Ørregaard Nielsen, Morten (contributor) - 2002 - [Elektronische Ressource]
Multivariate Lagrange Multiplier Tests
for Fractional Integration
Morten Ørregaard Nielsen
Working Paper No. 2002 … - TELEFAX +45 86 13 63 34
Multivariate Lagrange Multiplier Tests for Fractional
Integration
Morten Ørregaard Nielsen …
∗
University of Aarhus
November 22, 2002
Abstract
We introduce a multivariate Lagrange Multiplier (LM) test for fractional …