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  • Search: subject:"arcsine distribution"
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Subject
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arcsine distribution 2 nonlinear cointegration 2 rank test 2 unit roots 2
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Free 2
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Book / Working Paper 2
Type of publication (narrower categories)
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Working Paper 1
Language
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English 1 Undetermined 1
Author
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Breitung, Jörg 2
Institution
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1
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SFB 373 Discussion Paper 1 SFB 373 Discussion Papers 1
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EconStor 1 RePEc 1
Showing 1 - 2 of 2
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Rank tests for nonlinear cointegration
Breitung, Jörg - 1998
A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is assumed that there exist monotonic transformations such that the normalised series can asymptotically be represented by independent Brownian motions. Rank test procedures based...
Persistent link: https://www.econbiz.de/10010309879
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Cover Image
Rank tests for nonlinear cointegration
Breitung, Jörg - Sonderforschungsbereich 373, Quantifikation und … - 1998
A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is assumed that there exist monotonic transformations such that the normalised series can asymptotically be represented by independent Brownian motions. Rank test procedures based...
Persistent link: https://www.econbiz.de/10010983649
Saved in:
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