Nearly efficient likelihood ratio tests of the unit root hypothesis
Year of publication: |
2012
|
---|---|
Authors: | Jansson, Michael ; Nielsen, Ørregaard |
Published in: |
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics. - [Wechselnde Erscheinungsorte] : [Wechselnde Verlage], ISSN 0012-9682, ZDB-ID 1798-X. - Vol. 80.2012, 5, p. 2321-2332
|
Subject: | Einheitswurzeltest | Unit root test | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Stochastischer Prozess | Stochastic process | Theorie | Theory |
-
Nearly efficient likelihood ratio tests of the unit root hypothesis
Jansson, Michael, (2009)
-
Tests for cointegration rank and choice of the alternative
Cavaliere, Giuseppe, (2009)
-
Nearly efficient likelihood ratio tests for seasonal unit roots
Jansson, Michael, (2011)
- More ...
-
Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach
Haldrup, Niels, (1999)
-
Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model
Boswijk, H. Peter, (2012)
-
Inference in linear regression models with many covariates and heteroskedasticity
Cattaneo, Matias D., (2017)
- More ...