Inference for the VEC(1) model with a heavy-tailed linear process errors
Year of publication: |
2023
|
---|---|
Authors: | Guo, Feifei ; Ling, Shiqing |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 42.2023, 9/10, p. 806-833
|
Subject: | Cointegration | heavy-tailed random vector | shrinkage estimation | Kointegration | Induktive Statistik | Statistical inference | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution |
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