Semiparametric independence tests between two infinite-order cointegrated series
Chafik Bouhaddioui, Jean-Marie Dufour and Masaya Takano
| Year of publication: |
2023
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|---|---|
| Authors: | Bouhaddioui, Chafik ; Dufour, Jean-Marie ; Takano, Masaya |
| Published in: |
Essays in honor of Joon Y. Park : econometric theory. - Bingley, U.K. : Emerald Publishing Limited, ISBN 978-1-83753-210-0. - 2023, p. 263-294
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| Subject: | Infinite-order cointegrated vector autoregressive process | independence | causality | residual cross-correlation | consistency | asymptotic power | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Kointegration | Cointegration | Kausalanalyse | Causality analysis | Nichtparametrisches Verfahren | Nonparametric statistics |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1108/S0731-90532023000045A009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014313737