Multivariate Lagrange Multiplier Tests for Fractional Integration
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- Nielsen, Morten Oe., "undated". "Multivariate Lagrange Multiplier Tests for Fractional Integration," Economics Working Papers 2002-18, Department of Economics and Business Economics, Aarhus University.
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More about this item
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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