A modified Breitung variance ratio test for the number of common trends in cointegrated nonlinear CKSVAR models, supported by a new LLN result for stable nonstationary autoregressive processes via dual linear process approximation.
(1991): Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models, Econometrica, 1551--1580
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
econ.EM 1years
2025 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Inference on Common Trends in a Cointegrated Nonlinear SVAR
A modified Breitung variance ratio test for the number of common trends in cointegrated nonlinear CKSVAR models, supported by a new LLN result for stable nonstationary autoregressive processes via dual linear process approximation.