On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank

DOI10.1081/ETC-120028834zbMath1082.62520MaRDI QIDQ4451549

Bent Nielsen

Publication date: 26 February 2004

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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (3)

Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression ⋮ Tests for cointegration rank and choice of the alternative ⋮ Bootstrap and fast double bootstrap tests of cointegration rank with financial time series

Uses Software

• PcGive
• Ox

Cites Work

• Unnamed Item
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• A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
• RELATIONS BETWEEN TWO SETS OF VARIATES
• Properties of sufficiency and statistical tests

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