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~institution:"Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)"
~institution:"Statistisk Sentralbyrå, Government of Norway"
~person:"Dufour, Jean-Marie"
~source:"repec"
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Infinite-order cointegrated vector autoregressive process
1
Markov process
1
Ogawara-Hannan
1
Séries chronologiques
1
Time series
1
asymptotic power
1
autocorrelation
1
autocorrélation
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autoregressive process
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autorégression bilatérale
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causality
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consistency
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distributed-lag model
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dynamic model
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exact test
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finite-sample test
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independence
1
indépendance intercalaire
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intercalary independence
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investissement
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investment
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modèle dynamique
1
modèle à retards échelonnés
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processus autorégressif
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processus de Markov
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residual cross-correlation
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test exact
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two-sided autoregression
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French
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Dufour, Jean-Marie
Dagsvik, John K.
5
Bouhaddioui, Chafik
3
Roy, Roch
2
Bouezmarni, Taoufik
1
Rombouts, Jeroen
1
Taamouti, Abderrahim
1
Torrès, Olivier
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Institution
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
Statistisk Sentralbyrå, Government of Norway
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CIRANO Working Papers
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RePEc
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Semiparametric Innovation-Based Tests of Orthogonality and Causality Between Two Infinite-Order Cointegrated Ceries with Application to Canada/US Monetary Interactions
Bouhaddioui, Chafik
;
Dufour, Jean-Marie
-
Centre Interuniversitaire de Recherche en Analyse des …
-
2011
Haugh (1976, JASA) and Hong (1996, Biometrika) for testing
independence
between stationary univariate time series. The tests …
Persistent link: https://www.econbiz.de/10008855594
Saved in:
2
Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes
Dufour, Jean-Marie
;
Torrès, Olivier
-
Centre Interuniversitaire de Recherche en Analyse des …
-
2000
processes (intercalary
independence
and truncation) only require the existence of conditional densities. They are proved for …
Persistent link: https://www.econbiz.de/10005100872
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