationary time series models

Cites Work

• Unnamed Item
• Statistical analysis of cointegration vectors
• Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

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