Direct cointegration testing in error correction models
type: Item
instance of: scholarly article
title: Direct cointegration testing in error correction models
zbMATH Open document ID: 0809.62101
DOI: 10.1016/0304-4076(93)01561-Y
author: Frank Kleibergen
author: Herman K. Van Dijk
published in: Journal of Econometrics
publication date: 1995-03-27T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 706584
zbMATH Keywords: two-step estimation
zbMATH Keywords: error correction model
zbMATH Keywords: cointegration
zbMATH Keywords: likelihood ratio
zbMATH Keywords: Lagrange multiplier statistics
zbMATH Keywords: Wald statistic
zbMATH Keywords: linear regression
zbMATH Keywords: ordering
zbMATH Keywords: limiting distributions
zbMATH Keywords: real demand for money
zbMATH Keywords: real GNP
zbMATH Keywords: bond and deposit interest rates
MaRDI profile type: Publication
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full work available at URL: 0304-4076(93)01561-y
OpenAlex ID: W1994517073
description: scientific article; zbMATH DE number 706584