The effects of series on cointegration inference.
Lin, Yan-Xia, McCrae, Michael (2002)
Journal of Applied Mathematics and Decision Sciences
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Displaying similar documents to “Estimation and testing of cointegration relationships with strongly seasonal monthly data”
The effects of series on cointegration inference.
On Bartlett's test for correlation between time series
Jiří Anděl, Jaromír Antoch (1998)
Kybernetika
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An explicit formula for the correlation coefficient in a two-dimensional AR(1) process is derived. Approximate critical values for the correlation coefficient between two one-dimensional AR(1) processes are tabulated. They are based on Bartlett’s approximation and on an asymptotic distribution derived by McGregor. The results are compared with critical values obtained from a simulation study.
Asymptotic separation in bilinear models.
Gonçalves, E., Martins, C.M., Mendes-Lopes, N. (2000)
Portugaliae Mathematica
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On residual analysis for time series models
Jiří Anděl (1997)
Kybernetika
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A case study of the residual-based cointegration procedure.
Biondini, Riccardo, Lin, Yan-Xia, McCrae, Michael (2003)
Journal of Applied Mathematics and Decision Sciences
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