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Inference On The Cointegration Rank in Fractionally Integrated Processes by rakotoarimanana is a document available to read on EtoBox.
This paper introduces a new variant of score tests for determining the cointegration rank in fractionally integrated time series, demonstrating its advantages in size and power compared to existing methods. The proposed test is a modification of the Dickey-Fuller test and extends to multivariate cointegration tests, allowing for the analysis of systems with fractional integration. Monte Carlo simulations validate the test
- Author
- rakotoarimanana
- Language
- EN