Correction to: Residual-based cointegration and non-cointegration tests for cointegrating polynomial regressions
نویسندگان
چکیده
منابع مشابه
Combining Non-Cointegration Tests∗
The local asymptotic power of many popular non-cointegration tests has recently been shown to depend on a certain nuisance parameter. Depending on the value of that parameter, different tests perform best. This paper suggests combination procedures with the aim of providing meta tests that maintain high power across the range of the nuisance parameter. The local asymptotic power of the new meta...
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1 The Background Elementary courses in statistics introduce at an early stage the key assumption of “random sampling”. In more technical language, the data set is assumed to be identically and independently distributed (i.i.d.). In this framework a range of simple and elegant results can be derived, for example, that the variance of the mean of n observations is 1/n times the variance of the ob...
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ژورنال
عنوان ژورنال: Empirical Economics
سال: 2023
ISSN: ['1435-8921', '0377-7332']
DOI: https://doi.org/10.1007/s00181-022-02343-0