Zero-non-zero patterned vector error correction modelling for I(2) cointegrated time series with applications in testing PPP and stock market relationships
T. J. Brailsford, J. H. W. Penm and R. D. Terrell
| Year of publication: |
2005
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|---|---|
| Authors: | Brailsford, Timothy J. ; Penm, Jack H. W. ; Terrell, R. D. |
| Published in: |
Research in finance. - Bingley [u.a.] : Emerald JAI, ISSN 0196-3821, ZDB-ID 447662-1. - Vol. 22.2005, p. 305-326
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| Subject: | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis | Kaufkraftparität | Purchasing power parity | Theorie | Theory | Schätzung | Estimation | VAR-Modell | VAR model | Wechselkurs | Exchange rate | Einheitswurzeltest | Unit root test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003753387