A new nonparametric test of cointegration rank
Year of publication: |
2003
|
---|---|
Authors: | Kapetanios, George |
Publisher: |
London : Queen Mary University of London, Department of Economics |
Subject: | Kointegration | Nichtparametrisches Verfahren | Ranking-Verfahren | Cointegration rank, Nonparametric analysis |
Series: | Working Paper ; 482 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 37702340X [GVK] hdl:10419/62825 [Handle] |
Classification: | C32 - Time-Series Models ; C14 - Semiparametric and Nonparametric Methods |
Source: |
-
A note on joint estimation of common cycles and common trends in nonstationary multivariate systems
Kapetanios, George, (2003)
-
Cointegrating Rank Selection in Models with Time-Varying Variance
Cheng, Xu, (2009)
-
Semiparametric Cointegrating Rank Selection
Cheng, Xu, (2008)
- More ...
-
Kapetanios, George, (2014)
-
Adaptive forecasting in the presence of recent and ongoing structural change
Giraitis, Liudas, (2012)
-
Testing the rank of the Hankel matrix: a statistical approach
Camba-Méndez, Gonzalo, (2001)
- More ...