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~subject:"Cointegration"
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Search: subject:"Asymptotic mixed normality"
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Cointegration
Asymptotic mixed normality
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Cointegration model
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Elliptical densities
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Estimation theory
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Lagrange multiplier test
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Akker, Ramon van den
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Hallin, Marc
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Werker, Bas J. M.
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Optimal pseudo-Gaussian and rank-based tests of the cointegration rank in semiparametric error-correction models
Hallin, Marc
;
Akker, Ramon van den
;
Werker, Bas J. M.
-
2015
Persistent link: https://www.econbiz.de/10011348908
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2
Semiparametric error-correction models for cointegration with trends : Pseudo-Gaussian and optimal rank-based tests of the cointegration rank
Hallin, Marc
;
Akker, Ramon van den
;
Werker, Bas J. M.
- In:
Journal of econometrics
190
(
2016
)
1
,
pp. 46-61
Persistent link: https://www.econbiz.de/10011591614
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