Semiparametric independence tests between two infinite-order cointegrated series
Year of publication: |
2023
|
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Authors: | Bouhaddioui, Chafik ; Dufour, Jean-Marie ; Takano, Masaya |
Published in: |
Essays in honor of Joon Y. Park : econometric theory. - Bingley, U.K. : Emerald Publishing Limited, ISBN 978-1-83753-210-0. - 2023, p. 263-294
|
Subject: | Infinite-order cointegrated vector autoregressive process | independence | causality | residual cross-correlation | consistency | asymptotic power | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | Schätztheorie | Estimation theory | VAR-Modell | VAR model | Nichtparametrisches Verfahren | Nonparametric statistics |
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