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Tests for cointegration with infinite variance errors

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Author Info
Caner, Mehmet

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 86 (1998)
Issue (Month): 1 (June)
Pages: 155-175
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Handle: RePEc:eee:econom:v:86:y:1998:i:1:p:155-175

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Web page: http://www.elsevier.com/locate/jeconom

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  1. Boswijk, H. Peter & Lucas, Andr‚ & Taylor, Nick, 1998. "A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests," Serie Research Memoranda 0062, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
  2. Barry Falk & Chun-Hsuan Wang, 2003. "Testing long-run PPP with infinite-variance returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 471-484. [Downloadable!]
    Other versions:
  3. H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute. [Downloadable!]
  4. Jonathan B. Hill, 2005. "On Tail Index Estimation for Dependent, Heterogenous Data," Econometrics 0505005, EconWPA, revised 27 May 2005. [Downloadable!]
  5. Jonathan B. Hill, 2005. "On Tail Index Estimation Using Dependent,Heterogenous Data," Working Papers 0512, Florida International University, Department of Economics. [Downloadable!]
  6. Kirstin Hubrich & Helmut Lütkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor and Francis Journals, vol. 20(3), pages 247-318. [Downloadable!] (restricted)
    Other versions:
  7. Jonathan B. Hill, 2005. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Strochastic Processes with an Application," Working Papers 0513, Florida International University, Department of Economics. [Downloadable!]
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