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Two Mixed Normal Densities from Cointegration Analysis

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  • Karim M. Abadir
  • Paolo Paruolo

Abstract

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Suggested Citation

  • Karim M. Abadir & Paolo Paruolo, 1997. "Two Mixed Normal Densities from Cointegration Analysis," Econometrica, Econometric Society, vol. 65(3), pages 671-680, May.
    • Handle: RePEc:ecm:emetrp:v:65:y:1997:i:3:p:671-680
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    Cited by:

    1. Cubadda, Gianluca & Omtzigt, Pieter, 2005. "Small-sample improvements in the statistical analysis of seasonally cointegrated systems," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 333-348, April.
    2. Karim Abadir, 1999. "An introduction to hypergeometric functions for economists," Econometric Reviews, Taylor & Francis Journals, vol. 18(3), pages 287-330.
    3. Nicholas M. Kiefer & Timothy J. Vogelsang, 2002. "Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation," Econometrica, Econometric Society, vol. 70(5), pages 2093-2095, September.
    4. Abadir, Karim M. & Luati, Alessandra & Paruolo, Paolo, 2023. "GARCH density and functional forecasts," Journal of Econometrics, Elsevier, vol. 235(2), pages 470-483.
    5. Timothy J. Vogelsang, 2003. "Testing In Gmm Models Without Truncation," Advances in Econometrics, in: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later, pages 199-233, Emerald Group Publishing Limited.
    6. Thiago Revil T. Ferreira, 2018. "Stock Market Cross-Sectional Skewness and Business Cycle Fluctuations," International Finance Discussion Papers 1223, Board of Governors of the Federal Reserve System (U.S.).
    7. Thiago Revil T. Ferreira, 2022. "Cross-Sectional Financial Conditions, Business Cycles and The Lending Channel," International Finance Discussion Papers 1335, Board of Governors of the Federal Reserve System (U.S.).
    8. Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2022. "Fast Inference for Quantile Regression with Tens of Millions of Observations," Papers 2209.14502, arXiv.org, revised Oct 2023.

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