Numerical distribution functions of fractional unit root and cointegration tests
Year of publication: |
2014
|
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Authors: | MacKinnon, James G. ; Nielsen, Morten Ørregaard |
Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 29.2014, 1, p. 161-171
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Subject: | Cofractional process | fractional unit root | fractional cointegration | response surface regression | cointegration rank | numerical distribution function | model averaging | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | USA | United States | Schätzung | Estimation | Theorie | Theory | Einheitswurzeltest | Unit root test | Kointegration | Cointegration |
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