Now showing items 1-2 of 2

    • Tests for cointegration with infinite variance errors 

      Caner, M. (Elsevier BV, 1998)
      This paper develops the asymptotic theory for residual-based tests and quasi-likelihood ratio tests for cointegration under the assumption of infinite variance errors. This article extends the results of Phillips and ...
    • Wavelet energy ratio unit root tests 

      Trokić, M. (Taylor and Francis Inc., 2016)
      This article uses wavelet theory to propose a frequency domain nonparametric and tuning parameter-free family of unit root tests. The proposed test exploits the wavelet power spectrum of the observed series and its fractional ...