Comparison of tests for the cointegrating rank of a VAR process with a structural shift (Q1869855)
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scientific article; zbMATH DE number 1902927
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| English | Comparison of tests for the cointegrating rank of a VAR process with a structural shift |
scientific article; zbMATH DE number 1902927 |
Statements
Comparison of tests for the cointegrating rank of a VAR process with a structural shift (English)
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28 April 2003
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local power
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test size
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cointegration
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vector autoregressive process
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error correction model
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0.8915888667106628
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0.872119665145874
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0.8558709621429443
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0.8490827679634094
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