Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles
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- Massimo Franchi & Soeren Johansen, 2017. "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," Discussion Papers 17-09, University of Copenhagen. Department of Economics.
- Massimo Franchi & Søren Johansen, 2017. "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," CREATES Research Papers 2017-17, Department of Economics and Business Economics, Aarhus University.
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- McCloskey, Adam, 2017.
"Bonferroni-based size-correction for nonstandard testing problems,"
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- Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
- Cavusoglu, Nevin & Goldberg, Michael D. & Stillwagon, Josh, 2021. "Currency returns and downside risk: Debt, volatility, and the gap from benchmark values," Journal of Macroeconomics, Elsevier, vol. 68(C).
- Nevin Cavusoglu & Michael D. Goldberg & Joshua Stillwagon, 2019. "New Evidence on the Portfolio Balance Approach to Currency Returns," Working Papers Series 89, Institute for New Economic Thinking.
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More about this item
Keywords
long-run inference; test on cointegrating relations; likelihood inference; vector autoregressive model; near unit roots; Bonferroni type adjusted quantiles;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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