Local power of likelihood-based tests for cointegrating rank: comparative analysis of full and partial systems
DOI10.1111/J.1467-9892.2011.00724.XzbMATH Open1273.62201OpenAlexW1746792539MaRDI QIDQ2851992FDOQ2851992
Authors: Takamitsu Kurita 
Publication date: 4 October 2013
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00724.x
Recommendations
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- On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
- Statistical analysis of cointegration vectors
- Cointegration in partial systems and the efficiency of single-equation analysis
- Exogeneity
- Structural analysis of vector error correction models with exogenous \(I(1)\) variables
- The role of the constant and linear terms in cointegration analysis of nonstationary variables
- LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
- The cointegrated VAR model: Methodology and applications.
- TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
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