A ``maximum-eigenvalue'' test for the cointegration ranks in \(I(2)\) vector autoregressions (Q1929859): Difference between revisions
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| Property / cites work: Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models / rank | |||
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| Property / cites work: A Stastistical Analysis of Cointegration for I(2) Variables / rank | |||
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| Property / cites work: Likelihood Analysis of the <i>I</i>(2) Model / rank | |||
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| Property / cites work: An I(2) cointegration analysis of small‐country import price determination / rank | |||
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| Property / cites work: THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL / rank | |||
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| Property / cites work: ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN <i>I</i> (2) SYSTEMS / rank | |||
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| Property / cites work: Trend stationarity in the \(I(2)\) cointegration model. / rank | |||
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Latest revision as of 01:29, 6 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A ``maximum-eigenvalue'' test for the cointegration ranks in \(I(2)\) vector autoregressions |
scientific article |
Statements
A ``maximum-eigenvalue'' test for the cointegration ranks in \(I(2)\) vector autoregressions (English)
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9 January 2013
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VAR
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\(I(2)\)
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rank test
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maximum-eigenvalue
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