Multivariate Lagrange Multiplier Tests for Fractional Integration
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- Morten Ørregaard Nielsen, 2005. "Multivariate Lagrange Multiplier Tests for Fractional Integration," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(3), pages 372-398.
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More about this item
KeywordsAsymptotic Local Power; Efficient Test; Fractional Integration; Lagrange Multiplier Test; Multivariate Fractional Unit Root; Nonstationarity;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-03-28 (All new papers)
- NEP-ECM-2004-03-28 (Econometrics)
- NEP-ETS-2004-03-28 (Econometric Time Series)
- NEP-RMG-2004-03-28 (Risk Management)
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