Improved likelihood ratio tests for cointegration rank in the VAR model

DOI10.1016/j.jeconom.2014.08.007zbMath1332.62295OpenAlexW2292803855MaRDI QIDQ473351

H. Peter Boswijk, Morten Ørregaard Nielsen, Michael Jansson

Publication date: 24 November 2014

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

Full work available at URL: https://ageconsearch.umn.edu/record/274617/files/qed_wp_1297.pdf

zbMATH Keywords

likelihood ratio testefficiencycointegration rankvector autoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items

A unifying theory of tests of rank ⋮ Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank ⋮ On bootstrap implementation of likelihood ratio test for a unit root

Uses Software

• Ox

Cites Work

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