Portmanteau-type tests for unit-root and cointegration
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2018.08.004
Abstract: This paper proposes a new portmanteau-type statistic by combining several lags of the sample autocorrelations to test for the presence of a unit-root of an autoregressive model. The proposed method is nonparametric in nature, which… read more here.
Keywords: type tests; tests unit; cointegration; unit root ... See more keywords