LR cointegration tests when some cointegrating relations are known

DOI10.1007/BF02511644zbMath1154.62367MaRDI QIDQ998890

Paolo Paruolo

Publication date: 30 January 2009

Published in: Statistical Methods and Applications (Search for Journal in Brave)

zbMATH Keywords

likelihood ratiocointegrationunit roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Related Items (1)

Tests for cointegration rank and choice of the alternative

Cites Work

• Limiting distributions of least squares estimates of unstable autoregressive processes
• On the determination of integration indices in I(2) systems
• Cointegration rank inference with stationary regressors in VAR models
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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