Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
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Publication:4549740
DOI10.1111/1368-423X.00068zbMath0995.62077OpenAlexW1999913350MaRDI QIDQ4549740
Carsten Trenkler, Pentti Saikkonen, Helmut Lütkepohl
Publication date: 23 October 2002
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1368-423x.00068
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
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