Testing for \(r\) versus \(r-1\) cointegrating vectors

DOI10.1016/S0304-4076(98)00029-3zbMath1070.62517OpenAlexW2088077245MaRDI QIDQ1305683

Andy Snell

Publication date: 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00029-3

zbMATH Keywords

Unit rootsCointegration testJohansen testARMA estimationNoninvertible moving average

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Related Items (9)

Nonparametric cointegration analysis of fractional systems with unknown integration orders ⋮ Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling ⋮ THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION ⋮ European common stochastic long-run trends. ⋮ A simple cointegrating rank test without vector autoregression ⋮ Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison ⋮ Mean group tests for stationarity in heterogeneous panels ⋮ A REVIEW OF SYSTEMS COINTEGRATION TESTS ⋮ Regression-based analysis of cointegration systems

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