Semiparametric error-correction models for cointegration with trends : Pseudo-Gaussian and optimal rank-based tests of the cointegration rank
Marc Hallin, Ramon van den Akker, Bas J.M. Werker
| Year of publication: |
January 2016
|
|---|---|
| Authors: | Hallin, Marc ; Akker, Ramon van den ; Werker, Bas J. M. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 190.2016, 1, p. 46-61
|
| Subject: | Cointegration model | Cointegration rank | Elliptical densities | Error-correction model | Lagrange multiplier test | Local asymptotic Brownian functional | Local asymptotic mixed normality | Local asymptotic normality | Multivariate ranks | Quasi-likelihood procedures | Rank tests | Semiparametric efficiency | Kointegration | Cointegration | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Statistischer Test | Statistical test | Ranking-Verfahren | Ranking method |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.08.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011591614