Cointegrating rank selection in models with time-varying variance
Year of publication: |
2012
|
---|---|
Authors: | Cheng, Xu ; Phillips, Peter C. B. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 169.2012, 2, p. 155-165
|
Subject: | Theorie | Theory | Kointegration | Cointegration | Ranking-Verfahren | Ranking method | Kleinste-Quadrate-Methode | Least squares method | Nichtparametrisches Verfahren | Nonparametric statistics | Martingal | Martingale |
-
Cointegrating rank selection in models with time-varying variance
Cheng, Xu, (2009)
-
Cointegrating Rank Selection in Models with Time-Varying Variance
Cheng, Xu, (2009)
-
Simple, robust, and accurate F and t tests in cointegrated systems
Hwang, Jungbin, (2016)
- More ...
-
Semiparametric cointegrating rank selection
Cheng, Xu, (2008)
-
Cointegrating rank selection in models with time-varying variance
Cheng, Xu, (2009)
-
Semiparametric cointegrating rank selection
Cheng, Xu, (2009)
- More ...