Johansen test with Fourier-type smooth nonlinear trends in cointegrating relations
Takamitsu Kurita, Mototsugu Shintani
| Year of publication: |
June 2023
|
|---|---|
| Authors: | Kurita, Takamitsu ; Shintani, Mototsugu |
| Publisher: |
[Tokyo] : [CIRJE, Faculty of Economics, University of Tokyo] |
| Subject: | Vector autoregressive systems | Smooth nonlinear deterministic trends | Trigonometric functions | Cointegrating rank | Log-likelihood ratio test statistics | Monte Carlo experiments | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Monte-Carlo-Simulation | Monte Carlo simulation | Nichtlineare Regression | Nonlinear regression | VAR-Modell | VAR model | Einheitswurzeltest | Unit root test | Statistischer Test | Statistical test |
freely available
| Extent: | 1 Online-Ressource (circa 42 Seiten) Illustrationen |
|---|---|
| Series: | CIRJE discussion papers / F series. - Tokyo : [Verlag nicht ermittelbar], ZDB-ID 2841317-9. |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014383879