Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses

DOI10.1016/J.ECONLET.2015.09.028zbMath1398.62244OpenAlexW1766058481MaRDI QIDQ1667905

Mitsuhiro Odaki

Publication date: 31 August 2018

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.09.028

zbMATH Keywords

divergence ratealternative hypothesescointegration rank testsfinite lag-order vector autoregressive approximations

Mathematics Subject Classification ID

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

Related Items (1)

Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses

Cites Work

• Unnamed Item
• Statistical analysis of cointegration vectors
• Testing cointegration in infinite order vector autoregressive processes
• Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses
• A simple cointegrating rank test without vector autoregression

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