On cointegration tests for VAR models with drift

DOI10.1016/0165-1765(95)00783-0MaRDI QIDQ1351113zbMATH OpenOpenAlexFDO

Authors Minxian Yang, Ronald Bewley

Publication date 27 February 1997

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(95)00783-0

zbMATH Keywords

Asymptotic distributionsError-correction modelsTime trend

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• Tests for Cointegration Based on Canonical Correlation Analysis
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• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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Cites work

• scientific article; zbMATH DE number 274399 (Why is no real title available?)
• A canonical analysis of multiple time series
• Computer Generation of Normal Random Variables
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Multiple Time Series Regression with Integrated Processes
• Statistical analysis of cointegration vectors
• Testing for Common Trends
• Tests for Cointegration Based on Canonical Correlation Analysis

Cited in

(5)

• A unifying theory of tests of rank
• A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• Tests for Cointegration Based on Canonical Correlation Analysis
• Some tests for parameter constancy in cointegrated VAR‐models

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