Low-Frequency Robust Cointegration Testing
收藏NBER2009-08-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w15292
下载链接
链接失效反馈官方服务：
资源简介：
Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data's persistence. This paper discusses efficient low-frequency inference about cointegrating vectors that is robust to
提供机构：
美国国家经济研究局
创建时间：
2009-08-01
