Tests for cointegration rank and choice of the alternative
type: Item
instance of: scholarly article
title: Tests for cointegration rank and choice of the alternative
zbMATH Open document ID: 1405.62114
author: Giuseppe Cavaliere
author: Luca Fanelli
author: Paolo Paruolo
published in: Statistical Methods and Applications
publication date: 2009-10-13T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F03
zbMATH DE Number: 5614358
zbMATH Keywords: cointegration rank
zbMATH Keywords: likelihood ratio
zbMATH Keywords: asymptotic power
zbMATH Keywords: unit roots
zbMATH Keywords: Brownian motion
MaRDI profile type: Publication
full work available at URL: s10260-007-0084-2
OpenAlex ID: W2082179565
cites work: Admissibility of the Likelihood Ratio Test when the Parameter Space is Restricted under the Alternative
cites work: Q5560061
cites work: Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
cites work: Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
cites work: Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
cites work: On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
cites work: LR cointegration tests when some cointegrating relations are known
cites work: On Monte Carlo estimation of relative power
cites work: TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
DOI: 10.1007/S10260-007-0084-2
description: scientific article; zbMATH DE number 5614358