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Point Optimal Test for Cointegration with Unknown Variance-Covariance Matrix

Author

Listed:
  • Kurozumi, Eiji
  • 黒住, 英司
  • Arai, Yoichi
  • 荒井, 洋一

Abstract

No abstract is available for this item.

Suggested Citation

  • Kurozumi, Eiji & 黒住, 英司 & Arai, Yoichi & 荒井, 洋一, 2005. "Point Optimal Test for Cointegration with Unknown Variance-Covariance Matrix," Discussion Papers 2005-08, Graduate School of Economics, Hitotsubashi University.
  • Handle: RePEc:hit:econdp:2005-08
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    File URL: https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/16930/070econDP05-08.pdf
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    Citations

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    Cited by:

    1. Maxwell L. King & Sivagowry Sriananthakumar, 2015. "Point Optimal Testing: A Survey of the Post 1987 Literature," Monash Econometrics and Business Statistics Working Papers 5/15, Monash University, Department of Econometrics and Business Statistics.

    More about this item

    Keywords

    Cointegration; point optimal test; locally best test; invariance; power envelope;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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