Testing cointegration in infinite order vector autoregressive processes

DOI10.1016/S0304-4076(97)00036-5zbMath0922.62119OpenAlexW2053863891MaRDI QIDQ1372924

Pentti Saikkonen, Ritva Luukkonen

Publication date: 17 October 1999

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00036-5

zbMATH Keywords

cointegrationlikelihood ratio testsgeneralised least squaresinfinite other vector autoregression

Mathematics Subject Classification ID

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

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Cites Work

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