Fractional Cointegration Rank Estimation
Year of publication: |
2014
|
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Authors: | Lasak, Katarzyna ; Velasco, Carlos |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Error correction model | Gaussian VAR model | Likelihood ratio tests | Maximum likelihood estimation |
Series: | Tinbergen Institute Discussion Paper ; 14-021/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 778924165 [GVK] hdl:10419/98880 [Handle] RePEc:dgr:uvatin:20140021 [RePEc] |
Classification: | C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models |
Source: |
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Fractional cointegration rank estimation
Lasak, Katarzyna, (2014)
-
Fractional cointegration rank estimation
Lasak, Katarzyna, (2013)
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Fractional Cointegration Rank Estimation
Lasak, Katarzyna, (2014)
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Fractional cointegration rank estimation
Lasak, Katarzyna, (2013)
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Fractional cointegration rank estimation
Lasak, Katarzyna, (2014)
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Fractional Cointegration Rank Estimation
Lasak, Katarzyna, (2014)
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