Inference on the cointegration rank in fractionally integrated processes

Journal of Econometrics

Volumn 110, Issue 2, 2002, Pages 167-185

  Breitung, Jörg ^a   Hassler, Uwe ^b  

^a HUMBOLDT UNIVERSITY   (Germany)

^b FREIE UNIVERSITÄT BERLIN   (Germany)

Author keywords

Cointegrated systems; LM test; Long memory

Indexed keywords

COMPUTER SIMULATION; DEGREES OF FREEDOM (MECHANICS); EIGENVALUES AND EIGENFUNCTIONS; MONTE CARLO METHODS; MULTIVARIABLE SYSTEMS; NORMAL DISTRIBUTION; TIME SERIES ANALYSIS; WHITE NOISE;

CONINTEGRATED SYSTEMS; LONG MEMORY PROCESSES;

INTEGRATION;

EID: 0346349373     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(02)00091-X     Document Type: Conference Paper

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