Determination of the number of common stochastic trends under conditional heteroskedasticity
Year of publication: |
2010
|
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Authors: | Cavaliere, Giuseppe ; Rahbek, Anders ; Taylor, Robert |
Published in: |
Estudios de economía aplicada : revista promovida por Asepelt, Asociación de Economía Aplicada. - Madrid, ISSN 1133-3197, ZDB-ID 2508178-0. - Vol. 28.2010, 3, p. 519-551
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Subject: | Theorie | Theory | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Heteroskedastizität | Heteroscedasticity | Stochastischer Prozess | Stochastic process |
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