A simple test for the equality of integration orders
نویسندگان
چکیده
منابع مشابه
Testing for the Equality of Integration Orders of Multiple Series
Testing for the equality of integration orders is an important topic in time series analysis because it constitutes an essential step in testing for (fractional) cointegration in the bivariate case. For the multivariate case, there are several versions of cointegration, and the version given in Robinson and Yajima (2002) has received much attention. In this definition, a time series vector is p...
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ژورنال
عنوان ژورنال: Economics Letters
سال: 2013
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2013.03.003