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Keyword: rank testing;
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We develop a sequence of tests for specifying the cointegrating rank of, possibly fractional, multiple time series. Memory parameters of observables are treated as unknown, as are those of possible cointegrating errors. ...Read more...
Bas Donkers and Marcia M Schafgans
We propose an easy to use derivative based two-step estimation procedure for semi-parametric index models. In the first step various functionals involving the derivatives of the unknown function are estimated using nonpa...Read more...