A lag augmentation test for the cointegrating rank of a VAR process

DOI10.1016/S0165-1765(98)00253-5zbMath0917.90061OpenAlexW2049194670WikidataQ126758762 ScholiaQ126758762MaRDI QIDQ1285813

Pentti Saikkonen, Helmut Lütkepohl

Publication date: 28 April 1999

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(98)00253-5

zbMATH Keywords

cointegrationvector autoregressive processasymptotic inference

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82)

Related Items

A unifying theory of tests of rank ⋮ DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER ⋮ A REVIEW OF SYSTEMS COINTEGRATION TESTS

Cites Work

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• Statistical inference in vector autoregressions with possibly integrated processes
• Inferring the rank of a matrix
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Making wald tests work for cointegrated VAR systems
• LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS