In this paper, the authors provide some asymptotic results for the J-type test on non-nested hypotheses proposed by Davidson and MacKinnon (1981), in the context of I(1) time series.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Publisher Info
Paper provided by Pennsylvania State - Department of Economics in its series Papers with number
9-97-3.
Length: 51 pages Date of creation: 1997 Date of revision: Handle: RePEc:fth:pensta:9-97-3
Contact details of provider: Postal: PENNSYLVANIA STATE UNIVERSITY, DEPARTMENT OF ECONOMICS, UNIVERSITY PARK PENNSYLVANIA 16802 U.S.A. Phone: (814)865-1456 Fax: (814)863-4775 Web page: http://econ.la.psu.edu/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Thomas Krichel).
Find related papers by JEL classification: C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications