Testing for cointegration using induced-order statistics

Alvaro Escribano, M. Santos and Ana Sipols

Computational Statistics, 2008, vol. 23, issue 1, 151 pages

Keywords: Unit root tests; Cointegration tests; Nonlinearity; Robustness; Induced order statistics; Engle and Granger test (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s00180-007-0081-9

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