ABSTRACT
THEOREM 3.1 Hannan (1963). Under (B. I) and (B.2), (1 111 ® D11)(b-p) is asymptotically normal with mean vector null and covariance matrix
Although b uses nonparametric estimators, it recovers the "parametric consistent" order.
THEOREM 3.1 Hannan (1963). Under (B. I) and (B.2), (1 111 ® D11)(b-p) is asymptotically normal with mean vector null and covariance matrix
Although b uses nonparametric estimators, it recovers the "parametric consistent" order.