THE RANK OF A SUBMATRIX OF COINTEGRATION

DOI10.1017/S0266466605050188zbMath1062.62188OpenAlexW2161308129MaRDI QIDQ4680625

Eiji Kurozumi

Publication date: 7 June 2005

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

Full work available at URL: https://doi.org/10.1017/s0266466605050188

zbMATH Keywords

tablessimulationsvector autoregressive process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Related Items (3)

Exact maximum likelihood estimation of partially nonstationary vector ARMA models ⋮ Regression-based analysis of cointegration systems ⋮ Tests for Long-Run Granger Non-Causality in Cointegrated Systems

Cites Work

• Statistical analysis of cointegration vectors
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• Inferring the rank of a matrix
• Testing for the cointegrating rank of a VAR process with a time trend
• Vector Autoregressions and Causality
• On the Asymptotic Properties of LDU-Based Tests of the Rank of a Matrix
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• Short Run and Long Run Causality in Time Series: Theory
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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