On cointegration tests for VAR models with drift

DOI10.1016/0165-1765(95)00783-0zbMath0875.90179OpenAlexW2022257671MaRDI QIDQ1351113

Minxian Yang, Ronald Bewley

Publication date: 27 February 1997

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

Full work available at URL: https://doi.org/10.1016/0165-1765(95)00783-0

zbMATH Keywords

Asymptotic distributionsError-correction modelsTime trend

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (2)

A unifying theory of tests of rank ⋮ A REVIEW OF SYSTEMS COINTEGRATION TESTS

Cites Work

• Unnamed Item
• Statistical analysis of cointegration vectors
• Multiple Time Series Regression with Integrated Processes
• Testing for Common Trends
• Computer Generation of Normal Random Variables
• A canonical analysis of multiple time series
• Tests for Cointegration Based on Canonical Correlation Analysis
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

This page was built for publication: On cointegration tests for VAR models with drift