Testing for co-integration in vector autoregressions with non-stationary volatility
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Publication:736551
DOI10.1016/j.jeconom.2010.03.003zbMath1431.62358OpenAlexW3123963018MaRDI QIDQ736551
A. M. Robert Taylor, Giuseppe Cavaliere, Anders Rahbek
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.econ.ku.dk/english/research/publications/wp/2008/0834.pdf
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09) Non-Markovian processes: hypothesis testing (62M07)
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