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Some forecasting principles from the M4 competition

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Robust discovery of regression models

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Distribution approximations for cointegration tests with stationary exogenous regressors

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Distribution approximations for cointegration tests with stationary exogenous regressors

Boswijk, Herman Peter; Doornik, Jurgen A. - In: Journal of applied econometrics 20 (2005) 6, pp. 797-810

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Distribution approximations for cointegration tests with stationary exogenous regressors

Boswijk, Herman Peter; Doornik, Jurgen A. - 1999

The distribution of a functional of two correlated vector Brownian motions isapproximated by a Gamma distribution. This functional represents the limiting distribution for cointegration tests with stationary exogenous regressors, but also for cointegration tests based on a non-Gaussian...

Persistent link: https://www.econbiz.de/10011300548