THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL

DOI10.1017/S0266466607070272zbMath1274.62608OpenAlexW2103505931MaRDI QIDQ2886961

Heino Bohn Nielsen, Anders Rahbek

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466607070272

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (8)

Likelihood-Based Inference for Weak Exogeneity inI(2) Cointegrated VAR Models ⋮ Likelihood-based tests for parameter constancy in \(I(2)\) CVAR models with an application to fixed-term deposit data ⋮ A ``maximum-eigenvalue test for the cointegration ranks in \(I(2)\) vector autoregressions ⋮ Testing the equality of several linear regression models ⋮ An I(2) cointegration model with piecewise linear trends ⋮ Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate ⋮ A residual-based ADF test for stationary cointegration in I(2) settings ⋮ MODELLING TIME SERIES DATA OF MONETARY AGGREGATES USINGI(2) ANDI(1) COINTEGRATION ANALYSIS

Cites Work

• Statistical analysis of hypotheses on the cointegrating relations in the \(I(2)\) model
• Trend stationarity in the \(I(2)\) cointegration model.
• Weak exogeneity in \(I(2)\) VAR systems
• On the determination of integration indices in I(2) systems
• Likelihood Analysis of the I(2) Model
• An I(2) cointegration analysis of small‐country import price determination
• A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model

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