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Search: subject:"Modified rescaled range test"
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Augmented Dickey- Fuller test
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Fractional cointegration
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Geweke-Porter-Hudak test
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Modified rescaled range test
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Monte Carlo experiment
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Phillips-Perron test
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Dittmann, Ingolf
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Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
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Technical Report
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Technical Reports / Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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Residual-based tests for fractional cointegration : a Monte Carlo study
Dittmann, Ingolf
-
1998
-Porter-Hudak tests and the Augmented Dickey-Fuller test. Only the
Modified
Rescaled
Range
test
is more powerful than the Phillips …
Persistent link: https://www.econbiz.de/10010467702
Saved in:
2
Residual-based tests for fractional cointegration: A Monte Carlo study
Dittmann, Ingolf
-
1998
-Porter-Hudak tests and the Augmented Dickey-Fuller test. Only the
Modified
Rescaled
Range
test
is more powerful than the Phillips …
Persistent link: https://www.econbiz.de/10010316707
Saved in:
3
Residual-based tests for fractional cointegration: A Monte Carlo study
Dittmann, Ingolf
-
Institut für Wirtschafts- und Sozialstatistik, …
-
1998
-Porter-Hudak tests and the Augmented Dickey-Fuller test. Only the
Modified
Rescaled
Range
test
is more powerful than the Phillips …
Persistent link: https://www.econbiz.de/10010955519
Saved in:
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