Testing collinearity of vector time series
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- Tucker S. McElroy & Anindya Roy, 2022. "Model identification via total Frobenius norm of multivariate spectra," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(2), pages 473-495, April.
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Keywords
Trend co-integration; seasonal co-integration; Schur complement; spectral density rank; fixed-b asymptotics; subsampling;All these keywords.
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