Cointegration rank inference with stationary regressors in VAR models

DOI10.1111/1368-423X.00021zbMath0935.91038OpenAlexW1963778545MaRDI QIDQ4705829

Anders Rahbek, Rocco Mosconi

Publication date: 14 May 2000

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

Full work available at URL: https://doi.org/10.1111/1368-423x.00021

zbMATH Keywords

nuisance parameterscointegration rankvector autoregressive modelstationary regressors

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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