On the robustness of cointegration methods when regressors almost have unit roots. (English) Zbl 1008.62669
MSC:
62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
62P20 | Applications of statistics to economics |
62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
62P20 | Applications of statistics to economics |