Testing the Cointegration Rank in the Presence of Trend Breaks
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関連論文
- Box-Cox 変換を伴う多変量時系列モデルの統計的推測と経済データへの応用
- Conditional Asymptotic Theory for Near-Integrated Time Series
- Testing the Cointegration Rank in the Presence of Trend Breaks
- Fractional Invariance Principle and Fractional Cointegration Asymptotics
- An Asymptotic Theory for Inference on General Unit-Root Cointegration
- 書評 Asymptotic Theory of Statistical Inference for Time Series (Springer Series in statistics), (2000) Springer, Masanobu Taniguchi and Yoshihide Kakizawa