A ``maximum-eigenvalue test for the cointegration ranks in \(I(2)\) vector autoregressions
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Publication:1929859
DOI10.1016/j.econlet.2006.08.032zbMath1255.62273MaRDI QIDQ1929859
Publication date: 9 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2006.08.032
62P20: Applications of statistics to economics
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
Uses Software
Cites Work
- Trend stationarity in the \(I(2)\) cointegration model.
- THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL
- A Stastistical Analysis of Cointegration for I(2) Variables
- Likelihood Analysis of the I(2) Model
- An I(2) cointegration analysis of small‐country import price determination
- ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models