Testing for no cointegration in vector autoregressions with estimated degree of fractional integration
Matei Demetrescu, Vladimir Kusin, Nazarii Salish
| Year of publication: |
2022
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|---|---|
| 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
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2021.105694 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013347934