Numerical aspects of a likelihood ratio test statistic for cointegrating rank

DOI10.1016/S0167-9473(97)84755-XzbMath0900.65404OpenAlexW2072359561WikidataQ127332875 ScholiaQ127332875MaRDI QIDQ1391987

Tor Jacobson, Rolf Larsson

Publication date: 23 July 1998

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(97)84755-x

zbMATH Keywords

SimulationCointegrationLikelihood ratio testNumerical method

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• Statistical analysis of cointegration vectors
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• A More Portable Fortran Random Number Generator
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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