TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT

DOI10.1017/S0266466600163042zbMath1054.62585OpenAlexW2082824263MaRDI QIDQ4512687

Pentti Saikkonen, Helmut Lütkepohl

Publication date: 2000

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

Full work available at URL: https://doi.org/10.1017/s0266466600163042

Mathematics Subject Classification ID

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

Related Items (14)

On the relationship between the theory of cointegration and the theory of phase synchronization ⋮ The cointegrated vector autoregressive model with general deterministic terms ⋮ Identifying Cointegration by Eigenanalysis ⋮ Analytical evaluation of the power of tests for the absence of cointegration ⋮ Recursive adjustment for general deterministic components and improved cointegration rank tests ⋮ Improved likelihood ratio tests for cointegration rank in the VAR model ⋮ Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships ⋮ Cointegration testing under structural change: reducing size distortions and improving power of residual based tests ⋮ Efficient estimation and inference in cointegrating regressions with structural change ⋮ Tests for cointegration rank and choice of the alternative ⋮ Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term ⋮ Response surface estimates of the LM unit root tests ⋮ Local power of likelihood-based tests for cointegrating rank: Comparative analysis of full and partial systems ⋮ Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming

This page was built for publication: TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT