Direct cointegration testing in error correction models

DOI10.1016/0304-4076(93)01561-YzbMath0809.62101OpenAlexW1994517073MaRDI QIDQ1341205

Frank Kleibergen, Hermann K. Van Dijk

Publication date: 27 March 1995

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

Full work available at URL: https://doi.org/10.1016/0304-4076(93)01561-y

zbMATH Keywords

orderinglikelihood ratiocointegrationWald statisticlimiting distributionslinear regressiontwo-step estimationerror correction modelbond and deposit interest ratesLagrange multiplier statisticsreal demand for moneyreal GNP

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cites Work

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• Testing for Common Trends
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• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models