Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term

DOI10.1111/j.1368-423X.2009.00297.xzbMath1178.62095MaRDI QIDQ3653359

Pentti Saikkonen, Matei Demetrescu, Helmut Lütkepohl

Publication date: 22 December 2009

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

zbMATH Keywords

tableslikelihood ratio testcointegration analysisvector error correction modelvector autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

Recursive adjustment for general deterministic components and improved cointegration rank tests ⋮ Comparison of procedures for fitting the autoregressive order of a vector error correction model ⋮ Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming

Cites Work

• General-to-specific or specific-to-general modelling? An opinion on current econometric terminology
• Estimating deterministic trends with an integrated or stationary noise component
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• LONG MEMORY TESTING IN THE TIME DOMAIN
• Testing for a unit root in time series regression
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
• LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
• Time Series Regression with a Unit Root

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