Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
Year of publication: |
1998
|
---|---|
Authors: | Lucas, Andre |
Published in: |
Econometric Reviews. - Taylor & Francis Journals, ISSN 0747-4938. - Vol. 17.1998, 2, p. 185-214
|
Publisher: |
Taylor & Francis Journals |
Subject: | cointegration | Lagrange multiplier test | likelihood | ratio test | outlier robustness | fat tails | GARCH | pseudo-likelihood |
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