Asymptotic Results for Cointegration Tests in Non-Stable Cases.

Asymptotic analyses of unit root tests in autoregressive time series are usually based on the assumptions that the number of unit roots is known and that the remaining characteristic roots are stable. The last assumption seems not to be necessary. This is stated more precisely for two examples.

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Year of publication:	1997
Authors:	Nielsen, B
Institutions:	Economics Group, Nuffield College, University of Oxford
Subject:	STATISTICS \| MATHEMATICS \| ECONOMETRICS

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Series:	Economics Papers.
Type of publication:	Book / Working Paper
Notes:	33 pages
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005687570