A Wald test for the cointegration rank in nonstationary fractional systems
نویسندگان
چکیده
منابع مشابه
A New Nonparametric Test of Cointegration Rank
This paper suggests a new nonparametric testing procedure for determining the rank of nonstationary multivariate cointegrated systems. The asymptotic properties of the procedure are determined and a Monte Carlo study is carried out.
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2009
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2009.03.007