Data dependent rules for selection of the number of leads and lags in the dynamic OLS cointegrating regression
Year of publication: |
2008
|
---|---|
Authors: | Kejriwal, Mohitosh ; Perron, Pierre |
Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 24.2008, 5, p. 1425-1441
|
Subject: | Kleinste-Quadrate-Methode | Least squares method | Kointegration | Cointegration | Regressionsanalyse | Regression analysis |
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