A ``maximum-eigenvalue test for the cointegration ranks in \(I(2)\) vector autoregressions

DOI10.1016/j.econlet.2006.08.032zbMath1255.62273OpenAlexW1982697665MaRDI QIDQ1929859

Heino Bohn Nielsen

Publication date: 9 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.08.032

zbMATH Keywords

VARrank test\(I(2)\)maximum-eigenvalue

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Uses Software

• Ox

Cites Work

• Trend stationarity in the \(I(2)\) cointegration model.
• THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL
• A Stastistical Analysis of Cointegration for I(2) Variables
• Likelihood Analysis of the I(2) Model
• An I(2) cointegration analysis of small‐country import price determination
• ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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