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Universality conjecture for the cointegration test under non-Gaussian errors
Consider the vector autoregression model in which the innovations $(\varepsilon_t)$ are independent and identically distributed over time, with covariance matrix $\Lambda$ and any…
Conjectureopencointegration random-matrix-theory vector-autoregressionarXiv posted 3 days ago

Universality conjecture for the cointegration test under non-Gaussian errors