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  • Search: subject:"Infinite-order cointegrated vector autoregressive process"
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Year of publication
Subject
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Infinite-order cointegrated vector autoregressive process 2 asymptotic power 2 causality 2 consistency 2 independence 2 residual cross-correlation 2 Causality analysis 1 Cointegration 1 Estimation theory 1 Kausalanalyse 1 Kointegration 1 Nichtparametrisches Verfahren 1 Nonparametric statistics 1 Schätztheorie 1 Time series analysis 1 VAR model 1 VAR-Modell 1 Zeitreihenanalyse 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Aufsatz im Buch 1 Book section 1
Language
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English 1 Undetermined 1
Author
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Bouhaddioui, Chafik 2 Dufour, Jean-Marie 2 Takano, Masaya 1
Institution
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1
Published in...
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CIRANO Working Papers 1 Essays in honor of Joon Y. Park : econometric theory 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Semiparametric independence tests between two infinite-order cointegrated series
Bouhaddioui, Chafik; Dufour, Jean-Marie; Takano, Masaya - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 263-294). 2023
Persistent link: https://www.econbiz.de/10014313737
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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
We propose a semiparametric approach for testing orthogonality and causality between two infinite-order cointegrated vector autoregressive IVAR(1) series. The procedures considered can be viewed as extensions of classical methods proposed by Haugh (1976, JASA) and Hong (1996, Biometrika) for...
Persistent link: https://www.econbiz.de/10008855594
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