Testing for no cointegration in vector autoregressions with estimated degree of fractional integration
Year of publication: |
2022
|
---|---|
Authors: | Demetrescu, Matei ; Kusin, Vladimir ; Salish, Nazarii |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 108.2022, p. 1-32
|
Subject: | Fractional VAR model | Long autoregression | Nonparametric estimator | Persistence | Simultaneity | Strong and weak cointegration | Weak exogeneity | Schätztheorie | Estimation theory | Kointegration | Cointegration | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation |
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