SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Tests for cointegration with infinite variance errors · Study

ArticleShelves

ArticleTests for cointegration with infinite variance errors

Mehmet Caner1998

OA

Articlebronze1998

Tests for cointegration with infinite variance errors

37 citations·0/0 files stored·Journal of Econometrics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 37 citations exist upstream.

References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Testing for a Unit Root in Time Series Regression 1988Statistical analysis of cointegration vectors 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1965The Behavior of Stock-Market Prices 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes 1963The Variation of Certain Speculative Prices

Cited by

2010TIME-VARYING COINTEGRATION 2011A study of cointegration models with applications 1998A Review of systemscointegration tests 2017Empirical conditional quantile test for purchasing power parity: Evidence from East Asian countries 2018UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS 2009

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

1996Time-Series-Based Econometricsbook · 11 shared references 1993Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Databook · 10 shared references 1993Testing for a Unit Rootchapter · 10 shared references 1994Chapter 47 Vector autoregressions and cointegrationchapter · 10 shared references 1993Conclusionchapter · 10 shared references 1993Co‐Integrationchapter · 10 shared references

Details

Year1998

Typearticle

Published1998-09-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations37

Files0 public / 0

ShelfMonetary Policy and Economic Impact

Identifiers

doi10.1016/s0304-4076(97)00112-7

openalex_workW2141540735

Links

Imported from OpenAlex (CC0) — nothing here is generated.

A Note on Unit Root Tests with Infinite Variance Noise

2012Moment condition tests for heavy tailed time series

1998Cointegrated processes with infinite variance innovations